Systematic Flows Monitor: CTA equity longs near stop-loss levels as Treasury shorts hold and gold shorts build

Research evidence excerpt

Systematic Flows Monitor: CTA equity longs near stop-loss levels as Treasury shorts hold and gold shorts build

ased to grow

shorts at the back end in the week to come. FX markets also reacted to the inflation

release with CTAs covering CAD shorts on Tuesday’s CPI release. Trend followers are Global Equity Derivatives Rsch

BofAS

still stretched short EUR and JPY and could be buying GPB next week.

Chintan Kotecha

Trend followers sell gold, buy oil & soybeans Equity-LinkedBofAS Analyst

Commodity trends extended this week, with gold falling and oil and the soybean complex chintan.kotecha@bofa.com

advancing for a second consecutive week. According to our model, trend followers have NitinEquity-LinkedSaksenaAnalyst

consensus gold shorts and mixed positioning in oil and the soybean complex based on BofAS

nitin.saksena@bofa.com

model speed. Trends are largely expected to continue in the direction of this week’s

moves. Gold remains a crowded CTA short, but cover triggers are ~6% away. NicholasEquity-LinkedDunneAnalyst

Gamma remains elevated but mind a potential reversal nicholas.dunne@bofa.com

SPX gamma remained elevated this week, ending 16-Jul at $11.0bn (95th %ile in last BenjaminEquity-LinkedBowlerAnalyst

year). The July monthly (17-Jul) accounted for nearly half of hedger gamma positioning BofAS

benjamin.bowler@bofa.com

($4.5bn / 41%) as customer short positions in strikes near spot approached expiration.

Abhinandan Deb >>

Next week, positioning is positive in multiple expiries with gamma concentrated within Equity-Linked Analyst

one weekly (24-Jul) straddle away from spot. Notably, dealer downside positioning MLI (UK)

abhinandan.deb@bofa.com

includes a sizeable short in the weekly (24-Jul); if the momentum reversal persists and

Lars Naeckter >>