Flow of Funds Flash Update

The market is entering a high-volatility phase characterized by systematic selling from CTAs and deteriorating liquidity. Breach of key S&P 500 levels has triggered significant supply, with market markers now in a 'short gamma' position that magnifies intraday moves.

Key Takeaways

• 1.Systematic selling pressure from CTAs is significant, with an estimated $213B of supply possible in a one-month 'down tape' scenario.
• 2.S&P 500 liquidity has collapsed, falling over 330% from the YTD average, leading to high intraday volatility.
• 3.Market makers have flipped to a flat/short gamma position, which removes a previous stabilizing force and magnifies price swings.

Table of Contents

• 1. CTAs
• 2. The Other Systematics
• 3. Liquidity
• 4. Gamma
• 5. Breadth
• 6. PB Analytics – putting the pain in trade
• 7. Seasonality
• 8. Retail
• 9. Sector / Thematics
• 10. Markets Talking

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