SpotGamma(@spotgamma):CTAs are apparently massively short bonds: CTAs tripled their underweight/short positions in global bonds a record short per UBS ~$300 million P&L impact for CTAs per 1 bp move in the 10-year Treasury yield You can see similar positioning in the TLT fixed strike vols. This is set to stats-mode, with a 90-day lookback. TLT ATM vol is particularly high (green), with downside strikes at their highs. Conversely, it reads like the call side is being sold hard (red) - that could go bid if rates come down. We'd think a bond short unwind would in turn jack up equities.

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参加 July 2019

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SpotGamma@spotgamma

2026.08.12 11:42

CTAs are apparently massively short bonds: CTAs tripled their underweight/short positions in global bonds a record short per UBS ~$300 million P&L impact for CTAs per 1 bp move in the 10-year Treasury yield You can see similar positioning in the TLT fixed strike vols. This is set to stats-mode, with a 90-day lookback. TLT ATM vol is particularly high (green), with downside strikes at their highs. Conversely, it reads like the call side is being sold hard (red) - that could go bid if rates come down. We'd think a bond short unwind would in turn jack up equities.