To start November, systematic strategies were running $240 billion worth of long exposure compared to a max long of $530 billion of exposure in February, so plenty of scope to add. During the middle of November, it was forecasted approximately $12B billion worth of systematic buying per day with the VIX ending November at 20.57, its lowest close since Feb 21st (the Friday before the Covid crash began). The november VIX fall was also one of the fastest 50% reduction on record.

But this story with CTAs has changed here, their buying should be done and out of the picture. Even in an up market, Goldman expect CTAs to turn sellers over the next week and there’s a sharp asymmetry to their flows going forward.