Systematic Flows Monitor Equity longs hold while CTAs sell USD and rebuild commodity longs

Systematic Flows Monitor Equity longs hold while CTAs sell USD and rebuild commodity longs

CTA equity longs stay elevated with trends broadly intact 04 September 2026 Estimated CTA equity positioning remained broadly long this week, with medium- and Equity Derivatives long-term trend signals still near maximum across every index we track. The only Global meaningful week-over-week change was a softening in Russell 2000 short-term trend, consistent with faster models trimming small caps, while short-term signals in the S&P 500, Nasdaq-100, Euro Stoxx 50, and Nikkei held steady. Sell triggers remain distant, with selling accelerating on declines of roughly 1.4% in the Euro Stoxx 50, ~2% in the S&P 500 and Russell 2000, ~3% in the Nikkei, and ~4% in the Nasdaq-100. With realized volatility still subdued, the risk of broad systematic deleveraging remains limited.

UST shorts hold as CTAs extend Bund shorts and sell USD Table of Contents CTA positioning in US Treasury futures remained short and largely unchanged this week, Systematic Equity Flows Snapshot 2 with models still near max short across the curve as yields drifted modestly higher. The SPX Option Gamma Positioning 3 more notable rates shift came in Europe, where CTAs meaningfully extended Bund Trend Following (CTA) Model 4 shorts as German yields rose, pushing both short- and long-term signals to near max Leveraged and Inverse ETFs 14 short. In FX, the clearest move was a broad shift toward selling the dollar, with trend Risk Parity Model 16 followers building EUR, GBP, and AUD longs and USD/CAD rolling over toward a long S&P 500 Equity Vol Control 16 CAD stance. MXN remains a crowded long versus the dollar, while JPY stayed mixed Appendix 17 across model speeds. Research Analysts 28

CTA rebuild commodity longs led by grains Commodity trends firmed broadly this week, led by a sharp turn higher in the agricultural Global Equity Derivatives Rsch complex. Soybeans and soybean meal saw large long builds across all model speeds, BofAS while trend signals also strengthened in oil as faster models added to already-elevated Chintan Kotecha Equity-Linked Analyst longs. In gold, short- and medium-term trends improved markedly, suggesting faster- BofAS and medium-term CTAs have begun rebuilding longs even as the longest-horizon models remain short. Base metals were mixed, with copper still near max long but aluminum Nitin Saksena Equity-Linked Analyst only partially recovered from short territory. Overall, systematic commodity exposure is BofAS skewing increasingly long. Nicholas Dunne SPX hedger gamma climbs toward yearly highs Equity-Linked Analyst BofAS SPX hedger gamma climbed higher to $10.9bn (94th %ile) as of 3-Sep, having briefly dipped below median levels to $3.3bn (42nd %ile) earlier in the week as Tuesday’s high- Benjamin Bowler Equity-Linked Analyst gamma expiry rolled off. Friday’s expiry (4-Sep) made up a sizable share of current BofAS positioning, with roughly $4.0bn of gamma set to roll off. Notably, hedgers were net

long ~20k contracts expiring Friday between the 7700 and 7850 strikes, a position that Abhinandan Deb >> Equity-Linked Analyst gained gamma as spot rallied 1.06% on Thursday. Looking ahead, next week’s four MLI (UK) expiries add positively to hedger gamma, contributing a combined $3.7bn. 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 jurisdictions. of this report. BofA Securities does and seeks to do business with issuers…