Systematic Flows Monitor: Nasdaq pressure brings broader CTA equity unwind risk into focus

Research evidence excerpt

Systematic Flows Monitor: Nasdaq pressure brings broader CTA equity unwind risk into focus

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Systematic Flows Monitor

Nasdaq pressure brings broader CTA equity

unwind risk into focus

Nasdaq pressure brings CTA equity unwinds closer 26 July 2026

Entering the week, CTA equity longs were holding on but close to stop-loss levels, and Equity Derivatives

Nasdaq’s Thursday/Friday decline appears to have pushed the first wave of models into Global

unwind territory. Our models suggest trend followers with the most aggressive stop-loss

triggers may have already unwound, while faster-moving models likely de-risked as

short-term price trends deteriorated. However, slower models and those with broader

stop-loss thresholds could remain long, and positioning outside Nasdaq still appears

largely intact, particularly across the S&P 500, Russell 2000, and EURO STOXX 50. Asian

equities are more closely following Nasdaq, with faster models likely already reducing

exposure. The key risk next week is that continued Nasdaq pressure spills into broader Table of Contents

equities, triggering CTA unwinds across other major indices.

Systematic Equity Flows Snapshot 2

CTA US Treasury shorts grow as yields march higher SPX Option Gamma Positioning 3

US yields continued their march higher across the Treasury curve this week, leaving Trend Following (CTA) Model 4

trend followers well-positioned given their broadly short futures exposure. Front-end Leveraged and Inverse ETFs 13

positioning is likely near max short, while faster- and medium-term models still have Risk Parity Model 16

room to add shorts further out the curve and may have done so this week. With yields S&P 500 Equity Vol Control 16