@BankofAmerica sees $37bn of systematic selling in a down market
@BankofAmerica estimates systematic strategies could sell $37bn of global equities over the coming week in a down market, versus $11bn of buying in an up market. Flat markets would leave positioning broadly unchanged. The flow risk is skewed toward selling.
The bank's 6 Nov 2026 monitor says the selloff took US CTA equity longs to flat as volatility-control strategies cut risk. Global systematic equity positioning still sits above its 5-year median. CTAs could lead selling in a large down market, while volatility-control strategies could add exposure under the median path.
The options backdrop has weakened too. @BankofAmerica puts SPX hedger gamma at -5.4bn and 5-day realized volatility at 17.9%. US leveraged/inverse ETFs sold $4bn of S&P 500 exposure and $13bn of Nasdaq-100 exposure. Those sales have happened. The projected systematic flows depend on the market path from here.
@BankofAmerica estimates systematic strategies could sell $37bn of global equities over the coming week in a down market, versus $11bn of buying in an up market. Flat markets would leave positioning broadly unchanged. The flow risk is skewed toward selling.
The bank's 6 Nov 2026 monitor says the selloff took US CTA equity longs to flat as volatility-control strategies cut risk. Global systematic equity positioning still sits above its 5-year median. CTAs could lead selling in a large down market, while volatility-control strategies could add exposure under the median path.
The options backdrop has weakened too. @BankofAmerica puts SPX hedger gamma at -5.4bn and 5-day realized volatility at 17.9%. US leveraged/inverse ETFs sold $4bn of S&P 500 exposure and $13bn of Nasdaq-100 exposure. Those sales have happened. The projected systematic flows depend on the market path from here.