The CTA Positioning just flipped to LONG for the first time since March 10.
Nine days ago (Mar 30), the regime read -0.021 with SPY at $633. We identified SPY $642 as the first CTA covering trigger. It reclaimed on Day 2. We then tracked the 20d DMA falling toward price. It converged on Day 5. SPY has now reclaimed all five moving averages — 20d, 60d, 125d, 250d, and 500d.
Today's regime: +0.223 (LONG)
Bullish:
— VIX term structure in contango (VIX3M/VIX = 1.08), CTAs comfortable holding positions
— VVIX at 111 (normal) full confidence in trend signals, no damping needed
— VIX dropped 16.7% over 5 days
Amber flags:
— Implied correlation at 19.1 and falling — the market is dispersed. CTA signals are noisier when stocks aren't moving together as a bloc.
— SKEW at 150.4: options market pricing tail risk despite the equity rally. Someone is hedging hard.
— DBMF 5-day correlation to SPY at -0.87 — CTAs are STILL short equities. Covering hasn't started. The regime says LONG but the CTA replication ETF says they haven't turned yet.
8 of 10 tracked assets are in uptrends:
DBC +0.791, USO +0.719, IWM +0.617, GLD +0.568, SPY +0.474, QQQ +0.451, FXE +0.425, HYG +0.125
Only two are bearish:
TLT -0.295 (bonds still the primary drag, 20% weight)
UUP -0.261 (dollar weakening)
The dollar weakening and bonds selling off while equities, commodities, and gold all rally, that's a classic risk-on, inflation-hedge regime. CTAs are positioned for it in commodities and gold, but still short equities and bonds.
What to watch:
— DBMF correlation snapping back toward zero = CTA covering has started
— SKEW falling below 140 = tail hedging fading, higher confidence
— Implied correlation rising = macro-driven trends returning, cleaner signals
Not Investment Advice
$SPY $QQQ $TLT $HYG $GLD $USO $DBC $UUP $IWM $FXE