-

RATES

Positioning on policy-rate contracts reduced quite a bit over the week : Fed Funds futures fell by 335,000 contracts (-12.5%) and 1Month-SOFR by 235,000 (-14.8%). This clearing of front-end exposure happens to come after the FOMC meeting in 07-29-26.

Six-month positioning trends remain negative sloping suggesting traders have not fully abandoned higher-for-longer or upside-rate-risk scenarios.

The FOMC held the target range at 3.50%–3.75%. September meeting probability tilted toward a 25 bsp hike.

For 3Month-SOFR, LM unwound short positioning while AM added to longs. At an aggregate net level, total positioning increases. Viewed through a hedging lens, the shift in asset-manager and dealer positioning suggests greater demand to lock in current rate levels as September pricing continues to favor a 25 bsp increase.

-

TREASURIES

Treasuries positionings week-over-week tilted toward upward pressure on yields across the curve. As AM-LM flows likely look symmetrical, which can suggest a commercial hedging read from the AM, taking short positions can therefore be read out as a hedging positioning to the underlying. That could also mean a hedging positioning for taking more exposure on the underlying.

On the other hand, adding long can likely be read out as maintaining duration without having to take cash exposure on the underlings, and long liquidated therefore can likely be read out as potentially less volatile of the underlying.

The 2Y-10Y positionings for the week from AM therefore can be read out as potentially lower yield on the 2-year, and less volatile 10-year.

Long durations positioning :

Week-over-week positioning (below) at the backend of the yield curve can suggest a healthier curve where precise 30Year was Long-Liquidated and adding shorts to the 20years+ treasuries.

The precise 30Year Long Liquidated could be read out as likely lesser demand on maintaining portfolio duration without having to take exposure on the underlying.

And, adding shorts on 20year+ can be read out as a hedge positioning from owning more underlying.

Both of them are still at the extreme positioning in there 52-week lookback.

—

EQUITIES

Week-over-week of equities positioning tilt toward downward movements on the underlying indexes across broad beta. In S&P 500 futures (broad beta) in particular, LM deepened shorts while AM added shorts.

For tech beta (Nasdaq-100) positioning : LM also added shorts and AM liquidated longs.

In VIX futures, week-over-week LM positioning tilted upward on VIX which can suggest remained aware of the tail risk.

—

CURRENCIES

Currency futures positioning reflected EUR, JPY, and GBP in short covering. Six-month flow remain negative slopping on major currencies reflecting market participants being well aware of weakening currencies in the medium-term.

—

CRYPTO

Other reportables has been a main flow initiators in a few of the crypto futures including the perpetualities (the contracts with highest open interests in the category). Over the week, other reportables adding shorts to perpetuality contracts.

More details on perpetuality contracts here

—

As EnQUIPs is now closing. All dashboards and clarity soundtracks are publicly open available. (fee is lifted)

Dashboards

Clarity Soundtrack

Thank you for your time this Morning. :)

-Annie

At a closer look, LM who was the largest flow initiator among other participants continued Build L on Fed Funds Futures and Close S on 3Month-SOFR.

How would we see these dynamics played out historically? let’s review.

In the table below, the continued Build L on Fed Funds Futures and Close S on 3Month-SOFR has been filtered and listed down.

The pink highlights are positionings that were more than 1SD of both 3Month-SOFR and Fed Funds in the 52 Week lookback. What stands out was 04-15-25 : the week after the “Liberation Day” when sudden upward pressure on inflations influenced a treasuries selloff and led to basis trade unwound (closing Shorts).

Should we be alarmed with the 7/28/26 week positioning?

Two things stand out.

1. the magnitude is an outlier among the outliers - other historical match (Short-Covering on 3Month SOFR and Build L on Fed Funds) of this exact dynamics were between ‑5.27% and +3.35% on the SOFR3M leg; 7/28/26 was ‑19.10% is roughly 3.6x larger than the most recent instance (4/15/25).

2. The 3Month SOFR3 readings in the entire dataset (since 2018) all came in consecutively during April through June. This isn’t an isolated shock, it’s a gradual deepening in Shorts, and then started to unwind in July leading up to this most recent week of 07-28-26.

   

   The following chart shows Short unwound in 3Month-SOFR in early July while Fed funds continued the deepening “net short” positioning and shifted up 2 weeks later leading up to the FOMC meeting in 07-29-2026.

   

Thanks for your time this Morning. :)

Annie

The update for the week. Fed fund futures increased largely 11.7% from both cohorts, LM built L and AM deepen S. 3-Month SOFR on the other hand experiencing an upward pressure as both cohorts are closing their shorts and longs.

SOFR rates slightly higher than Fed funds rates leading up to the FOMC meeting on 07-29-26. After the meeting, SOFR remained slightly higher (2bsp).

SOFR running a bit above fed funds may suggest secured-funding pressure is a bit of a live market-plumbing variable if these dynamics prolong or spread is widening. This Fed Funds dynamics can often see at the time leading to a policy meeting date and basis trade.

The current FOMC rates are maintained at 3.5% - 3.75%.

^{Source : CoT Reports, and Positioning Read Tool by Pord.}

For 3-Month SOFR and Fed Funds, open interests give a proxy for commitment and crowding in specific rate views. They are:

• Committed exposure to a term of the overnight funding risk.

• Crowding in specific policy dates and basis trades. Elevated OI in particular expiry clusters often corresponds to heavy hedging/speculation around FOMC meetings, turn effects, and SOFR-Fed Funds basis trades.

• A “soundcheck” as these macro narratives evolve such as a CPI surprises. In an event where rising or stable high OI while we have a surprise, that shows the street is still in a view rather than fading.

Notes : A market event such as policy rates compression from the sudden CPI upward pressure is less likely be driven / cushioned by changes in policy rate.

^-
TRESURIES

Leading up to the FOMC meeting, 2Year Treasuries w/w AM Build L < LM Closing S, reflected an upward pressure to the underlying. This upward pressures to the underlings also applied to other duration across the curve, 5-Year, 30-Year, Precise 30-Year (Ultra UST Bonds)

^{Source : CoT Reports, and Positioning Read Tool by Pord.}

^-
EQUITIES

Week-over-week flows on equities futures were tilted to the upside from S-coverings (close S). VIX contracts reduced from both L-Liquidated and S-Covering.

-
CURRENCIES

Brazilian real contracts increased significantly over the week by LM L Liquidated > AM Built L.

EURO / GBP contract in particular, the flows have been trending downward on both major cohorts. Week-over-week AM added S while non-reportables closed L pushed trend declined further.

For a relative value trade of L Bund and S UK-Gilt when base currency is GBP, short EURO / GBP could remove currency risk, and make the entire pocket EUR / GBP - neutral.

If USD is the base currency, Short EUR / USD, and Long GBP / USD.

-
CRYPTO

Nano Bitcoin Perpetual changed significantly over the week, reflecting other reportables short covering > LM long liquidated.

-

Level. Term. Structure. and Relative volatility between actual and implied.

The VIX level helps understand how price movements have spooked us so far. Term and Structure, the VIX curve adds time value to the spooked spot. And, relative value tells more about the spooked level of a one-month lookback in relation to a one-month looking forward. To be thorough, let’s also include -

Volume. and Open Interest.

While the volume tells us about the activity on the uncertainty (busy, not busy), open interest tells us how much risk is being warehoused.

• When the underlying (the market) is trending up. Warehousing on risk also grows.

• When the uncertainty is up. Implied volatility up. The warehousing is now getting pricy and therefore can lead to some VIX unwinding.

These dynamics led to a further study on what does OI actually capture in the context of market downturns? Whether OI-based patterns do more than describing market activity after the fact.

—

SETTING UP :

Two setups were made to study on this :

1. When the underlying is trending up. Warehousing on risk also grows. : The build up led to the momentum style setup.

2. When the uncertainty is up. Implied volatility up. The warehousing is now getting pricy and therefore can lead to some VIX unwinding. : The unwind led to the mean reversion style setup.

—

METHOD :

Compare observed hit rates to random or historical baselines using Monte Carlo simulation.

—

RESULTS :

The momentum style setup.

^{Source : Pord.}

The momentum-style setup outperformed its baseline, an 80% hit rate versus a 72% base rate. P-Value was 0.37 (the general acceptable range likely around 0.05).

That makes the momentum setup can be useful as a confirmation layer, but less likely be a standalone directional signal.

