系统性资金流向监控：CTA仍看空股债，股票空头未耗尽

CTA selling bias still spans equities andbonds CTA equity shorts not yet exhausted – nor covered Equitiesrebounded sharply this week, with the US leading Tuesday’s move and strengthextending into Asia and Europe on Wednesday. As we have noted in recent weeks, CTAequity positioning had likely become increasingly split across model speeds, with fastersignals carrying larger shorts while medium- to longer-term trend models were slower toturn and in some cases still closer to flat or residual long exposure. This week’sperformance from actual CTAs appears consistent with that view: despite the sizeablerally in equities, the benchmark CTA index did not post meaningful losses on eitherTuesday or Wednesday, suggesting the complex was not yet uniformly, or maximally,short and reinforcing our prior view that a meaningful share of CTA AUM sits in slower-moving models. The implication is two-sided: if equities weaken again, CTAs couldcontinue to accumulate shorts as slower signals deteriorate further; but if markets keeprallying, there is likely less short-covering support from this cohort in the near term,while fresh long accumulation would probably require a more sustained recovery in pricetrends first. More broadly, with systematic equity positioning already having come offmaterially during the recent crisis, eventual re-entry could still help support a recoverytoward new all-time highs, but that looks more like a medium-term dynamic than animmediate week-ahead catalyst. Trend followers growing UST shorts & buying USDUS Treasury yieldsdeclined this week, but UST futures price trends still fell as lower yields dropped from moving average windows. Trend followers are biased to growshorts with the most stretched positioning at the front end of the curve. In FX, the USdollar slightly weakened, but our model points to a continuation of recent USD buying. Fastest moving CTAs could soon short Gold and Copper In commodities,precious metal futures price trends continue to fall after recentdeclines. In fact, the fastest moving CTAs could already be short copper and could soonturn short gold. However, long-term price trends remain strong and CTAs that are stilllong benefited from this week’s gains. SPX gamma still short; realized vol rising on upside movesSPX gamma moderated slightly following the MarQ expiry but remains firmly negative, finishing Wednesday at -$2.7bn (1st %ile since 2014). Absent new option flows, gammais expected to remain effectively short across a wide range of S&P levels next week. Asthis short gamma regime has become more entrenched, the boost to 1m realized vol hasgrown to ~1.3v. SPX close-to-close 1m realized vol has also moved above 18% andnarrowed the gap to the VIX (~24), primarily due to Tuesday’s 2.9%rally—the largestabsolute move of the year and a stark reminder that right tail fears continue to linger. Systematic Equity Flows Snapshot Exhibit2:Systematic positioning risk skewed slightly towards furtherselling in the week aheadEstimates across global equities and over the subsequent week ahead Exhibit1:Systematic strategies couldsell$51bn inadownmarket,buy$1bn if markets are flat, and buy $33bn in an up marketEstimates across global equities and over the subsequent week ahead SPX Option Gamma Positioning Using our SPX gamma levels (as shown inExhibit 4), we theninfer the likely impact of delta-hedging on the underlying equitymarket. Specifically,Exhibit 7highlights our estimate for theimpact of gamma (via delta-hedging with futures) on S&P 500e-mini 1-month realized volatility if delta-hedging occurred onlyin the last hour, last 30-minutes, or last 15-minutes of thetrading session. See the appendix for additional details on howthe market impact analysis was conducted. SPX gamma contribution of variousexpiries As an example,Exhibit 7indicates that if delta-hedging wasconfined to the last 15-minutes of the trading day (15:45 to16:00), then SPX gamma may have been responsible for a 1.3pt(8%) increase in S&P 500 e-mini realized vol over the past 1-month. The gamma figures highlighted thus far (for instance inExhibit 4) have been at marketclose, consequently expiring options were necessarily excluded. By contrast,Exhibit 8provides our estimate for the net SPX gamma of delta-hedgers measured on an intradaybasis and shows the contribution from (i) non-expiring options, (ii) expiring open interest(options which are expiring but were traded prior to their expiration date), and (iii)expiring volume/0DTEs (options traded exactly on their expiration date). Averaged on an intraday basis and over the last 5-days, delta-hedgers were net short$3.9bn of SPX gamma with -$3.5bn from non-expiring options, +$0.2bn from 0DTEs,and +$0.6bn from expiring open interest (Exhibit 8). Exhibit7: Estimatedimpact of ∆-hedging on S&P 500 realized volEstimated impact of EOD SPX gamma on S&P 500 e-mini 1-month realized volatility via delta-hedging, with hedging confined to different time windowsnear the close (=