Systematic Flows Monitor CTA equity positioning becomes more fragile as trends strengthen elsewhere

Systematic Flows Monitor CTA equity positioning becomes more fragile as trends strengthen elsewhere

CTAs trim SX5E & RTY positions but longs mostly intact 11 September 2026

Estimated CTA equity positioning moderated this week as several faster trend signals Equity Derivatives rolled over amid this week’s declines. The most notable changes came in Europe and Global small caps, where the most risk-averse models stopped out of Euro Stoxx 50 longs on Wednesday and Russell 2000 longs on Thursday. Broader positioning remains net long, with medium- and long-term trend signals still constructive across major equity indices despite some deterioration in shorter-dated models. By Friday morning, positioning had become increasingly vulnerable, with the S&P 500 trading within roughly 50bps of key stop-out levels. However, a sharp risk-on reversal, helped by lower oil prices, pushed markets away from trigger levels and prevented a broader wave of systematic selling. Table of Contents While CTA models generally remain long across global equities, positioning is less robust than a week ago. The erosion in faster trend signals has increased the market's Systematic Equity Flows Snapshot 2 sensitivity to renewed weakness, leaving the near-term flow outlook biased toward SPX Option Gamma Positioning 3 additional selling if equities come under further pressure. Trend Following (CTA) Model 4 Leveraged and Inverse ETFs 14 UST & Bund shorts still stretched; CTAs buying JPY Risk Parity Model 16 Our model indicates that trend followers maintained their elevated shorts in US Treasury S&P 500 Equity Vol Control 16 and Bund futures this week as global yields continued to rise. While some faster moving Appendix 17 trend followers could slightly increase shorts on further increases in yields, most CTAs Research Analysts 28 will be adjusting positions with moves in vol. In FX, the most notable shift this week was in JPY buying as the Yen appreciated for the second week in a row. JPY positioning is now mixed across models with the fastest moving frameworks the most long. EUR and Global Equity Derivatives Rsch CAD positioning is similarly dependent on model speed while CTAs likely have consensus BofAS

long GBP, AUD, and MXN positions. Chintan Kotecha Equity-Linked Analyst BofAS Trend followers add to Oil longs

CTAs increased long crude positions this week as oil futures posted a second straight Nitin Saksena Equity-Linked Analyst weekly gain of more than 9% amid escalating hostilities involving Iran. Average BofAS positioning across our models is now at its most bullish level since 4-Mar, in the

aftermath of the conflict's initial strikes. Looking ahead, trend followers are most likely Nicholas Dunne Equity-Linked Analyst to be buyers of oil, soybeans, and soybean meal and sellers of copper. BofAS

SPX hedger gamma declines going into FOMC week Benjamin Bowler Equity-Linked Analyst SPX hedger gamma fell sharply this week to $2.9bn (37 %ile) as of 10-Sep; notably, th BofAS Friday’s expiry contributes $2.9bn that rolls off. Heading into FOMC, hedgers are net short gamma across expiries next week (-$0.7bn), driven by the Sep monthly expiry (18- Abhinandan Deb >> Equity-Linked Analyst Sep) at roughly -$1.9bn — which grew more negative as spot fell 0.58% on Thursday — MLI (UK) while the other expiries add back $1.2bn. Within the Sep monthly, hedgers are net short ~25k contracts between 7500-7650 and net long ~18k contracts between 7650-7800, a Lars Naeckter >> Equity-Linked Analyst position that could push gamma more negative on a downtick and higher if spot rallies. 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…