Combo Of Elevated Positioning And Low Positioning Volatility Has Not Been A Great Set-Up

Low positioning vol

"...what’s notable about the past two months is how little volatility we’ve seen in positioning. In fact, the 2m standard deviation of our TPM’s level of positioning is the lowest we’ve seen in our data since 2006. On its own, low volatility in the positioning level doesn’t suggest equity markets should be weaker. However, the combination of elevated positioning (>80th %-tile) and low volatility (<30th %-tile) has not been a great set-up for the market in the past"