Systematic Flows Monitor Front end Treasury short covering begins and CTA equity longs build further

Systematic Flows Monitor Front-end Treasury short covering begins and CTA equity longs build further

Front-end Treasury short covering begins 14 August 2026

Trend followers entered the week with sizable shorts across the US Treasury curve, and Equity Derivatives the largest positions were concentrated at the front end. That began to shift as the Global curve steepened, with 2yr yields falling while long-end yields rose. The rally pushed 2yr Treasury futures through our first buy-to-cover triggers, likely stopping out the most risk-averse trend followers. CTA buying at the front-end may therefore be just beginning and could intensify next week if yields continue to fall. By contrast, back-end shorts remain intact and near their largest since May 2021. In FX, the US dollar strengthened modestly this week. JPY weakness resumed following last week’s intervention efforts, although the USDJPY trend continues to decline. CTAs remain in consensus short EUR Table of Contents and JPY and long MXN, with positioning mixed elsewhere. Systematic Equity Flows Snapshot 2 Trend followers could keep buying NDX and NKY SPX Option Gamma Positioning 3 CTA equity buying continued this week as gains across major indices reinforced positive Trend Following (CTA) Model 4 price trend. Estimated CTA equity positioning is now at its highest since the Iran conflict Leveraged and Inverse ETFs 14 began in March, but could rise further if summer volatility continues to fall. Additional Risk Parity Model 16 buying remains possible in the Nikkei and Nasdaq in flat and up markets, particularly S&P 500 Equity Vol Control 16 among slower-moving trend followers. Despite the added exposure, systematic sell Appendix 17 triggers remain relatively distant, with declines of more than 4% generally required to Research Analysts 28 generate meaningful CTA selling across the indices we track.

Trend followers long oil but sidelined in gold Global Equity Derivatives Rsch BofAS Oil trend signals are again bullish across model speeds after futures rose 5% this week. Chintan Kotecha Slower-moving models remain significantly longer than faster movers, although Equity-Linked Analyst declining trend signals could prompt them to reduce exposure in the coming days. Gold, BofAS meanwhile, gained for a second consecutive week, but four straight months of declines Nitin Saksena have left price trends firmly negative. Trends should improve in the coming days, but Equity-Linked Analyst with CTAs likely stopped out of shorts, they may remain sidelined until signals turn BofAS positive. As a result, rising gold trends alone are unlikely to generate meaningful buying. Nicholas Dunne Equity-Linked Analyst SPX hedger gamma hovers near one-year median BofAS Realized vol fell and SPX hedger gamma hovered near one-year median levels this week, Benjamin Bowler ending 13-Aug at $5.0bn (56th %ile in last year). Friday’s expiry (14-Aug) accounted for Equity-Linked Analyst approximately half (~$2.5bn); however, hedger gamma remains robustly supported by BofAS positive gamma expiries next week (hedgers net long ~15k contracts between 7700 – Abhinandan Deb >> 7900). Flow was mixed, buying downside in Sep expiries earlier in the week and net Equity-Linked Analyst selling <1 month expiry options in small size near spot on Thursday. Overall hedger vol MLI (UK) positioning is short >1 month expiry options and long options expiring next week. 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…