—

The mean reversion style setup.

^{Source : Pord.}

The mean reversion style setup has better results on both metrics, the hit rate is above baseline, a wider margin of 73% over 55% suggests directionally encouraging. P-value is 0.12, good and also well above 0.05. The negative correlation is directionally consistent with the story, but it is modest.

The result is directionally encouraging, but it does not yet justify the large VIX unwinding as a definite measure to forecast downside on underlying on their own.

This mean reversion style setup also warrants further study, especially around regime dependence, sample stability, and out-of-sample performance.

—

INTERPRETATIONs :

• Across the sample, OI-based patterns show some directional association with downside episodes, but the evidence remains mixed.

• The momentum-style setup showed an 80% hit rate versus a 72% baseline, the gap is thin. That makes this momentum setup can be useful as a confirmation layer, but likely be a standalone directional signal.

• The mean-reversion-style setup produced a 73% hit rate versus a 55% random baseline, with a one-sided Monte Carlo p-value of 0.12, suggesting a potentially meaningful and therefore warrants for further refining study on the topic.

• From this study on both style setups, VIX open interest appears to contain some directional information around downside episodes. It may improve the odds of identifying vulnerable market states, where downside conditions are more likely to emerge, and where conviction may be building.

—

BOTTOM LINE :

How would you set the title of this study?

• From Activity to Risk: Volatility Open Interest

• A study of VIX level, term structure, and open interest to assess whether positioning dynamics can help identify vulnerable market conditions.

• A Lens on Market Stress

—

Portal Access

Regardless, let’s start with the usual : The weekly read for 07-21-26.

—

RATES

^{Source : CoT Reports, and Positioning Read Tool by Pord.}

• Longer term flows between 3-Month SOFR and Fed Funds futures have shown different dynamics. For 3-Month SOFR : Both flows from LM and AM have been moving likely in the same direction over the past 6M while EFFR futures have been more symmetrical.

• Longer term SOFR flows have also been tilting downward. Week-over-week on the other hand, LM built longs more than AM closed longs, leaving the flow mix with a slight upward tilt.

• For EFFR futures, more symmetrical in their positioning between AM and LM led to a commercial : non-commercial dynamics in commodities futures. As commercial hedge could be a way to preserve the underlying value in hedger’s portfolio, activity in futures therefore likely to coincide with changes in exposure, price level, and uncertainty in the underlying. More upside. More Risk. More Hedge.

• Week-over-week flows of Fed funds futures contracts were mixed and tilted less positive, as AM added shorts more than LM added longs.

Adding more context to the topic, leading up to this week FOMC meeting, the probabilities of interest rate to add 25bsp has been increasing.

^{Source : CME Group}

Further out to the September meeting, the probabilities of 25bsp increased were maintained around 55% since 07-21-26. The probabilities of 25 bsp increased derived from of 3-Month SOFR have now at 84.6%.

^{Source : CME Group}

^{Source : Atlanta Fed}

—

TREASURIES

^{Source : CoT Reports, and Positioning Read Tool by Pord.}

2s- 10s - 5s - 30s Dynamics :

• The dynamics between AM and LM on treasuries futures have also been broadly symmetrical. Over the past six months, their flows tended to converge and diverge together.

• Ultra 10s and 30s in particular, flows tend to look symmetrical and have moved in the same direction, likely reflecting more precise positioning on this precisely 10s and the 30s futures. More context to the topic, applying a view of a commercial hedge to the treasuries positioning(s) can be more thorough when considering the risk management role of futures as maintaining the level of exposure (not reducing) or keeping good balance of durations between the asset side and the liability side without having to take actual cash exposure on the underlying.

• What this means is that commercial positioning can align with either direction in the underlying price. Studying specific timeframes for recurring patterns may add context for when positioning is more informative about one price direction versus the other.

• Over the past six months, AM positioning in 2s and Ultra10s appears to have unwound.

• w/w : LM closed shorts on 2s-10s and drove flows, tilt positive.

• ^{Pord. api : positioning context also available as metrics for download.}

—

After 07-21-26, the curve flied up even further at the shorter end of the curve.

US Treasury Curve.com

—

EQUITIES

• SP500 tilt positive largely from LM short coverings.

• Longer term flows (over the past 6M) of cyclical beta (Russell2000) and tech beta (Nasdaq100) have in fact been bearish as both dominant cohorts run negative slope.

• While the index implies volatility in pricing, open interest can add contexts on how much risk is being warehoused. Over the week, VIX total contracts were added moderately, and LM Long liquidated (close L) drove tactical flows tilted a tad upside to the underlying index. w/w AM continued building long.

• SP500 Short covering (close S) and VIX Long liquidated (close L) can be read out as a reset, but with a note on the market remained net short and AM moved in the opposite direction.

• More context on equity markets, after 07-21-26, SP500 has been trending downward.

^{Source : CoT Reports, and Positioning Read Tool by Pord.}

SPY : ETF Proxy

^{Source : Stock Analysis}

Hope you enjoy this quick summary for 3 main asset types. See you in the MID-WEEK DEEP DIVE

Pord. API and PORTAL ACCESS

2. What do current futures positions tell us about factor tilts, and a few more risk management overlay?

This week deep dive will cover how Asset Managers (AM) and Leveraged Managers (LM) positioning across “Beta & Broad Index,” “Factor & Size,” “Sector Overlay,” and “Regional & EM” futures can be mapped into two live equity portfolios -a broader equity book and a sector tilt pocket.

—

1. EQUITY PORTFOLIO DERIVED FROM FUTURES POSITIONING.

Hi,

With no further ado, let’s start with the breakdown. The equity section in the financial futures has been re-arranged and listed down as following;

—

This set of equity futures then were grouped into 2 portfolios.

(P.S. Not Investment Advice)

1. Broader equity portfolio

2. Sector tilt pocket.

The broader equity portfolio allocation:

—

Sector Tilt Pocket (Week 07-14-2026 - Big Banks Earnings)

—

Closer look on risk / return profiles

—

Broader equity portfolio, potentially designed to managed beta, factor exposures (growth vs dividend vs cyclicals), and regional tilts. Year to date, overall return was around 11.7% (SP500 was 9.5%.)

Sector Tilt Pocket: This pocket captures how AM and LM have positioned sector futures within their portfolios. Year to date, the basket has tilted toward more defensive sectors.

—

2. RISK MANAGEMENT OVERLAY

Alongside portfolio construction, positioning read on each of the contract names pops up a few risk management overlays:

1. Tilt the factor mix (dividend/value vs pure growth) of the equity portfolio.

   —

2. Short Russell E‑mini against long Russell dividend and/or small‑cap cash exposures, carry small‑cap yield while manage its beta.

   —

3. Get benchmark alignment or a specific factor tilt. DJIA futures and mid‑cap S&P 400 for tuning the “quality vs mid‑cap cyclical” mix in a portfolio of large‑cap ETFs or maybe single names.

   —

4. Short E‑mini S&P Financial Index around bank earnings season, balancing downside earnings surprises without having to unwind the equity book.

   —

5. Long/short S&P 500 and Nasdaq futures around an existing equity book to keep net beta near target.

   —

6. Adjust the global equity mix of the portfolio. Regional relative‑value overlay.

   —

7. With both long and short EM futures in size, LM is likely keeping EM exposure in line with benchmark while managing tactical event risk.

   —

ONE LINE REPORT

To add more context on the risk management overlay: Positioning read is now distilled into a single, decision‑ready line per contract. Read each in isolation or as part of a cross‑contract overlay.

The last two columns - “Long Liquidation / Short Covering” and “Squeeze Risk” - are shielded for subscribers, as they translate raw contract activity into where positioning stress is building and where squeezes are most likely at.

^{Source: CoT Reports and CoT positioning read at Pord.}

—

More Detail on POSITIONING READ TOOL

—

I hope you find this week’s notes useful for how you think about overlays, beta, and factor tilts in your own book.

Thanks for reading, and good night.
Annie

1. Leveraged positioning on 3‑month SOFR andwhat are leveraged managers pricing in the 2s10s curve?

2. How Leveraged Managers positioned their tech beta.

3. How has euro softness reshaped both Asset Managers and Leveraged Managers positioning?

—

1. Leveraged positioning on 3‑month SOFR and what are leveraged managers pricing in the 2s10s curve?

^{Source : CoT Reports, and Positioning Read Tool by Pord.}

For 3Month-SOFR :

• LM closed Short > Long.

