⬇️ GMI: Bottom Line ⬇️
September is historically the weakest month for equities, with volatility rising into option expiration and retail participation fading. With systematic strategies (CTAs, Vol-Control, Risk Parity) already near peak allocations and corporate demand set to slow, risk/reward skews to the downside. That makes hedges particularly attractive.
Or, to borrow from Drake: “S&P” started from the bottom (in April), now we’re here…30% later.
The longer-term equity trend remains intact and supportive of a Q4 rally.
Q4 Equity Snapshot: Equity Rally Themes
It is time for a thread.
⬇️ GMI: Bottom Line ⬇️
September is historically the weakest month for equities, with volatility rising into option expiration and retail participation fading. With systematic strategies (CTAs, Vol-Control, Risk Parity) already near peak allocations and corporate demand set to slow, risk/reward skews to the downside. That makes hedges particularly attractive.
Or, to borrow from Drake: “S&P” started from the bottom (in April), now we’re here…30% later.
The longer-term equity trend remains intact and supportive of a Q4 rally.
Q4 Equity Snapshot: Equity Rally Themes
It is time for a thread.
These are the key dynamics we’re tracking.
Client activity remains robust even at all-time equity market highs.
👉 Low implied correlation signals a market where fundamentals matter more than macro—supportive for alpha from security selection.
SPX 3-month Implied Correlation
Jan 2023 – Today
These are the key dynamics we’re tracking.
Client activity remains robust even at all-time equity market highs.
👉 Low implied correlation signals a market where fundamentals matter more than macro—supportive for alpha from security selection.
SPX 3-month Implied Correlation
Jan 2023 – Today
Source: Bloomberg as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
👉 September Setup
SPX September Monthly Performance
1928 – Today
Source: Bloomberg as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
👉 September Setup
SPX September Monthly Performance
1928 – Today
Source: Bloomberg as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
NDX September Monthly Performance
1985 – Today
Source: Bloomberg as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
NDX September Monthly Performance
1985 – Today
Source: Bloomberg as compiled by Citadel Securities, as of September 2nd, 2025. 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 September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
SPX 500 Daily Performance Quilt
1928 – Today
Bloomberg as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
1. Citadel Securities’ retail equities: Net buyers in 17 of the last 20 weeks, rebounding after April weakness.
Retail Cash Equities – Net Notional by Week (Std Dev)
January – August 2025
Bloomberg as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
1. Citadel Securities’ retail equities: Net buyers in 17 of the last 20 weeks, rebounding after April weakness.
Retail Cash Equities – Net Notional by Week (Std Dev)
January – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
2. Citadel Securities Retail Trend: Citadel Securities retail clients have been buyers for 20 consecutive months of both net notional and shares.
3. Citadel Securities’ retail cash seasonality demand trends from the last 8 years.
Retail Cash – Proportion of Net Notional By Month
August 1, 2017 – August 31, 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
2. Citadel Securities Retail Trend: Citadel Securities retail clients have been buyers for 20 consecutive months of both net notional and shares.
3. Citadel Securities’ retail cash seasonality demand trends from the last 8 years.
Retail Cash – Proportion of Net Notional By Month
August 1, 2017 – August 31, 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
4. Citadel Securities’ Retail Options Activity: August 2025 set a new monthly volume record.
Retail Options – Average Monthly Options Volume
Std Dev, normalized to January 2020
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
4. Citadel Securities’ Retail Options Activity: August 2025 set a new monthly volume record.
Retail Options – Average Monthly Options Volume
Std Dev, normalized to January 2020
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
5. Citadel Securities’ retail option bullish streak continues with 18 straight weeks of net buying.
Retail Options – Call / Put Direction Ratio by Week (%)
January – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
5. Citadel Securities’ retail option bullish streak continues with 18 straight weeks of net buying.
Retail Options – Call / Put Direction Ratio by Week (%)
January – August 2025
Source: Citadel Securities, as of September 2nd, 2025. 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.
Starting month, # of weeks
Source: Citadel Securities, as of September 2nd, 2025. 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.
Starting month, # of weeks
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
7. September slowdown before Q4 ramp:
Citadel Securities’ retail options volume typically wanes in September before rebounding into the final quarter of the calendar year. Activity picks back up in Q4, with November the strongest month of the year.
Retail Options – Proportion of Contract Volume by Month
January 2020 – December 2024
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
7. September slowdown before Q4 ramp:
Citadel Securities’ retail options volume typically wanes in September before rebounding into the final quarter of the calendar year. Activity picks back up in Q4, with November the strongest month of the year.
Retail Options – Proportion of Contract Volume by Month
January 2020 – December 2024
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
8. Citadel Securities Institutional Options clients are also bullish.
Institutional Options –Call/Put Direction Ratio by Week
January – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
8. Citadel Securities Institutional Options clients are also bullish.
Institutional Options –Call/Put Direction Ratio by Week
January – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
9. Volatility: Realized Collapsed; Implied Reset Lower
3-month realized vol has fallen sharply, dropping 10 percentage points in two weeks as high-vol periods rolled off.
