BofA saw significant selling from the systematic community last week and sees CTAs now into a sell cycle. "CTA equity positioning continues to narrow following another difficult week for technology shares. Price trends are projected to weaken across most equity markets next week. Higher realized volatility could also reduce position sizes where CTAs remain long. S&P 500 futures are now the only equity market in this report with consensus long positioning across model speeds and risk tolerances, but that exposure is increasingly at risk, with the first sell trigger only 0.5% below current levels." As they noted, the sell trigger for the S&P 500 now sits just around −0.5% away (from ~−1.1% last week), and it’s now the only equity market in BofA’s report where CTAs are still long across all model speeds. The Nasdaq-100’s sell trigger is even closer at ~−0.2% (from ~−0.9%). For the Russell 2000 they see the next sell trigger at ~−3.0% (from essentially at its trigger last week) along with a buy trigger at +2.4%. Globally they see selling in all scenarios for the upcoming week: −$79B of selling in a “down” market (defined as the 2.5th percentile price path or ~−2.9%, different than Goldman who uses −4.5%; from −$81B last week), with CTAs selling ~$50B, vol control ~$20B and risk parity ~$9B −$48B of selling in a flat market (from −$10B last week) as selling from CTAs (~$38B) and vol control (~$17B) more than offsets ~$7B of buying from risk parity −$1B of selling in an “up” market (defined as the 97.5th percentile price path or ~+3.5%, similar to Goldman; from −$3B last week) as ~$21B of vol-control selling offsets buying from CTAs (~$14B) and risk parity (~$6B).