• Leveraged funds remain structurally short 3Month SOFR, but trimmed a significant amount of exposure this week, reflecting a large drop in open interest.

• This signals bearishness at the very front‑end from LM versus prior weeks.

^{Source : CoT Reports, and Positioning Read Tool by Pord.}

For the 2s10s Dynamics:

• LM positioning for the week : Long 2Year and Short 10Year.

• This dynamic would benefit if front‑end yields fall more than long‑end yields, effectively expressing a bull‑steepener view on the 2s10s curve.

• This setup also sits comfortably alongside a soft‑landing narrative which can often find in a broadening out of the equity market.

^{Source : CoT Reports, and Positioning Read Tool by Pord.}

—

2. How Leveraged Managers positioned their tech beta.

^{Source : CoT Reports, and Positioning Read Tool by Pord.}

• All 4 contract names for Tech Beta (Nasdaq100), Broad Beta (SP500), and Tail Risk (VIX) reflect soft w/w change, running within 1SD in the 52-week lookback.

• LM increased their short positioning in the Nasdaq 100, and

• LM also increased their positioning in VIX.

• Tilting their beta and volatility risk profile toward a more defensive stance.

^{Source : CoT Reports, and Positioning Read Tool by Pord.}

—

3. How has euro softness reshaped both Asset Managers and Leveraged Managers positioning?

Softened EURO tipped off more shorts in EURO and closing shorts in British Pound

^{Source : CoT Reports, and Positioning Read Tool by Pord.}

EURO CONTRACTs :

• Asset Managers (AM) continued structurally long EUR, but the marginal weekly flow is cautious - small short additions.

• LM increased shorts.

• With weaker euro‑area growth or faster ECB cuts, LM shorts can be validated, and AM may start cutting longs.

• Additional Info on EU Economy : IMF and OECD

^{Source : CoT Reports, Positioning Read Tool by Pord., and SA Analysis}

BRITISH POUND CONTRACTs :

• Both AM and LM closed their short positioning in British Pound (GBP)

• Softened EURO drove the carry between EURO and GBP to be more expensive and led to reduced short positioning in British Pound.

• Additional info on UK Economy

^{Source : CoT Reports, and Positioning Read Tool by Pord.}

WHY THE CARRY, NOT GBP / USD DYNAMICs :

AM has been at “Net Short” for over the past few years in Pound Sterling, and was even more so during stronger pounds (GBP) in 2025. The dynamics of Asset Managers positioning in Pound Sterling therefore less likely between GBP / USD.

Further, UK and EU interest rates on the other hand support the carry between the two. BOE policy rates : 3.75% (held at the June 2026 MPC meeting). ECB policy rates around 2.25-2.65% (effective 17 June 2026).

^{Source : CoT Reports, Positioning Read Tool by Pord., and SA Analysis}

—

A fun curated investment overlay emerged from the week’s positioning read will be added later this week.

Membership ask:

I hope you will consider becoming a founding member.

Founding Member Portal

Your support funds the infrastructure, and time required to improve the platform and expand the utility of the research for subscribers.

Use of funds:

Support directly enables-

• Continue refining the CoT Positioning Read Portal to make it more useful and actionable in day‑to‑day decision‑making.

• Maintain the Substack as a centralized archive of 1. Weekly Positioning updates and 2. Weekly Deep Dive.

• Develop additional strategy playbooks and positioning tools that help translate market structure into implementation frameworks.

• More Detail on POSITIONING READ TOOL
  

  THANK YOU.

  Annie

This week’s deep dive will cover a fun contract name layering to try in the charting board for positioning read for the Beta-Volatility overlay strategies. the - QQQM - SPDN - VIXY or the - QQQM - SPDN - SVIX.

Contract Layering Set :

1. SP500 Consolidated (#17).

2. SP500 MICRO (#19) - for reading Individual Investors Positioning.

3. Nasdaq 100 Consolidated (#36).

4. VIX (#47).

—

But first - INFLATION Print.

Headline CPI running in the mid‑3% range year‑over‑year, down from over 4% in May, with the June report surprising slightly to the downside. Month‑over‑month, the June CPI print actually showed a small decline, driven in part by energy. Inflation has cooled down a bit for the month.

SP500 increased 0.38% yesterday.

^{Source : spglobal}

—

Inflation prints led to more narratives around broaden equity market. To add context, I’ve highlighted some February findings on S&P 500 breadth (equal‑ vs cap‑weighted) as the most recent proxy on the broadening market :

• 1. An analysis notes on February 18, 2026, the S&P 500 Equal Weight Index is off to its strongest start to a year relative to the cap‑weighted index since 1992, with energy, industrials, and materials outperforming technology. ^{More detail here.}

• 2. Another analysis note for Q1 2026 highlights a performance gap exceeding 600 bps in February between equal‑weight (RSP proxy) and cap‑weight (SPY proxy). ^{More detail here.}

• 3. S&P Dow Jones February dashboard indicates the S&P 500®Equal Weight Index outperformed the S&P 500 by 4%, reflecting catch‑up and improving breadth. spdji

—

What “BREADTH” looks like right now :

^{Source : SA-Stock Analysis}

Price change over the week (07/08 - 07/15) has been sporadically on green, while utility, consumer staples, and industrials sectors were on red.

—

Let’s have a look on the POSITIONING Overlay from CoT Reports.

• 1. AM, LM positionings have been on a neutral zone (within 1SD of their 52-week lookback) and they have maintained at these levels for over the past few weeks.

• 2. AM, LM, and NonRept increased long positioning on Nasdaq 100.

• 3. Individual Investors closed their shorts on the SP500 index while increased their shorts on VIX.

• Detail for this contract layering set: SP500 - NDX100 - Micro SP500 - VIX is presented in APPENDIX section.
  

Putting together CPI, PPI, Breadth, and Positioning Overlay -

The Macro + Price + Positioning led me to start thinking about layering this set of Beta-Volatility Playbook.

Long Nasdaq100 - Long Inverse SP500 (instead of Short SP500) - and Long VIX.

I have adjusted the setting to work with long only ETF portfolio.

PS: All set of investments stated in this article are not investment advice.

Important Note: This’s a layering set(s) for pure pricing movements, does not include dividends and expense ratios. And, inverse ETFs reset their exposure every end-of-day to maintain that daily inverse relationship. Leave this setting unattended for a period of time can cause an adverse impact. Sizing and Exit strategy are also very important.

Example Set Up:

Long QQQM: $85,000 (85%).

Long SPDN: $5,000 (5%)

Long VIXY: $10,000 (10%)

That could give a year-to-date risk and return profile of around : Return 14.25%, SD 21.77%, and a maximum drawdown of -2.0%.

SPY year-to-date risk and return profile : Return 9.51%, SD 18.87%, and a maximum drawdown of -6.02%

—

AND - to celebrate this week’s inflation print, let’s add a little twist: short VIX to capture the benefits of contango in a sanguine macro environment.

Long Nasdaq 100 - Long Inverse SP500 and - Short VIX

Example Setup:

Long QQQM: $80,000 (80%).

Long SPDN: $10,000 (10%)

Long SVIX: $10,000 (10%)

This set gives higher year-to-date SD : 37.83% with lighter maximum drawdown at -5.10% (SPY was -6.02%).

P&L Scenario:

To add context around this week only special, the flip from long VIX to short VIX ;

AM latest positioning on VIX was at “net short” and we last saw AM at this “net short” during the equity market broadening in January–February earlier this year.

Further updates on this short VIX overlay will be provided when the positioning backdrop warrants it.

IMPORTANT NOTEs : Sizing and Exit strategy are also very important for this

BETA - VOL OVERLAY : QQQM (tech beta), SPDN (broad beta), and SVIX (short vol).

• Tech beta (QQQM) Sizing Variables: Semiconductors and Tech Earnings.

• Broad beta (SPDN) Sizing Variables: How the broadened out across sector can offsetting any shifts in tech.

• Short Vol (SVIX) Sizing Variables : Mean Reverse in VIX.

—

I hope the demonstration of contract layering and the beta–volatility overlay was practical and …. entertaining.

Thank you, and see you on the next weekly update.

-Annie

—

- More detail about this positioning-read tool. -

Thank you for becoming a founding member

APPENDIX

From the latest positioning reports on 07-07-26,

• 1. SP500 contracts were in the neutral zone by both AM, and LM. Their positionings were within 1SD band.

