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Investing.com -- Commodity trading advisors (CTAs) remain heavily long U.S. equity futures, with stretched positions in the S&P 500 and Nasdaq 100, according to Bank of America’s Systematic Flows Monitor.
BofA analysts note that “only a sharp reversal (3% to 4%) could trigger unwinds,” while Russell 2000 positioning is also long, though smaller. The upcoming Jackson Hole Symposium could influence equity positioning depending on the messaging around rates.
In fixed income, CTAs have continued to add exposure to U.S. Treasuries even as yields moved higher for the second week in a row.
Analysts said this is “likely due to even higher yields exiting near term lookback windows increase futures price trends.”
10-year Treasury positioning is long across models, while 30-year positioning remains mixed. The analysis also pointed to potential CTA buying of Korean government bonds and selling of Bunds and Chinese government bonds.
In currencies, CTAs hold stretched short positions in the U.S. dollar versus the euro and Mexican peso, but shorter-term models may have covered some shorts against the pound and Canadian dollar.
BofA’s model expects CTAs to “broadly buy USD next week with the most aggressive buying versus CAD and AUD.”
In commodities, the bank flagged several risks. The soybean complex rallied following the latest WASDE report, temporarily averting stop-losses in CTA long positions on soybean oil.
Meanwhile, “medium and long-term trend followers are likely still long gold with stop losses within reach next week,” the note warned.
As of Thursday’s close, S&P 500 option gamma was estimated at +$4.6 billion, placing it at the 97th percentile since February, though only the 62nd percentile on a one-year lookback.
Within volatility markets, end-user VIX delta exposure reached its highest since early 2021, while dealer VIX gamma was at its smallest magnitude since 2023. BofA said this may be temporary, as VIX gamma often resets after expiry.