FWIW…<\/p>\n
As McElligott writes in a follow-up note, he notes that Nomura’s CTA Trend model\u00a0“is again deleveraging massive notional in long US Equities expressions across SPX, RTY and NDX live.<\/strong>”<\/p>\n This is more about performance and year-end timing than the curve inversion \/ \u201cgrowth scare\u201d story\u2026but that certainly is not helping the sentiment here either, as stops are being triggered across fundamental and rules-based strats.<\/strong><\/p><\/blockquote>\n More importantly, McElligott identifies the specific deleveraging “trigger” behind the S&P waterfall liquidation, which was due to a massive CTA selling order, which was unleashed once deleveraging stops were hit in the S&P. Specifically,\u00a0the SPX model was triggered to sell down at 2,763 with $32.8B notional for sale, reducing CTAs from “+100% Max Long” down to “+65% Long.”<\/strong><\/p>\n It could get even messier\u00a0if the S&P drops another 20 or so points, as the next sell point just under 2,711, where -$32.4B additional notional for sale, with \u201cMax Short\u201d level now lower at 2574, at which point the market would be flooded with -$122B notional in selling volume.<\/strong><\/p>\n https:\/\/www.zerohedge.com\/news\/2018-12-04\/here-what-triggered-todays-sudden-stock-liquidation<\/p>\n","protected":false},"excerpt":{"rendered":" FWIW… As McElligott writes in a follow-up note, he notes that Nomura’s CTA Trend model\u00a0“is again deleveraging massive notional in long US Equities expressions across SPX, RTY and NDX live.” This is more about performance and year-end timing than the … Continue reading