Nomura Dive Into CTA Moves In E-Minis

Nomura have noted that "NASDAQ 100 futures (NDX) failed to get back above 11,600. We estimate that CTAs are still exiting long positions in NDX futures. For now, we see 10,820-11,600 as the zone that should attract dip-buying by contrarians, and we see little risk of NDX dropping below 10,820 and thereby setting off a chain reaction of CTAs selling to cut losses. What we expect is that CTAs will do no more than rid themselves of the excess long positions they acquired in July and August, when they extended their position well to the long side of their average historical pattern of accumulation at the 90th percentile. In contrast, CTAs were net buyers of both S&P 500 (SPX) futures and DJIA futures by small margins yesterday, seemingly moving to rebuild their net long positions. We have some doubts as to the sustainability of the net buying of SPX futures, as the SPX is still shy of the technical threshold for CTA positioning that we believe lies at around 3,390. However, we think CTAs are likely to continue buying DJIA futures for as long as the index holds above 27,730."

• The DJIA level has now given way.