Systematic Flows Monitor

Systematic equity re-risking of ~$200bn has largely been completed, leaving CTAs with limited room to buy further while Treasury shorts approach capacity. Market focus shifts to downside selling risks and end-of-day rebalancing from leveraged ETFs and option gamma.

Key Takeaways

• 1.CTA equity buying momentum is slowing following a ~$200bn systematic re-risking since April lows, with limited scope for incremental long accumulation.
• 2.CTA shorts in US Treasury futures are approaching capacity, particularly in 2yr and 5yr contracts, though some room remains in the 10yr bucket.
• 3.SPX option gamma remains meaningfully long at $5.2bn (85th percentile), which could flip materially negative on a 5% market move.

Table of Contents

• Systematic Equity Flows Snapshot
• SPX Option Gamma Positioning
• Trend Following (CTA) Model
• Markets currently at stop-outs and projections for next week
• Equities
• Fixed Income
• Commodities
• Foreign Exchange (FX)
• Leveraged and Inverse ETFs
• Risk Parity Model
• S&P 500 Equity Vol Control
• Appendix
• Research Analysts

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