  ^{( Notes: AM Asset Managers likely are Pension Funds, Insurers, and LM Leveraged Funds likely are Hedge Funds. And, SP500 Consolidated = Mini + Micro = All sizes of SP500 contracts)}

• 2. Nasdaq was different. LM was at “significant net short”. Their positioning has rarely been this much short in over the past 52 weeks.

• 3. For VIX : LM was at “significant long” positioning (i.e. Their positioning is more than 2SD.) let’s unfold this one-by-one.

—

SP500

^{Source: CoT Reports and CoT positioning read at Pord.}

The image above shows how each type of market participants takes part in positioning with SP500 contracts, AM and LM combined was around 63%. Looking further on their positioning over the past few weeks, the level of positioning has been maintained (charting below).

AM, LM positionings have been on a neutral zone (within 1SD of their 52-week lookback) and have been maintained at these levels for over the past few weeks. I believe this adds supporting context if looking to size positioning up.

^{Source: CoT Reports and CoT positioning read at Pord.}

—

MICRO SP500

For micro contracts, about 54% was positioning by individual investors, and compact size hedge funds. To have a more complete picture of positioning on SP500, individual investors were closing their shorts positioning and increased their shorts on VIX.

^{Source: CoT Reports and CoT positioning read at Pord.}

—

VIX

Individual investors and compact hedge funds added their positioning in VIX, and their “net short” positioning has been deeper.

^{Source: CoT Reports and CoT positioning read at Pord.}

—

NDX100

From the weekly summary, LM was at “significant net short”. Their positioning has rarely been this much short in over the past 52 weeks. However, when looking at the number of contracts increase for the week, LM and most participants (AM, and Individual investors) were not only closing their shorts but also adding more longs.

^{Source: CoT Reports and CoT positioning read at Pord.}

—

SUMMARY OF THE POSITIONING OVERLAY :

1. AM, LM positionings have been on a neutral zone (within 1SD of their 52-week lookback) and they have maintained at these levels for over the past few weeks.

2. AM, LM, and NonRept increased long positioning on Nasdaq 100.

3. Individual Investors closed their shorts on the SP500 index while increased their shorts on VIX.

That was the first set of questions that led to …wait. Perpetual. and with Futures? How that could be done so? As far as I remember, setting futures price would essentially and definitely have to set the expiration date. But perpetual seems “forever”. No expiration. How the calculation can be made when the period is set to forever.

This’s the very time that “Here is how” from my ai agent really speaks to me.

Let me take Nano Bitcoin Perpetuality as one to start with.

Perpetual futures are non-expiring, cash‑settled futures that anchor to spot via periodic funding payments; BTCPERP is the first CFTC‑approved, onshore implementation of that structure for U.S. traders.

Perpetual futures let you trade with no set expiration. it's continuous, with an eight-hour funding fee to keep its price in line with the spot market. Every eight hours, traders either pay or receive a funding fee based on whether the perpetual contract price is above or below the spot price. If the contract trades above spot, long positions pay shorts; if below, shorts pay longs.

Every eight hours a cash payment flows between longs and shorts, adjusting their balances to keep the contract price aligned with the spot market.

—

For Nano Bitcoin futures, they are standardized contracts that settle in cash on a set expiration date. The final settlement price is usually based on a reference index for Bitcoin. At expiration, any profit or loss is settled in dollars rather than delivering actual Bitcoin.

Margin requirements are set by the exchange and adjusted daily as prices move. Each day, profits or losses are credited or debited. This is called daily mark-to-market. So, the margin balance reflects gains or losses without waiting for final settlement. If the balance drops below maintenance margin, more funds needed to be added.

—

Both Bitcoin futures and Bitcoin Perpetuality can be exited any time, but the perpetual requires monitoring those ongoing funding payments instead of an expiration.

That gives another definition of what perpetual can possibly mean. And before I go looping eternally on the mechanism of them both, let me add findings from the positioning read here.

^{source: CoT Report and Pord.}

From the CoT Report week 07-07-26, the nano bitcoins names (both standardized futures and perpetuality) seem to have a dynamic of in/out rotating from one another there. In fact, when having a closer look. they are running dominantly by essentially different type of market participants.

^{source: CoT Report and Pord.}

For the Nano Perpetual style, gross contracts (which combined both long and short legs. So, the total gross = 2*Open Interest) runs distinctively high by OthRept (Other Reportables). And for the week, “other reportables” are trimming their positioning.

In CFTC disaggregated data, “Other Reportables” are large traders that are not classified as dealers, asset managers, or leveraged funds. This bucket often captures:

• RIAs, HNW (high-net-worth), family offices, commodity trading advisors, and proprietary/compact size systematic firms.

• Institutions and corporates with hedging/speculative Bitcoin exposure that don’t fall into the hedge‑fund/leveraged‑fund profile.

—

^{source: CoT Report and Pord.}

For Nano Bitcoin (a standard futures contract with a contract size of 1/100 x Bitcoin. - the full Bitcoin contract size is 5 Bitcoins), Leveraged Funds take the most positioning among others. And, for the week, leveraged funds increased their positioning.

—

Why OthRept tends to take Perpetuality and LM tends to take a standard futures contract.

That could possibly be because:

1. The nano Bitcoin perpetuality is offered via mainstream brokers like Interactive Brokers, NinjaTrader, Tradovate. which is a natural access point for exactly the “Other Reportable” accounts.

2. Perpetual futures embed an ongoing funding‑rate transfer between longs and shorts to keep the perpetual price in line with spot. When the divergence from the spot swings positive or negative, one side of the book effectively pays a continuous fee to the other, turning what looks like a static futures position into a carry with uncertain and time‑varying P&L pull.

3. Nano Bitcoin futures, on the other hand, tie into existing futures rails and margin infrastructure, often offering operationally simpler and more cost effective as the carry doesn’t have embedded funding convexity. Leveraged funds therefore tends to lean toward Bitcoin futures where the carry is simpler/cleaner - fixed margin, no funding‑rate payments, and well‑understood expiry/cash‑settle profile.

—

With this difference contract mechanism, that led to different positioning profiles. The cost of the carry might be the part that keeps perpetuality moves more frequent either as part of the strategy or a hedge.

For the week, OthRept reduced their positioning off about 17,500 shorts, and 22,700 longs. (Longs > Shorts)

For the week, LM increased their positioning off about 13,000 shorts, and 9,500 longs. (Shorts > Longs)

So, the difference mechanism of how contracts are structured might in fact help understand pricing of the underlying Bitcoin index when the pull back on the long side by the OthRept in Nano Perpetuality goes alongside with increasing short positioning of Nano Bitcoin by Leverage Funds.

Below is the pricing of IBIT as of now 07-13-26, 11.52am.

^{Source: Stock Analysis}

This’s simply one finding. No pattern confirmation has been studied just yet. Let me know if that might be a deep dive you’d like me to cover.

It’s almost noon, I’d like to end the mini notes here. Hope you have a yummy lunch. Thank you for your time. And.

Thank you very much for becoming a founding member.

-Annie

Founding Member Subscription

One. Fed Fund and 1-Month SOFR spreads rotated into a carry and roll further out the curve with 3-month SOFR.

Two. Notable positioning declines in Japanese Yen and Euro FX contracts.

Three. Different dynamics between positioning of Asset Managers and Leveraged Funds Managers in Japanese Yen and Euto FX.

—

The standout names for the week are the divergence between 3‑Month SOFR and the very front‑end 1‑Month and Fed Funds’. Positioning in 3‑Month SOFR rose by roughly 252,700 contracts, while about 380,000 contracts were closed out across 1‑Month SOFR and Fed Funds futures. The closed-out contracts were about 1.5 times more than the add.

Leveraged funds, which tend to use futures tactically rather than to hedge underlying cash assets, significantly reduced their rate‑futures exposure over the week by closing roughly 119,500 long contracts in 30‑Day Fed Funds futures and about 164,000 short contracts in 1‑Month SOFR futures. This dynamic is more inclined to largely unwind or realize P&L on Fed Funds–SOFR spread trades rather than simply exit a one‑sided directional view on short‑term interest rates.

For the week, EFFR rates (the underlying rates for Fed Funds Futures) were averaged at 3.63% and the 1-Month SOFR rates were averaged at 3.64%.

