Systematic Flows Monitor: Systematic equity unwinds begin as Nasdaq triggers start to break

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Systematic Flows Monitor: Systematic equity unwinds begin as Nasdaq triggers start to break

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Systematic Flows Monitor

Systematic equity unwinds begin as

Nasdaq triggers start to break

Consensus NDX CTA equity positioning begins to unwind 05 June 2026

Friday’s selloff likely marked the start of a more coordinated unwind in systematic Equity Derivatives

equity positioning after we noted last week that US equity exposure had become Global

increasingly consensus across CTAs. The NASDAQ-100 fell 4.8% in a steady decline

throughout the day, marking its largest vol-adjusted drawdown since Oct-2025 and the

13th worst sigma decline since 1985 (~‑4.7σ). Coming into the session, our estimated

CTA stop-loss triggers for NDX were roughly 4.3% to 6.8% lower, suggesting the most

risk averse models likely began deleveraging Friday. However, we believe at least half of

the CTA long base likely remains intact, and that another ~90bps to 2% downside could

trigger broader unwinds. Outside NDX, positioning appears more resilient, with S&P 500 Table of Contents

stop-loss levels now roughly 40bps to 2.6% lower and Russell 2000 triggers ~2% to 5%

lower. While dip buyers may emerge and stabilize markets, any continued downside Systematic Equity Flows Snapshot 2

could trigger larger systematic unwinds and amplify equity declines further next week. SPX Option Gamma Positioning 3

Trend Following (CTA) Model 5

CTA US Tsy shorts supported as hot data pressures bonds Leveraged and Inverse ETFs 15

CTA positioning in US Treasury futures remains short, with the largest exposure Risk Parity Model 17

concentrated in shorter-duration futures. Friday’s stronger-than-expected payrolls report S&P 500 Equity Vol Control 17