BofA-Systematic Flows Monitor CTAs gradual buyers of US Treasury futures；Gold long at risk of stop-loss-20250815

CTAs have consensus stretched S&P & NASDAQ longs

Trend followers, regardless of model speed, are stretched long S&P 500 and NASDAQ-100 futures. However, due to volatility levels, some trend followers may still have aslightly smaller S&P 500 long position than they did in Feb-25 and much of 2024. Incontrast, the NASDAQ-100 long is near February levels. Positioning in both markets canstill increase further on declines in realized volatility, while only a sharp reversal (3% to4%) could trigger unwinds. Meanwhile, Russell 2000 positioning is also long but smallerthan the S&P 500 and NASDAQ-100 longs. Next week’s Jackson Hole Symposium hasthe potential to impact CTA US equity positioning depending on rates messaging (seeGlobal Economic Weekly: 15-Aug-25).

Trend followers could buy US Treasury futures & USD

In Fixed income, CTAs continue to be buyers of 10yr and 30yr US Treasury futuresdespite yields rising for the second week in a row. This is likely due to even higheryields exiting near term lookback windows increase futures price trends. While 10yrpositioning is long across models, 30yr positioning is still mixed. CTAs could also bebuying KTBs and selling Bunds and CGBs. In FX, CTA shorts in USD remain stretchedacross models versus EUR and MXN, but some short-term trend followers could havecovered shorts versus GBP and CAD. Our model anticipates that CTAs will broadly buyUSD next week with the most aggressive buying versus CAD and AUD.