, with Nomura's Charlie McElligott not accidentally adding "that anecdotally on these days where the model indicates a "flip" potential, said buying to cover and go long is likely already part of the flow creating the current move (ES1 +1.2%)"

One day later, that's precisely what happened, because even as yesterday's dismal GDP print confirmed the US has now entered a recession, the CTA "flip" threshold became the bogey for all momentum-chasers to ramp the "pain trade" rally which has seen virtually no hedge fund participation even higher, and the S&P had no problem spiking to new post-crisis highs, just shy of 3,000.

Commenting on this reversal, McElligott today writes that his CTA model's S&P futures position flipped yesterday, from the recent "-69% Short" signal to the current "+100% Long," they bought a total of $36.8BN across Emini futures yesterday.