Search Results for: S&P 500 future

CTA Net Position in S&P 500 Futures CTAs have decreased their net long positions in S&P 500 futures. Image: Nomura

CTAs’ Net Position in S&P 500 Futures vs. the ISM PMI CTAs remain net buyers of S&P 500 futures. Image: Nomura

VIX vs. Liquidity (S&P 500 Futures Depth) Should investors expect the market depth to increase, as VIX and liquidity are highly negatively correlated? Image: J.P. Morgan

Cumulative Front Month S&P 500 Futures Returns by Time of Day Gains in S&P 500 futures have occurred after-hours since March lows. Image: Goldman Sachs Global Investment Research

Speculative Positions in S&P 500 Futures Contracts Speculative futures in S&P 500 remain net long. Image: J.P. Morgan

S&P 500 Futures Liquidity and Volatility S&P 500 futures liquidity is improving, but remains at low levels and continues to be contingent on volatility. Image: Societe Generale Cross Asset Research

CTA’s Net Position in S&P 500 Futures vs. the S&P 500 This chart suggests that CTAs could continue their net buying of S&P 500 futures. Image: Nomura

S&P 500 Futures Market Liquidity Liquidity in U.S. equity collapsed in early 2018 and remains at low levels. Lack of liquidity tends to lead to violent market moves. Image: Goldman Sachs Global Investment Research

CTAs’ Net Position in S&P 500 Futures vs. S&P 500 Chart suggesting that there would be less short squeezes, as CTAs are covering short S&P 500 future positions. Image: Nomura

U.S. 10-Year Real Rate Leads S&P 500 Future Chart suggesting that the U.S. 10-year real rate leads the S&P 500 future by 22 days. Image: Nordea and Macrobond