CTAs Begin Selling
Up until this point, the pressure from systematic investors was modest, with Morgan Stanley suggesting that between $20 and $60BN in systematic outflows and deleveraging may hit today.
That changed moments ago, when as Nomura’s Charlie McElligott writes in:
“CTA levels for the SPX fut 3128.5 is the level to sell, basically would be pretty big $ selling, the 3m window flips today and we have a weighting of 42.6% in our model for that time window.”
As such, the Nomura quant concludes that the signal would go from legacy +100% down to just +15%, resulting in susbtantial deleveraging and implicit selling.
In English: the quants are about to start selling bigly if the S&P closes at or below this key level.
And all major US equity indices tumbled through critical technical support levels. Dow and Russell 2000 broke below their 200DMA, Nasdaq well below its 50DMA, and S&P below its 100DMA…
Tue, 02/25/2020 – 15:01
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