CPI Completed? Check!
ATH Equity? Check!
US equity markets remain resilient, underpinned by strong cross-asset flows.
The rally appears set to extend through Labor Day, driven by:
That said, momentum may fade in September - historically, the weakest month - amid seasonality and investor re-engagement post-summer.
As Scott Rubner (former Goldman flows guru) now explains from his seat at Citadel Securities, This is a #RINO market, recession in name only...
Client activity remains elevated at equity market all-time highs:
With ICI reporting money market AUM at $7.15T (up from $3.63T in early 2020), the key question becomes: what level of yields would prompt reallocation into risk assets if the Fed changes policy?
Money Market Assets (trillion) vs. US Treasury 3-month money market yield (%)
January 2020 – August 2025
Source: ICI, as reported by Bloomberg and compiled by Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
Historical Analog: In 2010, money market assets dropped -27% as yields declined—preceding a rotation into equities
Money Market Assets (trillion) vs. US Treasury 3-month money market yield (%)
January 2005 – January 2015
Source: ICI, as reported by Bloomberg and compiled by Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
September Setup
SPX 500 Monthly Performance
1928 – Today
Source: Bloomberg as compiled by Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
SPX 500 Daily Performance Quilt
1928 – Today
Source: Bloomberg as compiled by Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
1. Citadel Securities’ retail cash equities: Net buyers in 15 of the last 17 weeks, following a soft April.
Retail Cash Equities – Net Notional by Week
STD Dev January – Aug 2025
Source: Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
2. Ongoing strength with 19 straight months of net notional and shares buying.
3. Citadel Securities’ retail cash seasonality trends based on data from August 2017- July 2025.
Retail Cash – Proportion of Net Notional By Month
August 1, 2017 – July 31, 2025
Source: Citadel Securities, as of 8/5/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
4. Retail Options Activity: July 2025 set a new monthly volume record at Citadel Securities.
Retail Options – Average Daily Volume by Month
Normalized to January 2020
Source: Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
5. Citadel Securities’ Retail Option Buying Streak
Retail Options – Put / Call Direction Ratio by Week
January – July 2025
Source: Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
6. Citadel Securities’ Bullish Retail Options Streak Watch
Longest Retail Weekly Option Buying Streaks on Record, since 2020.
of weeks
Source: Citadel Securities, as of 8/5/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
7. Seasonal Drop Ahead?
Citadel Securities’ retail options volume typically wanes in September.
Retail Options – Proportion of Contract Volume by Month
January 2020 – December 2024
Source: Citadel Securities, as of 8/5/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
8. Citadel Securities Institutional Options
Bullish in 5 of the last 6 weeks, peaking at the 89th percentile. Note that Institutional Options clients moved from bearish to bullish in the last month.
Institutional Options –Call/Put Direction Ratio by Week
January – August 2025
Source: Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
9. Volatility trend: Realized vol continues to fall. VIX at the time of typing = 15.20
SPX 3-month realized volatility
August 2023 – August 2025
Source: Bloomberg as compiled by Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
10. Q2 Earnings: 75.2% of SPX market cap has reported.
SPX Market Cap reporting by week
Q2 earnings
Source: Bloomberg as compiled by Citadel Securities, as of 8/5/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
11. Surging Corporate Buybacks
According to Birinyi Associates, US corporates have announced $983 billion worth of authorizations YTD, which makes it the best start to the year on record. In addition, corporate executions are on pace for $1.1 trillion, which would also set a record.
US companies announced share repurchases totaling $166 billion last month, the highest dollar value on record for July. The prior record was $88 billion in July 2006.
12. 2025 Corporate Daily Flow Math: $1.1 trillion over 251 trading days → $4.4 billion/day in equity demand, according to Birinyi Associates. August is historically one of the best months of the year for executions.
13. Sector reporting concludes, ending with Nvidia on 8/27.
SPX GICS Sector by Market Cap
Earnings reporting schedule
Source: Bloomberg as compiled by Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
14. Q2 EPS Growth: +11.4% vs. 5% expected — strongest since Q2 2021
SPX Earnings Reporting
As of August 12, 2025
Source: Bloomberg as compiled by Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
Key Insight: Concentration = Earnings beats → passive inflows → price momentum.
Sector Concentration Observations:
Here are the 11 S&P 500 GICs sectors for the S&P 500 market capitalization index (‘SPX’) and S&P 500 equal weighted index (‘SPW’).
Tech weighting in SPX: 34.3% vs. 13.8% in SPW → +20.5% spread
11 S&P 500 GICs sectors by SPX % market capitalization:
Source: Bloomberg as compiled by Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
This concentration intensifies passive flows into a narrower band of equities; this drives “Magnificent 7” vs. remaining 493.
→ This narrow breadth in the top names, has created more frequent unwinds and squeezes on the short leg of the pair trade.
Top 12 S&P 500 GICs industries by SPX % market capitalization:
Source: Bloomberg as compiled by Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
15. August Positivity Bias
The S&P 500 peaks around September 3rd, going back to 1928.
The final week of August often coincides with low positioning due to vacations, BBQ parties, contributing to upward drift in stocks, especially in low-volume environments.
SPX August Daily Performance
Since 1928
Source: Bloomberg as compiled by Citadel Securities, as of 8/5/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
NDX August Daily Performance
Since 1985
Source: Bloomberg as compiled by Citadel Securities, as of 8/5/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
16. CTA’s: We estimate trend followers are now near fully exposed heading into late August, suggesting limited incremental upside. Our model indicates this cohort is no longer adding exposure at current levels
US Equity Aggregate CTA Positioning
January 2024 – July 2025
Source: Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
US CTA Signals
January 2024 – July 2025
Source: Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
17. CFTC Net Longs: Continued increase in positioning back to historical levels.
CFTC S&P 500 Consolidated % Long
January 2022 – July 2025
Source: COT report, as compiled by Citadel Securities, as of 8/11/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
18. Vol-Control strategies – which take cues from the realized volatility market – have already increased exposure substantially.
5% risk target: 32% exposure (up from 10% in April)
Vol Target Exposure with 5% Risk Control
Exposure Rank since 2020
Source: Bloomberg as compiled by Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
19. 10% volatility target strategies are now at 63% exposure (up from 20% in April)
Vol Target Exposure with 10% Risk Control
Exposure Rank since 2020
Source: Bloomberg as compiled by Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
20. Risk Parity strategies – driven by cross-asset volatility – now hold equity exposure near their 3-year average of 25% exposure.
Systematic positioning remains elevated → watch for volatility moves, as flows skew moves to the downside.
Risk Parity Exposure
Jan 2022 – July 2025
Source: Citadel Securities, as of 8/5/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
21. Sentiment Normalization: AAII allocations back to historical averages → less upside from sentiment alone.
AAII Stock Allocation (%)
Jan 2022 – July 2025
Source: AAII, as reported by Bloomberg and compiled by Citadel Securities, as of 8/12/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
Systematic strategies (CTA/Vol-Control) near max exposure → headline and economic risks
September = statistically weakest month for SPX (since 1928)
Volatility rises historically in September (since 1990)
VIX August Monthly Performance
Since 1990
Source: Citadel Securities, as of 8/5/25. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
Retail participation wanes across cash and options
Cyclicals and high beta may mean revert
Anti-momentum rotation risk remains high