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When the equity index "avalanche" happened, I also thought that the drop was due to algorithmic activity.
However, I also think that the retail space specifically those who were involved in shorting volatility whether via VIX, OTM short selling, and/or other strategies that rely on calm markets were caught and has to liquidate due to declining P&L and margins calls. For example, if you look at the landscape of CTA many who had a positive expectancy in the last few years where short options sellers. I don't know the total number of AUM, but I would guess it was a few billions between all. When the market dropped, it was very hard to execute and many had to exit also after hours when the market was less liquid. That contributed to further declines in my opinion.
Matt Z
Optimus Futures
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