系统性资金流向监测：CTA在美国股票多头仓位上获得收益，...-111470265

CTAs see gains on US equity longs, longUSD,andshortbonds 08 November 2024 CTAs saw election week gains from equity & USD longs Equity DerivativesGlobal Markets were driven this week by the US election as the Republican victory sent USequities and the US dollar higher. According to our model, trend followers were wellpositioned for these moves, and the SG CTA benchmark is on track to break a two-weekstreak of declines. However, CTA equity and FX gains were likely partially offset by bondshorts as 1Oyr yields declined this week even after significantly rising in response to theelection. In equities, positioning remains most elevated in the US, and additional buyingcould come with continued gains and declining volatility, especially in the Russell 2000where positioning is less stretched. Outside the US, we project that trend followers willbe equity sellers in Europe, Japan, and China. EURO STOXX 5O has now declined for fourconsecutive weeks and price trend has turned negative implying that trend followerscould build short positions. In Asia, we expect CTAs to reduce long Nikkei 225 and HangSeng positions on all projected paths. BofADataAnalytics CurrentS&P5001-DaySystematic Flows2SPX Option Gamma Positioning3TrendFollowing (CTA)Model4Leveraged and Inverse ETFs11Risk Parity Model12S&P 500 Equity Vol Control13Appendix19Research Analysts29 Trend follower US Tsy futures shorts getting stretched CTAs continued growing 1Oyr US Treasury futures shorts this week, and our model'spositioning is now approximately equivalent to the stretched level where it was in Maybefore unwinding on a better-than-expected CPI print that sent yields lower. Althoughmarkets have recently been more sensitive to labor market data than CPl prints, we willstill be monitoring any impact that Wednesday's CPI print has on CTA positioning. Ourmodel indicates that UsT futures price trend will likely continue falling next weekoutside of a significant decline in yields. Outside the US, our model is short Bundfutures and long KTBs and CGBs. Global Equity Derivatives RschBofAS Chintan KotechaEquity-Linked AnalystBofASchintan.kotecha@bofa.com CTAs could be unwinding Gold long, still buying USD In commodities, our model stopped out of its stretched long Gold position after futuresdeclined by 2.7% following the election. Price trend remains elevated, and some CTAsmay not have fully sold out of their longs. In other commodities, trend followers areexpected to rapidly buy Soybean Oil next week. In Fx, our model broadly projects thatlong USD positions will grow, except for vs CAD where the long is already stretched. Nitin SaksenaEquity-Linked AnalystBofASnitin.saksena@bofa.com Nicholas DunneEquity-Linked AnalystBofASnicholas.dunne@bofa.com SPX gamma wasshort into electionbut is now long in size Matthew WeltyEquity-Linked AnalystBofASmatthew.welty@bofa.com Going into US election week, option dealers were positioned modestly short SPXgamma, reflecting investor net demand for near-term S&P optionality into the event.Specifically, on Tuesday (election day) delta-hedgers were net short ~s40Omn gamma.However, by Wednesday's close the gamma position had climbed to +s5.3bn - nearly a+$6bn swing in a single day. As of Thursday, SPX gamma had risen further to +$8.8bn(83rd %ile year-to-date). Going forward, if upside momentum in equities persists thenthe current profile suggests gamma may continue to grow. Benjamin BowlerEquity-Linked AnalystBofASbenjamin.bowler@bofa.com Abhinandan Deb >Equity-Linked AnalystMLI (UK)abhinandan.deb@bofa.com Lars Naeckter >>Equity-Linked AnalystMerill Lynch (DIFC)lars.naeckter@bofa.comSee Team Page for List of Analysts A list of abbreviations used is available at the endof this report. Timestamp: 08 November 2024 07:56PM EST CurrentS&P5001-DaySystematicFlows On Monday 4-Nov-2024 equity vol control strategies could beunwinding leverage in the S&P 500 as the larger decline on thispast Thursday led to an increase in realized volatility. Exhibit 1: Estimated 1-day S&P 500 Flow from CTAs, Risk Parity, andEquity Vol Control Estimates are for Monday, 4-Nov-2024 and subject to change each day. Tostart this coming week we see vol control leverage decreasing Going into US election week, option dealers were positionedmodestly short SPX gamma, reflecting investor net demand fornear-term S&P optionality into the event. Specifically, onTuesday (election day) delta-hedgers were net short ~s400mngamma. However, by Wednesday's close the gamma positionhad climbed to +$5.3bn - nearly a +$6bn swing in a single day.As of Thursday, SPX gamma had risen further to +$8.8bn (83rd%ile year-to-date). Going forward, if upside momentum inequities persists then the current profile suggests gamma maycontinue to grow.手机构 For those interested in more regular updates, contact us to beadded to the distribution list for our Option Positioning DailyUpdate report. Current EOD SPX gamma for A-Hedgers after a hypothetical move in spot SPX Option Ga