...., a move we dubbed Gammazon, we speculated that a key driver behind this move are retail investors who had moved away from their usual small and mid-cap stomping grounds and decided to target illiquid tech giants during the lowest volume season of the year.

Now that the data is in, it appears that we were right.

As JPMorgan quant Nick Panigirtzoglou writes in his latest Flows and Liquidity note, having also previously highlighted the sudden spike of the US retail impulse into individual stocks including ETFs to a record high in June, since then we have seen further acceleration of retail buying in individual stocks and ETFs to a new record high in July.

One flow indicator Panigirtzoglou looks to track the retail flow into US cash equities including ETFs is that constructed by his colleagues in Global Quantitative and Derivatives research, whose results are shown in the chart below.