Up until this point, the pressure from systematic investors was modest, with Morgan Stanley suggesting that between $20 and $60BN in systematic outflows and deleveraging may hit today.
That changed moments ago, when as Nomura's Charlie McElligott writes in:
"CTA levels for the SPX fut 3128.5 is the level to sell, basically would be pretty big $ selling, the 3m window flips today and we have a weighting of 42.6% in our model for that time window."
As such, the Nomura quant concludes that the signal would go from legacy +100% down to just +15%, resulting in susbtantial deleveraging and implicit selling.
In English: the quants are about to start selling bigly if the S&P closes at or below this key level.
http://www.zerohedge.com/markets/ctas-begin-selling?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+zerohedge%2Ffeed+%28zero+hedge+-+on+a+long+enough+timeline%2C+the+survival+rate+for+everyone+drops+to+zero%29
Realist - Everybody in America is soft, and hates conflict. The cure for this, both in politics and social life, is the same -- hardihood. Give them raw truth.
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