More on the wave of CTA selling forecast by Goldman Sachs

I posted this from Goldman Sachs:

• Goldman Sachs warns trend following hedge funds could sell up to US$42bn over next month

Similarly, Bank of America are highlighting the potential for CTA selling, nominating a level of 5079 for the S&P 500.

• BofA says CTA trend following firms have stop loss levels close
• implies that further downside will likely put pressure on CTA US equity longs
• equity trend strength is deteriorating which implies CTA selling

BoA nominate levels:

• SPX, 5079
• NDX, 17273
• RUT, 1958

With systematic selling pressure building, BoA say that some gamma buying will act as a cushion until around 5000.