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IPFS News Link • Economy - International

Nomura: If S&P Hits 2535, CTAs Go "Max Short", Sell $100 Billion

•, Charlie McElligott

Asian equities and price action reversals in Gold / CDX / VIX further evidences that this is another "US equities-centric" de-risking

$100B for sale from systematic CTA's in SPX IF we were to breach the 2535 level,as they would pivot from current "43% long" all the way through "Neutral" and immediately "MAX SHORT" across 1m, 3m and 6m models

This 2535 level 'clusters' along with the 1Y ES1 VWAP (2539) and the YTD lows (2532.5) in the same range, effectively creating a "stop loss" for many where 'longs' turn into losses

Volumes are in the index futures / VIX futures / ETF space are screaming higher, as 'dynamic hedging' adds incremental "short gamma" effect to market on top of dealer gamma hedging

As thematic trades and "momentum" / sectors reverse recent performance, "Growth over Value" is the largest area of "factor" pain as it has been the de-facto trade since the GFC

US equities outlook remains medium-term constructive however (before late-year / early '19 "financial tightening" convo), as after the next two weeks of chop around the seasonal "momentum unwind" phenomenon, you have "earning macro blinders" kick-in which synchronizes with Banks resuming buy-backs (mid-April) and Tech EPS growth leaders doing the same shortly thereafter (last week April)