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Citi strategists reflected once again on the positioning in the futures market, where they noted de-grossing as a result of a fall in both long and short positions.
The strategists note that the futures positioning is steadily turning more bullish, after a few weeks of being mostly negative. The S&P 500 positioning is neutral now while Nasdaq remains a “one-sided short.”
“S&P positioning remained neutral with almost $3.6bn in notional longs and a similar amount of shorts unwound. As a consequence, profit/loss levels have declined. Specifically, with short loss levels now falling, and smaller positioning sizes, squeeze and profit-taking risks have reduced,” the strategists said in a note.
In Europe, EuroStoxx shorts have also decreased but still remain large (-8%). As a result, the strategists continue to see the risk of a short squeeze.
“FTSE 100 bullish positioning momentum had held up in recent weeks, but has now weakened, despite notional positioning being net positive, there has been a notable increase in long covers and new shorts breaking the bullish trend,” they concluded.
