CTA accounts have recently been used as barometers of market sentiment. They are increasingly reliable in this as they are retail clients with small managed money accounts run by a CTA who is most likely following other CTAs in herd fashion.

We get reports by sell side banks advising us when their own clients are overextended and to look for them to be stopped out.

Here is Nomura’s Quant. He is  not sellside and in fact has brought upon himself much derision for being (publicly) bearish. He called the sell off Tuesday based on their in house model of CTA analysis. the positioning described  is in CTA portfolios

Here are all the other key market levels of note:

  • SPX +22% long, would be selling and getting max short under 2664.10 (-21.2bil), buying over 2769.54 to get 68.8% long (+8.2bil), and max long over 2809.59 (+5.4bil)
  • Russell -100% short,  buying over 1577.23 to get +53.2% long and max long over 1660.75
  • NDX +22% long, selling under 6424.00 (-14.2bil), buying over 7170.08 +68.8% long, and max over 7184.96
  • Eurostoxx -100% short, buying over 3231.73 -68.8%(+21.8bil), and flip to long over 3407.34 +53.2%and max long 3425.53
  • Nikkei -100% short, buying over 22,069 to flip and get long 22% (+54.6bil) and more buying over 22,094.5 to get +53.2% long (+14bil) and max long over 22,556.05 (+21bil)
  • HSCEI -68.8% short, should have sold last night to get max short under 10,663.82 (-2.2bil), buying over 11,034.22 (+8.8bil) and max long over 11,719.37 (+3.4bil)
  • US 10yr bonds -29.1% short, selling under 119.0369 (-17.2bil) and max short under 117.9431 (-23.4bil) buying over 122.6506 to get max long
  • EURUSD -100% short, buying / covering over 1.1401 to get to -89.9% short (+5.2bil), more buying over 1.1667 to get to -32.2% short, and flip to long and max long over 1.1895
  • USDJPY +100% long, should be selling today under 112.8644 to get to +89.9% long (-5bil), more selling under 110.4334 (-28bil) and flip to short and max short under 109.1255
  • GBPUSD -100%, buying / covering over 1.2784 to get to -89.9% (+4bil) and more buying over 1.3054 (+23.2bil) and flip to long 1.3428 to max long
  • USDCNH, +32.2% long, buying over 6.9081 (+4.2bil) and max long over 6.9427 (+800mil) selling under and max short under 6.4302 (-10.2bil)
  • WTI -16.2% short, should be max short under 51.4357 (-1.2bil) and holds -16.2% over 51.4462, smaller buying over 59.8621 to go -3.1% short (+200mil) and max long over 62.9969 (+1.4bil)
  • Gold +3.1% long, buying over 1284.19 +89.9% (+1.2bil) and max long over 1305.58 (+200mil), selling and max short under 1195.17 (-1.6bil)

FULL STORY HERE