CHART OF THE DAY: Consensus Macro Positioning Crushed

Here’s the latest Consensus Macro Positioning report from the CFTC (non-commercial futures & options): 

A) SP500 (Index + E-mini) net LONG position ramped +122,159 contracts last week to +209,207 contracts
B) In context, that +209,207 net LONG position scored +1.96x on a 1-year z-score… and
C) In the last year, that z-score includes the lowest US Equity Volatility period EVER 

Oh yes – I’m going all CAPS on you and your favorite linear economists this morning. EVER remains a LONG time! 

This consensus macro positioning comes on the heels of another one getting un-wound in the last month and that was the net SHORT position in US Treasuries that was born out of consensus inflation expectations: