50bn of Global Equity Selling pressure?
Post Friday’s sell off in markets, our Global Equity Derivatives Research Team have produced a really interesting note re positioning, leverage, and potential forced selling of Equities
*Pre the Sell off, the S&P had been in a 1.77% range for the longest period in history (42 trading days), this decrease in volatility meant that leverage in the system, and positioning were elevated
*Given the fall in Treasuries as well as Equities, multi asset portfolio volatility experienced a sharp spike
*As a result, we think that there may be up to $52bn of Global Equity selling pressure across Vol controlled multi-asset funds and CTAs (of which c50% could be through US markets).