CTAs Are Now Selling

Two weeks ago, we first observed that after some serious buying earlier in the year (following just as forceful selling) CTA positioning had hit the highest level on record!

Shortly after, Goldman's flow guru Scott Rubner looked at the systematic community - CTAs, vol-targeting funds, risk parity - and concluded that not only are these legacy technical supports of the market now out of ammo, but they have as much as $276 billion in S&P futures to sell if we get even a modest gust of selling in the coming days/weeks.