Quants May Be Forced to Sell $30 Billion of Stock Futures as Markets Drop
- CTAs seen flipping to 83% short if S&P 500 closes below 3,933
- Benchmark index at risk of closing below 100-day average
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Thursday’s stock selloff sent the S&P 500 to levels that likely made bears of certain types of rules-based investors.
Commodity trading advisers, who place macro bets in the futures market, likely turned sellers as the S&P 500 dropped as much as 2.6% to 3,892, according to Nomura Securities International’s cross-asset strategist Charlie McElligott. The big money managers could be forced to drop their heretofore bullish posture and go as much as 83% short should the benchmark index close below 3,933, his model shows.