Nasdaq pressure brings broader CTA equity unwind risk into focus

Systematic Flows Monitor Nasdaq pressure brings broader CTA equity unwind risk into focus

Nasdaq pressure brings CTA equity unwinds closer 26 July 2026

Entering the week, CTA equity longs were holding on but close to stop-loss levels, and Equity Derivatives Nasdaq’s Thursday/Friday decline appears to have pushed the first wave of models into Global unwind territory. Our models suggest trend followers with the most aggressive stop-loss triggers may have already unwound, while faster-moving models likely de-risked as short-term price trends deteriorated. However, slower models and those with broader stop-loss thresholds could remain long, and positioning outside Nasdaq still appears largely intact, particularly across the S&P 500, Russell 2000, and EURO STOXX 50. Asian equities are more closely following Nasdaq, with faster models likely already reducing exposure. The key risk next week is that continued Nasdaq pressure spills into broader Table of Contents equities, triggering CTA unwinds across other major indices. Systematic Equity Flows Snapshot 2 CTA US Treasury shorts grow as yields march higher SPX Option Gamma Positioning 3 US yields continued their march higher across the Treasury curve this week, leaving Trend Following (CTA) Model 4 trend followers well-positioned given their broadly short futures exposure. Front-end Leveraged and Inverse ETFs 13 positioning is likely near max short, while faster- and medium-term models still have Risk Parity Model 16 room to add shorts further out the curve and may have done so this week. With yields S&P 500 Equity Vol Control 16 near local highs, near-term unwind risk remains limited, but the potential size of these Appendix 17 positions means short covering could become a larger risk if yields eventually come in. In Research Analysts 28 FX, CTAs appear to hold consensus shorts in EUR, JPY, and CAD against long USD.

Trend followers buying oil as gold short deepens Global Equity Derivatives Rsch BofAS Oil’s renewed move higher on the back of escalating conflict in Iran has likely pulled Chintan Kotecha trend followers back toward longs. Faster models that had turned short during the recent Equity-Linked Analyst pullback are likely covering, while medium-term models appear to be adding to long BofAS exposure. Slower-moving models may already be near max long, having likely reduced Nitin Saksena less exposure after the prior peace-deal-driven decline. In gold, CTA selling continued as Equity-Linked Analyst trends deteriorated further. Faster and medium-term models appear closer to max short, BofAS while slower models could still be adding to shorts as longer-term price trend declines. Nicholas Dunne Gamma falls; watch hedger positioning in monthly expiry Equity-Linked Analyst BofAS SPX hedger gamma fell sharply this week, ending 23-Jul at $1.4bn (27th %ile in last year) as large customer short option positions in the July monthly expired. Next week, Benjamin Bowler Equity-Linked Analyst hedger positioning is negative in the 27-Jul expiry, where customers are long ~6,500 BofAS contracts near spot. The August monthly (21-Aug) is also a notable negative contributor,

with hedgers net short ~21,000 downside contracts below 7300. As the monthly expiry Abhinandan Deb >> Equity-Linked Analyst approaches, continued demand for downside amid macro volatility could expand this MLI (UK) position, potentially exacerbating instability on larger downside moves. 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…