More info on EFFR and 1-Month SOFR here.

On the adding side, leveraged funds increased their long 3‑Month SOFR positioning by about 130,700 contracts, a little over a half of the total 252,700 contracts added. Taken together, the flows suggest a rotation away from ultra‑short policy‑rate futures into 3‑month SOFR exposure, potentially the relative value on Fed Funds–SOFR spreads are now thinner than capturing a carry and roll further out the curve.

The focus therefore could be on where along the policy‑rate curve the market participants prefer to hold exposure (1‑month vs 3‑month) and how that positioning can best benefit by which way to do so, structuring basis trades versus cash rates.

—

Further down the summary board, several FX contracts saw meaningful position reductions. In Japanese yen, total positioning fell by 52,600 contracts.

Leveraged funds closed their short positioning roughly 41,700 contracts. Asset managers also decreased their shorts’ of about 16,500 contracts during the week.

More to the topic:

• Finding 01: Bank of Japan (BoJ) intervention and further rate hikes haven’t yet curbed “excessive” inflows that weakened yen as the carry trades still look compelling. _{The carry trade : involves borrowing in a low‑yielding currency, such as the Japanese yen, and using those funds to invest in higher‑yielding assets denominated in other currencies or regions, aiming to capture the interest rate differential as profit.}

• Finding 02: Japanese Yen futures are trading near forty‑year lows (as of July 06).

More Details here on Japanese Yen positioning and Bank of Japan intervention

The carry trade adds context to why the dynamic between both cohorts is now on the same side: Asset Managers have steadily cut long yen exposure and turned “net short” since March, while leveraged funds maintain a deeper short.

And the skepticism around further intervention which haven’t yet curved the inflows (and therefore keeps weakening yen) can be a topic to keep close alongside this reduction in short positioning from both cohorts.

—

Another name with notable positioning decreases for the week is Euro. The dynamic is coming from one side, the leveraged funds decreased their positioning in Euro FX futures on both long and short, about 34,000 long contracts and about 49,000 short contracts.

—

Having a closer look, Euro Fx and Japanese Yen both positioning declined but in a very different dynamic. The leveraged Funds and Asset Managers interaction looks very different across the two.

In Euro FX, asset managers remain structurally net long (around 31% of open interest) while leveraged funds run a modest net short. By contrast, in Japanese Yen, both cohorts are now on the same side.

For Euro FX, Eurozone growth is soft, and policy rates are now closer to a “normal” range (around the mid‑2s), which makes EUR a more plausible reserve/portfolio currency for asset managers to hold structurally long, both to align with euro‑denominated asset exposure and to maintain diversified, multi‑currency exposure in portfolios.

—

Further to this weekly summary will be grouped by type of assets and listed down as following: Rates, Treasuries, Equity, FX, Crypto, and Commodity/Credits. They will be presented in the appendix section.

Thank you for your time this Morning, another weekly deep dive will be out later this week. A direct link to the almond board (aka the charting board), where you can layer multiple index names at once for your own positioning read, is available here.

My attempt and intention I hope to come across is for this “almond board and its weekly reports” to be a useful commodity for your workflow. Thank you for becoming a founding member.

Founding Member Portal

Thank you.
_{Note: One subscription for access to both Substack and the Positioning-Read tool.}

APPENDIX :

RATEs

TRESURIEs

EQUITIEs

FX

Crypto

COMMODITY / CREDITs

SOFR 3M futures can be the most liquid linear instrument to hedge or express views on short‑term USD rates without having to restructure the allocation.

In this read, let’s start with

1. Difference of SOFR 1M and SOFR 3M. Then,

2. Pairing an ETF with SOFR 3M : Implementation a hedge, and

3. Other ways to work around rising rates for stricter mandates (minimal volatility) portfolios.

—

1. SOFR 1M and SOFR 3M - WHICH ONE?

In principle, 1M SOFR futures can in fact be the exact hedge to the short‑term USD rates. However, market liquidity, and total number of contracts (open interest), are much stronger in SOFR 3M. The primary pool of futures contracts therefore might be considered for SOFR 3M rather than for SOFR 1M.

—

2. IMPLEMENTATION

Using SOFR 3M futures to balance Front-End risk.

At a high level, match the DV01 (or funding‑rate beta) of the cash instruments (T‑bills) with the DV01/beta of SOFR :

Example:

- displaying the mechanism - not investment advice -

Risk balancing between : $1million in SGOV and SOFR 3M

Potential rate change : 25 bps

SGOV side :

From the SGOV fact sheet, the fund’s effective duration is about 0.09 years.

Using the standard approximation for a parallel yield move:

Change in P = Duration * Change in Yield

Change in P = 0.09 * 10 bsp = $9

Considering a notional of $100,000 / bonds, $1M would be equivalent to 10 bonds. And 1bp change in yield therefore = to $9 * 10 = $90

Change in P = - $90

Interest Rate increases by 10 bps, SGOV change -$90

—

SOFR 3M side :

DV01 is sort of set at = $25 / contract per bp

Change in P = $25 * 10 bps

Change in P = + $250

Interest Rate increases by 10 bps, SOFR 3M change +$250

—

Long SGOV and Short SOFR 3M :

Interest Rate change by 10 bps

Net gain = -$90 +$250 = $160

—

Important Reminder:

Net Portfolio Risk when rate rise 1bp : Net DV01 = $9 - $25 = -$16

When rate falls 1bp : Net DV01= - $9 + $25 = +$16

SOFR futures is a different mechanism that comes with daily settlement - futures P&L reflects in the account each day and the effective income stream from that pocket becomes SGOV yield ± futures MTM.

Futures don’t “lock in” a no‑risk state, they transform rate exposure into a leveraged, daily‑realized P&L profile.

—

Further details :

SOFR 3M Contract Size = $2,500 × IMM Index (the price in points).

SOFR 3M Rate = 3.75202%

Equity Value of the contract (exposure) = $2,500 * (100 - 3.75202)

$240,619.95

And. To short 1 SOFR 3M futures, the actual cash requirement is:

1. Initial margin per contract

2. Maintenance margin

3. P&L Buffer

“The $240,619.95 equity value does not need to be fully funded; it is the exposure that the margin capital is leveraging.“

more detail here.

—

3. HAVE THE SHORT DURATION BOOK WORKS EFFECTIVELY DURING RISING RATEs

In another mix of : short‑duration bonds tracking policy rates with stricter portfolio mandates (inclining to minimal volatility).

—

From the weekly CoT reports : 06-26-2026:

How Leveraged Managers (LM) added more short positions have inspired me to actually start thinking about SOFR 3M futures as sort of a hedging mechanism. Which I have put up my understanding from more research on the topic on how that could be implemented above.

—

Then, one other question pops in : What if the portfolio mandates are very much inclined to minimal volatility…? The SOFR 3M then will not be the friendliest instrument for the portfolio mandates.

—

That led to another deep dive. Let me add this other set of findings, adding possible ways to keep this short duration pocket efficient:

1. Adjust the T‑bill sleeve (not adding SOFR)

Moving the front-end pocket more toward 0 - 3M instruments to keep rate reset as fast as possible.

That keep duration risk minimal, having in mind that this pocket will still be tracking front‑end policy without leverage (no hedge but maintain minimal volatility)

—

2. Adjust the T‑bill sleeve with or add-on Floating Rate Notes

Floating rate treasury adjusting coupon to the daily prevailing rates.

The interest accrues daily and is paid quarterly. The coupon step‑tracks front‑end T‑bill yields rather than staying fixed.

In other words, I’d think of this in the same mechanism as TIPs but pegging on a different factor.

When inflation rises - TIPs pegs the coupon rates static and let principal changes accordingly. Coupon paid offsetting price depreciation.

When Front - End Rate rises - FRN pegs the principal static and let coupon rises accordingly. Coupon paid also offsetting price depreciation.

At the portfolio level, this seems to work the same way as money market funds at the portfolio level in terms of risk / return profile. They both are great and I believe it’s simply the difference in mechanism which money market funds have likely a collection repo agreements and then FRN is FRN. And, an additional note on FRN could be that the instrument can also give a clean and simple set up if later on decide to include volatility protection.

We can see packaged FRN in varied form of instruments nowadays including ETFs. This variety adds more flexibility to include them with more convenient performance tracking.