This has contributed to a long dealer-gamma backdrop that can mute intraday moves. We estimate the long dealer gamma positioning to be significant.
Implied Volatility: Reset lower → hedges attractive again.
SPX 3-month implied volatility
Jan 2023 – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
9. Volatility: Realized Collapsed; Implied Reset Lower
3-month realized vol has fallen sharply, dropping 10 percentage points in two weeks as high-vol periods rolled off.
This has contributed to a long dealer-gamma backdrop that can mute intraday moves. We estimate the long dealer gamma positioning to be significant.
Implied Volatility: Reset lower → hedges attractive again.
SPX 3-month implied volatility
Jan 2023 – August 2025
Source: Bloomberg as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
📌 Key Insight: Hedge funds/large specs are short VIX at 2022-like extremes.
VIX is down ~69% over 20 weeks — the largest decline on record since 1990. Back-to-school season historically brings vol upticks and potential short covering. Asset managers are adding VIX to hedges.
CFTC VIX Consolidated % Long
January 2022 – August 2025
Source: Bloomberg as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
📌 Key Insight: Hedge funds/large specs are short VIX at 2022-like extremes.
VIX is down ~69% over 20 weeks — the largest decline on record since 1990. Back-to-school season historically brings vol upticks and potential short covering. Asset managers are adding VIX to hedges.
CFTC VIX Consolidated % Long
January 2022 – August 2025
Source: COT report, as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
VIX August Monthly Performance
Since 1990
Source: COT report, as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
VIX August Monthly Performance
Since 1990
Source: Bloomberg as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
10. CTA/Trend following: Citadel Securities’ macro strategy team, estimates that equity trend signals are getting weaker from here, given elevated exposure.
US Equity CTA Signals
January 2024 – August 2025
Source: Bloomberg as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
10. CTA/Trend following: Citadel Securities’ macro strategy team, estimates that equity trend signals are getting weaker from here, given elevated exposure.
US Equity CTA Signals
January 2024 – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
11. CTA thresholds: Flip levels are getting closer to current spot.
ES1 (S&P 500 futures) ≈ 6,453 and NQ1 (Nasdaq-100 futures) ≈ 23,805 (estimates)
ES1 (S&P 500) CTA Signals
January 2024 – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
11. CTA thresholds: Flip levels are getting closer to current spot.
ES1 (S&P 500 futures) ≈ 6,453 and NQ1 (Nasdaq-100 futures) ≈ 23,805 (estimates)
ES1 (S&P 500) CTA Signals
January 2024 – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
NQ1 (NDX) CTA Signals
January 2024 – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
NQ1 (NDX) CTA Signals
January 2024 – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
12. CFTC Net Longs: Positioning rising back toward historical averages.
CFTC S&P 500 Consolidated % Long
January 2022 – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
12. CFTC Net Longs: Positioning rising back toward historical averages.
CFTC S&P 500 Consolidated % Long
January 2022 – August 2025
Source: COT report, as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
CFTC NDX 100 Consolidated % Long
January 2022 – August 2025
Source: COT report, as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
CFTC NDX 100 Consolidated % Long
January 2022 – August 2025
Source: COT report, as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
13. Vol-Control strategies – which take cues from the realized volatility market – have already increased exposure substantially. This is one of the sharpest rebounds in equity exposure we’ve seen.
5% risk target: 35% exposure (up from 10% in April)
Vol Target Exposure with 5% Risk Control
Exposure Rank since 2020
Source: COT report, as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
13. Vol-Control strategies – which take cues from the realized volatility market – have already increased exposure substantially. This is one of the sharpest rebounds in equity exposure we’ve seen.
5% risk target: 35% 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 September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
14.10% volatility target strategies are now at 70% 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 September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
14.10% volatility target strategies are now at 70% 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 September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
15. Risk Parity strategies – driven by lower cross-asset volatility – now hold equity exposure near their 3-year average of 25% exposure.
Systematic positioning remains elevated → watch for volatility moves, as unwind flows skew moves to the downside.
Risk Parity Exposure
Jan 2022 – August 2025
Source: Bloomberg as compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
15. Risk Parity strategies – driven by lower cross-asset volatility – now hold equity exposure near their 3-year average of 25% exposure.
Systematic positioning remains elevated → watch for volatility moves, as unwind flows skew moves to the downside.
Risk Parity Exposure
Jan 2022 – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
16. Sentiment: Normalized; limited upside from further shifts.
AAII Equity Asset Allocation (%)
Jan 2022 – August 2025
Source: Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
16. Sentiment: Normalized; limited upside from further shifts.
AAII Equity Asset Allocation (%)
Jan 2022 – August 2025
Source: AAII, as reported by Bloomberg and compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
17. CNN Fear & Greed Index: ~64 (75 = “extreme greed”), as of Sep 2, 2025
📌 Key Dates we’re watching:
📌 Takeaway: After a summer of relentless upside and heavy positioning, September historically brings a shift. With systematic strategies maxed out, corporate demand waning into blackout, seasonality turning negative, and volatility set to rise, downside hedges are especially prudent.
