North America was net bought for the first time this year and saw the largest notional net buying on record, driven entirely by long buys.
Desk notes, June 2025
The desk notes of Sophos Alpha, an independent quantitative research desk. Daily market notes across many topics, including CTAs, risk parity, vol control and other systematic funds, hedge fund activity and investor sentiment, dealer gamma and liquidity, volatility and tail risk, in equities, rates, currencies and commodities.
June 2025
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US-listed ETF short flow on the Prime book decreased -14.1% in April, the largest % decrease since Dec ’23, led by covering in Large Cap Equity, Corporate Bond, Small Cap Equity, and Tech ETFs.
ETF shorts now make up 11.7% of the US equity short book excl. Index products.
The Mag 7 rebounded sharply on May 12 (+5.7%) following the US–China trade détente.
This capped a recovery that had been underway since late April, driven by improving US policy signals and easing trade tensions.
one note
‼️Largest monthly notional net buying on records during May
While this shows a positive turn in sentiment, it’s worth noting that the top 4 buying days in May together made up 81% of this month’s notional net buying, which suggests the pace of buying was uneven and points to signs of a “stop in” amid the sharp market rally.