—

These are all two findings if risk balancing the declining port value from price depreciation with SOFR futures is not in line with the portfolio mandates. If there’s a specific area you’d like to see covered in more depth, I’d be glad to explore further.

—

Detail about this Positioning Read Tool here.

Direct Link to the Tool here.

Subscribing via Substack will also include access to Pord. Portal.

—

As for the coming CoT reports will be coming out sometime next week. this weekend, I have made a quick weekly update for the week 06-23-2026 to warm up for the next update.

For the week, US front‑end rates dominate the leaderboard: US Treasury 2‑Year Notes was the largest increase in net long exposure with approximately of 254.8K contracts added, while other top‑4 entries are also Treasury notes/bonds, and money‑market futures. Crypto futures stand out further down the table, with two major contracts adding open interest of roughly 32K and 20K contracts.

Open Interest counts Long leg and Short leg as one. An outright long will always have the other outright short to match with. +1 long interest held by Asset Manager, must have another short interest held by the exact same market participant (the same AM) or other market participant such as Dealer, or LM. Long and Short = 1 Open Interest

Next, this panel had been re-sorted to bring up the names that their contracts were closed out the most at the top.

Most of these top ones were in equity index futures, led by the S&P 500, EM equity, and Nasdaq contracts.

SOFR 3M appears as the third‑largest in w/w change, with roughly 662.5K contract closed over the week. SOFR 3M open interest was totaled at about 23.0M contracts. The largest among others by far.

The next weekly summary is going to cover all 6 groups but for this warm-up week, I’d like to bring up just Money Market and Equity as a quick brief with accompanied / additional deep dives on what stands out.

Let’s have a closer look at the Money Market first.

—

Side Notes : All futures contracts listed in TFF (Traders in Financial Futures) Reports are grouped by asset type into 6 groups. Money Market, Treasury Bonds, Equities, Currencies, Crypto, and Commodities / Credits.

Each week, the number of contracts presented in each group can change up a bit accordingly to CoT Reports weekly added / dropped. Simply send me a DM for historical data of the ones you’re looking for but cannot find them listed there.

—

FOR THE FIRST CONTRACT GROUP : The Money Market

SOFR-3M closed out 662.5K contracts in over a week. Positions of both Asset Managers (AM) and Leveraged Managers (LM) were at “Net Short”, and sitting at the far left of the percentile bands, implicating the crowded level of this “Net Short” to be at more than 2 SD of the 52-week lookback. The level of significantly crowded.

In the weekly movements (the last two columns to the right), LM positioning in fact increased by 0.9%, and sits within 1SD - 2SD of its w/w change over the past 52-weeks.

From this quick glance -

1. SOFR 3M has relatively large numbers of contracts (ranked at the top)

2. AM was at -1.3% “net short” and at significantly crowded. And, LM was at -12.9% “Net Short” also at signif crowded. AM at nearer to zero net short and already sit at the extreme seat in the 52-week look back, that says AM is likely generally at “net long” and just /or has been jumped across to the “net short”. Something might have shift a bit there lately.

3. For LM, the positioning was at “net short”, sits at extreme “short” (almost never been this much “short” over the past 52 weeks), and the 0.9% add also was the extreme w/w add.

4. Everybody is shorting SOFR 3M and yet the total number of contracts decreased…. WHY?

From a little further research and my own perspective, the current front-end or 1M rates are already higher up and that might have driven more “short” in term SOFR, as well as less interest in Spread Trades (ex. between SOFR 3M - SOFR 1M) as the spread are narrowing which also reflects on closing out the positions, the number of contracts decreased.

Now that I put both 2 pieces of my finding together, less add more context with how I came about each :

I went on looking at the open interest by category, (In the third charting area in the charting dashboard). Selected contract name and toggled through Dealer, AM, and LM -

LM - short leg - shows the largest portion in the current total outstanding contracts (Open Interest). Their short leg (including spread) takes up about 13.9M of the 23.0M total outstanding contracts. WHY LM takes “shorts” so much?

From a little further research - How SOFR can be a meaningful instrument for Leveraged Fund Managers (LM) could be in a few ways including:

1. Spreading -

SOFR3M can be a useful instrument for relative value expression. The implementation can focus on term premia (3M vs 1M) and cross-instrument spreads (3M vs other short-rate products such as OIS and Fed funds futures).

2. Hedge cost of fundings and the carry -

In strategies that rely on leveraged macro, relative value, or long/short credit funds, P&L is highly sensitive to the path of short-term rates because funding costs and carry are levered.

SOFR-3M offers a linear, capital-efficient instrument to hedge that front-end rate risk across the curve without tying up much cash.

—

And. From the weekly changes in the right section next to the chart above:

Spreading positions decreased by 88.7K contracts.

Outright short positions increased by about 295.7K contracts.

From my own perspective, if I want less exposure to spread trades, I might be thinking about how my spread is narrowing which that might be the case as the current elevated front-end rates have added the cost on the front-end leg, terming out with SOFR 3M doesn’t seem to add as much benefit it used to.

And. this elevated front-end can at the same time drove me to open more short positions in SOFR.

—

Some excess ai capacity. ahem. excess findings from the research have been compiled in another note about SOFR-3M (this note will include some calculations as a mechanism to hedge the front-end pocket in an ETF portfolio and a few other thoughts on adjusting / re-arranging this front-end pocket when its value is coming down as rates rising).

—

THE SECOND CONTRACT GROUP : Equities

SP500 futures contract (consolidated = Mini + Micro) was at the top rank in the equity section with the highest open interest (~ 2.9M contracts). SP500-consolidated also in fact has the most contract closed over the past week (771.9M contracts). The dynamics between total OI and the w/w change of SP500 is quite different than SOFR 3M. Total open interest of SOFR 3M was at 23.0M : SP500 ~2.9M and w/w closed accounts of SP500 was outpaced SOFR 3M (771.9M : 662.5M). For the week, SP500 futures opened/closed was a bit busier.

Continuing the read with SP500 consolidated, Asset Managers (AM) was at “net long” +34.1% and Leveraged Manager (LM) sat at “Net Short” -12.3%. Both positionings are within 1SD range in its 52-week lookback. Both also have closed out their positions for quite a bit over the past week (AM-2.3%, LM-3.5%). The quite a bit of %w/w change were at >2SD.

Same as SOFR 3M, everybody is also closing out positions in SP500. WHY?

Let walk with me as each piece unfolds.

At a net level (subtract the spread trades which is a L-S positions in this case held by the same trader (the exact same LM) and then netted out the outright(s) (what’s left from subtracting spread trades ) which is to net the outright L - outright S.

At a net level. LM is at net short of 355.7K contracts. Closed off by 101.3K contracts from 501.7K contracts a week prior. a 20% Decrease.

Checking the underlying price, SPY has also been trending downward for the week.

From the image above, the %OI says LM likely expresses contrarian views on or maybe hedge SP500 with SP500 futures. But, the number of contracts open/close says the otherwise. LM closed out their shorts positioning as SP500 index is decreasing. WHY?

When looking at a trending over time view, I believe we can have an idea of how LM would take positioning, but not always definite. In this case in particular, SP500 is declining and LM might then close out their short positions as their hedges are met. Holding on to their shorts might not have the same benefits in their portfolio as it used to.

On the AM side, they also closed their long positioning.

AM also closed their long positions as the underlying index price is declining. From this year to date plotting, they were in fact not participating as much even when the index is trending up.

How their %oi still increases for the week can be read out from the dynamics of %OI. the changes in the numerator and in the denominator.

%OI can be read out in 2 ways : 1. when the change of the bottom part is more than the top part, %OI decreases, and then 2. the otherwise.

With this context, the market participants overall including AM, LM and others have closed out their positioning (can be either long or short). to the level that even AM closed their positions, their %OI would still increase.

—

I also went on with further research on how SP500 futures can be a meaningful instrument for AM / LM. and list them down as following;

The versatility of SP500 can be both to add/adjust exposure and to hedge the underlying.

• Hedging portfolio beta: A hedge overlay for a well-diversified U.S. equity portfolios to offset downside risk.

• Equitization of cash: Manage a temporary cash or inflows by not having to build full stock positions yet, staying invested in the market benchmark until the underlying portfolio is implemented.

• Efficient tactical tilts: A fast and cost-efficient way to increase or reduce equity exposure around macro events.

