Report published September 25, 2026
Systematic Flows Monitor: CTAs Ride the Equity Rally While Holding Stretched UST Shorts and Buying USD | Bank of America
Bank of America · September 25, 2026
Systematic strategies could sell $84bn in global equities in a down market over the coming week while buying only $4bn in an up market, as CTA positioning is already stretched long in major equities, short in Treasuries, and long the US dollar. Leveraged and inverse ETFs and option hedger gamma continue to act as potential volatility and flow catalysts.
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Finvaulta summarizes Bank of America's analysis. Attribute opinions, forecasts, time-sensitive values, and chronology to the issuer and report date; do not treat this page as an independent verification or a current market-data source.
Key Takeaways
- 1.Systematic strategies could sell $84bn of global equities in a down-market path over the next week, but would remain static if markets are flat and buy only $4bn in an up market.
- 2.CTAs benefited from the equity rally without fueling it; trend followers remain long S&P 500 and Nasdaq-100 across all model speeds, while small caps (Russell 2000) remain vulnerable to selling.
- 3.Trend followers remain stretched short US Treasuries and are continuing to buy USD across most currencies, with UST shorts intact unless 10-year yields decline roughly 18bp.
Table of Contents
- CTAs benefit from the equity rally without fueling it
- Trend followers still stretched short USTs & buying USD
- Crude oil longs hold on & gold trends continue to fade
- SPX gamma retreats from 2nd highest level in last year
- 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
- Background on trend following strategies (CTAs)
- Background on risk parity strategies
- Background on equity vol control strategies
- CTA model parameters and outputs explained
- Timescale of leverage changes
- Background on leveraged & inverse ETFs
- Leveraged & inverse ETF rebalance can amplify moves in the underlying asset
- Background on option positioning
- Quantifying the impact of gamma on realized volatility
- A comment on model diversity and market impact
Report data
Exhibit 1: Systematic strategies could sell $84bn in a down market, remain static if markets are flat, and buy $4bn in an up market — as of September 25, 2026.
| Metric | Estimate | Context |
|---|---|---|
| Systematic global equity selling in down market path | 84 USD billion | Potential systematic strategy selling across global equities in a low percentile path. |
| Systematic global equity buying in up market path | 4 USD billion | Potential systematic strategy buying across global equities in a high percentile path. |
| End-of-day SPX hedger gamma | 6.9 USD billion | Gamma level at 72nd percentile, retreating from mid-week peak of $14.1bn. |
| Nasdaq-100 weekly return | 3.3% | Gain propelled by META launch of Muse and AI enthusiasm. |
| S&P 500 leveraged and inverse ETF rebalancing flow per 1% move | 1.2 USD billion | Notional trading required by US-domiciled leveraged and inverse ETFs per 1% move in S&P 500. |
Reports in this series
Systematic Flows Monitor is shown in chronological order through this edition, published on September 25, 2026.
Part of the Systematic Flows Monitor series — view all 10 editions
- Aug 28BofA Stretched Treasury shorts and elevated equity longs drive CTA gains
- Sep 4Systematic Flows Monitor Equity longs hold while CTAs sell USD and rebuild commodity longs
- Sep 11Systematic Flows Monitor CTA equity positioning becomes more fragile as trends strengthen elsewhere
- Sep 18Systematic Flows Monitor Equity stop outs spread and trend followers rotate to USD
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