CTA equity longs return as Treasury and gold shorts are tested

Systematic Flows Monitor CTA equity longs return as Treasury and gold shorts are tested

CTA equity longs return as Asian buying leads 07 August 2026

Strong gains across global equities may have reversed much of last week's CTA de- Equity Derivatives risking, particularly in the Nasdaq where medium- and longer-term trend followers have Global rebuilt long positions. Trend followers were also buying equities in Japan, Korea, and Taiwan, after we noted that strong Asian buying was a possibility in last week’s report. Despite the rebound, the fastest-moving trend followers remain notably less bullish than slower movers across US equities and the Nikkei, reflecting the impact of the mid-July drawdown. Looking ahead, systematic flow risks appear relatively balanced globally with buying focused in Asian equities in flat and up markets. Sell triggers now sit further away, with declines over 4% required to generate meaningful CTA selling across the Table of Contents indices we track in this report. Systematic Equity Flows Snapshot 2 CTAs remain short US Treasury futures after NFP SPX Option Gamma Positioning 3 Friday’s unexpectedly weak US payrolls report initially sent yields sharply lower before Trend Following (CTA) Model 4 they partially retraced, leaving rates modestly lower on the day (see US Watch report). Leveraged and Inverse ETFs 14 The rally pushed Treasury futures close to CTA short-covering thresholds, but with yields Risk Parity Model 16 rebounding from their lows, our model indicates that shorts remain intact across the S&P 500 Equity Vol Control 16 curve. Front end positioning remains closer to max short levels than the back end, Appendix 17 although shorts are elevated across maturities. In FX, the US dollar declined again this Research Analysts 28 week, triggering stop-outs in some EUR, JPY, and CAD shorts. Next week could bring additional USD selling, except against MXN, where CTAs are already stretched long. Global Equity Derivatives Rsch Trend followers covering gold shorts BofAS Chintan Kotecha Gold recorded its largest weekly gain since January, likely causing CTA risk management Equity-Linked Analyst rules to kick in after sizable short positions had developed over the last two months. BofAS Short covering could continue into next week on continued gains, and even CTAs that did Nitin Saksena not fully cover positions will be buying on less negative price trends and higher vols. Equity-Linked Analyst Elsewhere in commodities, CTAs that came into the week long oil are set to sell after a BofAS second week of declines. However, oil positioning is still dependent on model speed. Nicholas Dunne Equity-Linked Analyst Spot up, vol up pressures hedger gamma BofAS SPX hedger gamma whipsawed amid elevated volumes as spot rose with vol early in the Benjamin Bowler week, defying the typical negative spot-vol relationship. Customers net bought 0DTE Equity-Linked Analyst upside, including ~16k 7650 - 7850 contracts Tuesday and ~35k 7750 - 7850 contracts BofAS Wednesday. Hedger gamma nevertheless ended 6-Aug at $5.1bn (59th %ile in last year), Abhinandan Deb >> as flow net sold gamma in non-0DTE expiries later in the week. However, hedger Equity-Linked Analyst positioning as of 6-Aug is net short ~22k contracts between 7750 - 7900, potentially MLI (UK) sending gamma lower if the spot up / vol up dynamic and 0DTE upside demand persist. Lars Naeckter >> Equity-Linked Analyst Merrill Lynch (DIFC) See Team Page for List of Analysts Trading ideas and investment strategies discussed herein may give rise to significant risk and are not suitable for all investors. Investors should have experience in relevant markets and the financial resources to absorb any losses arising from applying these ideas or strategies. Please reach out to be added to our daily CTA and >> Employed by a non-US affiliate of BofAS and is not registered/qualified as a research analyst option positioning Excel updates. under the FINRA rules. Refer to "Other Important Disclosures" for information on certain BofA Securities entities that take A list of abbreviations used is available at the end responsibility for the information herein in particular…