• Flexibility and risk management: Same as efficient tactical tile, a fast and cost-efficient way that adds more flexibility on risk management - calendar rolls, and combine S&P futures with other index futures or options to construct overlays, relative‑value trades, or volatility hedges.

• Liquidity: ES (E-Mini SP500 futures) in especially is one of the most actively traded contracts, and can absorb large institutional size with relatively low impact.

—

And. same as the SOFR read. Further findings on SP500 consolidated (ES + MES) is here. (the deep dive on SP500 futures adding sizing context overlay for beta - volatility hedge strategy.)

I hope you enjoy this mini - summary so far.

See you again soon.

-Annie

Detail about this Positioning Read Tool here

Direct Link to the Tool here

Read more

S&P 500 futures vs. index

Date Range - 3Y Lookback

The top panel shows Leveraged Managers (LM) positioning in S&P 500 futures alongside an ETF proxy for the index (SPY), over a 3-year lookback window. The lower panel shows positioning for Individual / Retail investors (Non‑reportables, “NonRept”) over the same period.

Read more

This’s how my agent (ai) reads it this Morning. With this neutral and serious read, I think we need to talk (about it.) :)

The surge of Russell 2000’s YTD has been surprisingly athletic, with most months showing real momentum.

^{source: StockAnalysis and Pord.}

Over the past month in particular :

Small caps have been outpacing the S&P 500 and NDX! Also dipping less and bouncing better. Russell2000 positioning has been improving since the beginning of the year, rotating away from narrow mega‑cap leadership toward a broader mix of sectors and company sizes.

^{source: StockAnalysis and Pord.}

With this surge, it might be a good time for a quick health check on small caps. I did so in 3 pillars :

• Supporting Macro Backdrop

• Valuation

• Positioning

MACRO VIEWs

Having a closer look at Russell 2000 companies, we tend to see that they are more leveraged, and more domestic.

• More leveraged

• More domestic

With these 2 key components in mind,

I’d be thinking about small cap companies to do well when :

1. Rates’ on easing path : Pivot from hikes to cuts or clearly not tightening further.

2. More domestic activity growth : Increase activities/demands phase (a recovery, or an early upturn of the cycle.)

3. More domestic activity growth : from Fiscal support / stimulus

That said : The ultimate backdrop for small caps therefore could look like :

“soft landing with easing financial conditions and steeper curve (bull steepener or at least end of bear‑flattener)”

Bear flattener is where we are expecting the curve to shift up with front-end flying away more than the back-end. It doesn’t necessary always mean the front-end rates is rising although trajectory wise we might think the likelyhood is increasing (or simply dominating the lowering rates trajectory).

Bull steepener is where the curve is shifting down and the front-end comes down more than the back-end. It typically the curving that says the recovery phase (in the economic cycle) is arriving.

And. From the institutional positioning in treasury futures across the curve :

^{Drawing from CoT report}

^{(CoT Report - The Commitments of Traders - a publication from the Commodity Futures Trading Commission (CFTC), details the aggregate long and short futures and options positions held by Asset Managers and Leveraged Funds adding context on their market reads through their futures and options positioning.)}

^{source: CoT Report and Pord.}

From the chart, I can see potentially more volatile at the backend of the Treasury curve, as LT Treasury (the green Line surging at the top in recent months) has quite surprising dynamic.

And from a super briefly period covering sovereign bond portfolio, I’d like to interpret this as potentially shifting deploying capital to long back-end futures (instead of long-duration cash exposure), in response to sudden yet lingering inflation risks and ongoing geopolitical uncertainty in the Middle East.

More to the topic about The chart. It exhibits positioning on treasury notes/ bonds futures of the Asset Managers (Pension Funds, the long money). I’m focusing on Asset Managers for a cleaner read on directional positioning in Treasury futures, and keeping Leveraged Funds (hedge funds, the fast money) and Dealers (banks and brokers) to the side.

Asset Managers are likely to have more pure long dynamics, institutional buy‑side cohort, while Dealers are sell‑side intermediaries and Leveraged Funds are typically hedge funds and CTAs. So, isolating Asset Managers helps clarify the underlying duration and curve bias from of inventory management and tactical short‑term trade.

Another macro card I pick up from CoT report is 3M SOFR futures.

In the chart below, 3M SOFR futures reflect a priced view of Asset Managers (Pension Funds, the long money) for structural hedging of liabilities or portfolio duration rather than for tactical rate calls. That means their net SOFR futures positioning often changes more slowly and can be dominated by balance‑sheet hedging needs rather than tactical positioning.

3M SOFR futures of “asset managers” only also explain their views on the near-term path for front-end funding rates a little clearer than including dealers who is warehousing and intermediating risk across products.

The chart shows %OI of the most current week mapped in a percentile scale of a 52-week lookback.

And, the chart says : we’re at extreme short positioning :

At 4th percentile in the 52-week lookback. "Net Short” of -0.87%. (Net of long position - short position < 0%).

To add more context on where the week stands:

• 1SD at 16th percentile : -5.89% OI, and at 84th Percentile : -0.89% OI.

• Over 2SD to the right considered extreme long, to the left considered extreme short.

• OI = total open interest = total open futures contracts of a given category.

This deep “net short” has implied the likely maintained and potentially higher front-end rates.

^{source: CoT Report and Pord.}

From 3M SOFR futures curve, I’d think about the front-end rates to be maintained / potentially getting higher (within the band of the current rates or - in some cases - implying higher FOMC rates), and

From the treasury curve positioning chart, I might be thinking about the back-end to be more volatile. Probably bear flattener in most days, while having bull steepener in mind for the days the likelihood of the soft and sound landing resurfaces more constructively again.

That said, as an asset manager running my own (also super) mini portfolio, I would be looking out for a calming in long‑end futures positioning as one confirmation signal that a soft, and sound landing is finally arriving.

VALUATION

19.28 : Russell 2000 PE (as of Jun 17 2026)

26.59 : SP500 (as of Jun 17 2026)

Russell 2000 PE in relation to SP500’s looks a bit of a visible valuation gap.

^{Source: worldperatio.com}

At a closer look though:

Russell 2000 PE (as reflected by IWM) is now above its 1-year average.

The valuation is in fact relatively rich as of date.

POSITIONING

As I’m collecting supporting macro views, and the valuation of the small cap cohort, I start to wonder : Are they overcrowded?

Are they still a “boutique fitness class” or have already gone “the 2nd game Knicks presale” mode.

With CoT Report already at a grasp (as I pulled up the data for the macro reads above), I quickly filtered out Small Cap : Russell 2000 futures to help add context on this.

For the Russell 2000, I keep Asset Managers and Leveraged Funds separate because their positioning isn’t pointing in the same direction most of the time. Asset Managers are mostly net long, Leveraged Funds are often net short, and to add them together into one “institutional” bucket gives more neutral read which the underlying views sometimes are not.

The shaded areas highlight events that are especially relevant for how small caps would be priced.

Read more

WHY 60:40

Over multi-decade windows, a simple mix of broad equities and high-quality bonds has produced solid real returns with less volatility and shallower drawdowns than pure equity exposure.

Why a mix of 60:40 in particular? This combination happened to sit at a convenient “moderate risk” point on the equity - bond efficient frontier. In other words, 60/40 is one convenient point on a continuum that produce moderate return with healthy amount of risk reduction, not a theoretically unique optimum I believe as we also see a tailored up (e.g., 70/30) or down (e.g., 40/60) combination adopted by institutions.

Back then, one analysis piece showed that a U.S. 60/40 portfolio can also delivered quite impressive return (outpacing pure equity at some point) and meaningfully lower volatility than pure equity allocation, validating its use as a “default” balanced mix.

As seen in the chart below: Link

THE MECHANISM OF THIS:

During 2009 - 2020, disinflation anchored the macro backdrop. In nature, growth drove equities, while inflation - and by policy rates - drove bonds. During this period of time, major risk-off episodes usually came from growth scares, not sustained inflation.

So, when growth expectations deteriorated:

Effective rates is lower

Yields declined

Bonds rallied

Equity is naturally driven by growth expectations and Bonds (in this sense) is also driven by growth.

This created a reliable negative correlation: duration (bonds) acted as an implicit hedge (or “put”) against equity drawdowns.

Convexity further amplified this effect. In large risk-off episodes, falling yields created nonlinear upside in bond prices, adding more protection to the drawdown on the equity side.

