Systematic Flows Monitor
An analysis of CTA positioning and S&P 500 option gamma based on BofA Global Research.
Estimated 1-Day S&P 500 Systematic Flows
This chart illustrates the estimated next-day impact on the S&P 500 from major systematic strategies. CTAs are showing buying pressure, while Equity Volatility Control strategies are expected to sell, indicating divergent sentiment among systematic players.
Treasury Futures Signal Shift
BUY
For the first time since February, trend followers are primed to buy US Treasury futures following this week’s decline in yields. This marks a significant potential shift in fixed income positioning.
SPX Option Gamma vs. Spot Levels
This visualization shows the concentration of SPX gamma for delta-hedgers at various spot price levels. The peak indicates the price level where hedging flows will be most impactful, potentially suppressing volatility. As the index moves away from this peak, hedging effects lessen, and volatility can expand.
CTA Positioning Across Asset Classes
CTAs maintain a strong “stretched long” stance in major equity indices, while simultaneously showing a clear divergence in commodities. This highlights a risk-on sentiment in equities alongside specific, trend-driven commodity plays.
Equities (S&P, NDX, NKY)
Stretched Long
Russell 2000
Adding Longs
Gold
Buying
Soybean Oil
Selling
End-of-Day SPX Option Gamma Over Time
This chart tracks the total S&P 500 option gamma for delta-hedgers over the past month. Fluctuations in this value indicate shifts in dealers’ hedging books, which can influence intraday volatility and market resilience. Higher gamma levels generally correspond to more stable, range-bound markets.