WHY 60:40 is no longer an “ALL-WEATHER” default today:

Now (post 2021 to present): The dominant macro driver has shifted from growth uncertainty to inflation uncertainty.

We have heard about persistence inflation more often than not. This fundamentally changes the interaction between stocks and bonds.

While equities still tie closely to growth and earnings,

Bonds are increasingly driven by inflation expectations and term premium.

Before, both equities and bonds were driven by growth expectations. Now, each (sort of) has its own driven factor.

When narratives around inflation uncertainty dominating:

Discount rates rise.

Equity valuations compress.

Bond yields rise as well.

Result: stocks and bonds are moving down together hand in hand. The implicit put, the “bond hedge”, weakens or disappears.

Bonds stopped behaving like a put because the payoff is no longer strongly state-contingent on equity drawdowns.

So, with this environment of inflation uncertainty overhang: Equity and Bonds are likely to be driven by its own driven factor (sort of).

To organize my thinking, I wrote down 5 pairings, and these are narrative frameworks, not hard data‑driven.

1. The uncertainty around inflation is not fully resolved. But earnings come in strong.

The past month (May) as an example:

2. But -

When the inflation narrative overwhelms the growth story.

This recent March for an instant:

This was an episode where equities and bonds both went down hand in hand.

And

3. If we’re on the trajectory similar to the recovery path:

4. In the moment seemingly close to a stagflation setup:

Both are down again. This is the environment where traditional stock - bond diversification looks questionable.

5. In the trajectory that brings up some discussions around at or near the bottom of the cycle.

Here, some of the bond‑as‑a‑hedge behavior starts to re‑emerge.

Laying out these five pairings helps me:

• Understand what is dominant, Growth Expectations or Inflation.

• Then, see when I should expect how equities and bonds are likely move.

• Identify “what to do for each box” still needs some more work on. Will keep you posted.

In sum, when we hear more about inflation story than growth scare, Bond - Equity correlation still indicates bonds bringing balance to the risk side on a normal day, just not providing the same return hedge when we’re in a major risk-off event.

IPOs -

Let me pivot to something that’s been on my mind: the upcoming IPO.

Seeing the revenue breakdown with a pocket for the starship. That made me think of all the space movies I watched as a kid on family movie nights - occasionally with popcorn, and essentially no drinks (no mid‑movie restroom breaks). :)

It’s quite nice to think about what could happen in the future, living in the fav movies.

I simply can’t wait to hear more about what’s going to come out of this pocket.

Okay, back to the topic.

The upcoming IPO(s) bunch would definitely increase concentration in equity market.

More fragility to any odd events.

In just a handful of valuation works I had, in general, the valuation of a company is likely coming from the toplines that will grow further out down the road. Long until those innovations / new products that the CapEx poured in is sort of saturated or obsoleted.

On-going CapEx to keep everything fresh is also a way we see in how a company set their competitive positioning.

This’s unlike banks, where flexibility in capital management (CapEx) and top-lines inflow have a different dynamic (let’s have this be a topic for another story).

So, in that essence of CapEx will monetize like so, revenue model that drives the valuation is something that in itself helps me feel relief that the growthy part of the equity market is going to continue growing.

Taking it from how I feel, therefore, as long as the revenue model is logically sound and monetizing, that also increases a tendency that we’re going to be okay even when the market is even more concentrated than where we are.

At this point, I think I should add collecting the soundness of revenue model / CapEx materializing / monetizing of important companies for when I’d think about Equity Pricing as feeling relief is in fact a great feeling to have.

Strong tech earnings were the main driver behind equity gains in May, outweighing the macro noise and ongoing inflation concerns.

There’s been a lot of discussion around equity “duration”, and now the takeaway has an important shift: From volatility has compressed valuations to now earnings - especially within U.S. technology - are increasingly doing the heavy lifting for returns. This also marks a transition from multiple expansion to earnings-led performance.

We can see this in the day-to-day moves as well. Through April and May, tech consistently outperformed - often green on days when the broader market was flat or even down. That kind of relative strength implies a rotating back toward growth and digital infrastructure.

What’s been interesting is the rebound in names that were previously under pressure from concerns around AI-driven margin disruption in the legacy enterprise software. As expectations for AI adoption begin to reflect in topline growth, sentiment has improved meaningfully in over a week.

I screened a broad universe of technology and AI-related stocks and grouped them in two angles: pricing dynamics and functional positioning within the AI ecosystem. While AI exposure now spans out in multiple industries, I focused the pricing analysis on technology and adjacent sectors where most of the large-cap sits.

1. Pricing dynamics

From this ai stock mapping, out of 880 names, about 21% ( or 188 names ) are the ones that experienced a hard hit in March and now on a healing path. They have shown positive momentum over the past month, while the year-to-date(s) are still in red negative.

I’d read that as a potential turning point. The 1-month strength likely reflects earnings resetting expectations and rebuilding momentum, possibly moving toward start-of-year levels or even beyond.

That said, volatility is still very much part of the picture. A few ai ETFs have seen their 60-day moving averages jump to 30% or more in just over a week. The stop loss level could be quite confusing when setting the entry point on both May22, and May29.

2. ai ecosystem grouping

Drawing on various ai frameworks and industry commentary here in Substack (Thank You), I grouped companies into three functional layers:

“Brain” (compute, models, semiconductors)

“Body” (infrastructure, cloud, software platforms, deployment)

“Application” ( end-user products integrating ai )

This lens helps simplify an increasingly broad and diffuse ai landscape, and anchor where value is actually accruing across the stack. In this stack, I kept Solar as a standalone category.

A handful of names that are already supplying solar power to data centers and supporting dynamic ai loads are grouped under Body_Solar Energy.

How pricing momentum can be described from Brain / Body / Application angle:

The table below pulls out just the cohort that has recently regained momentum while year-to-date is still in red, names with 1M (+) and YTD (–), and breaks them out by AI ecosystem grouping.

Within that subset, two areas stand out: the “body” and the “application.”

The “body” bucket captures ai infrastructure : companies that had previously seen valuations compress on fears of AI-driven margin pressure.

The “ai adoption / application” bucket covers the names where we’re anticipating ai adoption to show up in earnings.

In fact, they are grouped this way because each comes with a different set of driven variables.

For the body, the drivers are more tied to market structure and competitive positioning.

For the ai adoption / application side, the key signal is how ai usage becomes more cost‑disciplined over time, as ROI becomes visible when cost per task is predictable.

Put differently, one side is more exposed to ai IPOing, while the other helps determining how those ai IPOs ultimately get priced.

IPOing

On ai IPOs, I keep coming back to the question: if we do see a wave of “ai IPOing,” does carving them out into a separate industry/sector actually change the rotation dynamics? The answer is: not really.

This’s because these ai IPO names are likely to be treated as “must‑have” regardless of which sector label they sit under.

• Passive funds will eventually need to own them once they enter the major indices.

• Active managers will (sort of) be looking to be ahead of that inclusion.

• ai thematic funds will be forced buyers.

• Generalist funds (and everyone else) will likely reallocate due to the potential upside.

To fund the must have(s), besides cash, that could be about re-allocating funds within the current “ai positioning” bucket.

“ai positioning” bucket could include:

• cloud hyperscalers

• platform tech

• software giants

• ai‑adjacent mega‑caps

• the brain and the body more than the ai adoption / application.

The ones that might also be under the radar for this brief rotation could include pre‑profit software, and early‑stage ai adoption plays due to their high volatility.

E Commerce, digital platforms, and luxury retail might also be the groups subject to this brief rotation. The ones that funds are currently overweight on could be a simple way to describe.

On the size of the funding ask, recent news about companies scaling back some internal use of ai coding/agentic tools signaling that enterprise ai usage will be more cost‑disciplined going forward. This also telling me that it’s not alarming if the valuation from private funding rounds is different from actual IPO price.

ETF reads:

Crossing over to apply this tech stocks mapping to ai ETFs.

Below is the brain / body / application mapping to Top 15 ai etfs which totaling to about 90% of ai ETFs (85 funds). (info as of 05-29-2026 from dbETF.com )

50% is currently sits in Brain and Body Stocks.

30% is in ai adoption / application group.

20% is in Non US - ai stocks & Cash.

NOTE:

In the mapping - Everyone else outsides the 880 names we grouped and discussed here is tagged with “ai adoption / application - Not Tech Sector” for convenient reads once mapped them to ai ETF holdings.