Source: AAII, as reported by Bloomberg and compiled by Citadel Securities, as of September 2nd, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
17. CNN Fear & Greed Index: ~64 (75 = “extreme greed”), as of Sep 2, 2025
📌 Key Dates we’re watching:
📌 Takeaway: After a summer of relentless upside and heavy positioning, September historically brings a shift. With systematic strategies maxed out, corporate demand waning into blackout, seasonality turning negative, and volatility set to rise, downside hedges are especially prudent.
Copyright © Citadel Enterprise Americas LLC or one of its affiliates. All rights reserved.
Legal Entities Disseminating this Material: This material is disseminated in the United Kingdom by Citadel Securities (Europe) Limited (“CDGE”) authorized and regulated by the Financial Conduct Authority (“FCA”) (Registered company number: 05462867); in the European Union by Citadel Securities GCS (Ireland) Limited (“CSGI”) and its Paris Branch authorized and regulated by the Central Bank of Ireland (“CBI”) (Registration Number: C173437); in Hong Kong by Citadel Securities (Hong Kong) Limited (“CDHK”) licensed by the Securities and Futures Commission of Hong Kong (“SFC”), in Japan by Citadel Securities Japan Co., Ltd (“CSJC”) registered as a Type 1 financial instruments business operator with the Japan Financial Services Agency (“JFSA”); and in the United States of America by Citadel Securities LLC (“CDRG”) registered with the Securities Exchange Commission (“SEC”), Financial Industry Regulatory Authority (“FINRA”), and Securities Investor Protection Corporation (“SIPC”), Citadel Securities Institutional LLC (“CSIN”) registered with the SEC, FINRA, and SIPC, or Citadel Securities Swap Dealer LLC (“CSSD”) registered with the SEC, Commodities Futures Trading Commission (“CFTC”), and National Futures Association (“NFA”). Unless governing law permits otherwise, you must contact a Citadel Securities entity in your home jurisdiction if you want to use our services in effecting a transaction in any financial instruments or securities, including derivatives.
FOR INSTITUTIONAL USE ONLY; FOR PROFESSIONAL CLIENTS AND ELIGIBLE COUNTERPARTIES ONLY. This material is not intended as and does not constitute investment research. Contents of this material will be strictly limited to non-specific, generic information (i.e. macro events/topics) and are not subject to the Markets in Financial Instruments directive (MiFID II) or FINRA research rules. This material does not constitute an offer, solicitation, invitation, or inducement to purchase, acquire, subscribe to, provide, or sell any financial instrument or otherwise engage in investment activity. Please see additional important disclosures, including disclosures that may be relevant to your country of residence or business at www.citadelsecurities.com/GlobalSalesTrading.
Copyright © Citadel Enterprise Americas LLC or one of its affiliates. All rights reserved.
Legal Entities Disseminating this Material: This material is disseminated in the United Kingdom by Citadel Securities (Europe) Limited (“CDGE”) authorized and regulated by the Financial Conduct Authority (“FCA”) (Registered company number: 05462867); in the European Union by Citadel Securities GCS (Ireland) Limited (“CSGI”) and its Paris Branch authorized and regulated by the Central Bank of Ireland (“CBI”) (Registration Number: C173437); in Hong Kong by Citadel Securities (Hong Kong) Limited (“CDHK”) licensed by the Securities and Futures Commission of Hong Kong (“SFC”), in Japan by Citadel Securities Japan Co., Ltd (“CSJC”) registered as a Type 1 financial instruments business operator with the Japan Financial Services Agency (“JFSA”); and in the United States of America by Citadel Securities LLC (“CDRG”) registered with the Securities Exchange Commission (“SEC”), Financial Industry Regulatory Authority (“FINRA”), and Securities Investor Protection Corporation (“SIPC”), Citadel Securities Institutional LLC (“CSIN”) registered with the SEC, FINRA, and SIPC, or Citadel Securities Swap Dealer LLC (“CSSD”) registered with the SEC, Commodities Futures Trading Commission (“CFTC”), and National Futures Association (“NFA”). Unless governing law permits otherwise, you must contact a Citadel Securities entity in your home jurisdiction if you want to use our services in effecting a transaction in any financial instruments or securities, including derivatives.
FOR INSTITUTIONAL USE ONLY; FOR PROFESSIONAL CLIENTS AND ELIGIBLE COUNTERPARTIES ONLY. This material is not intended as and does not constitute investment research. Contents of this material will be strictly limited to non-specific, generic information (i.e. macro events/topics) and are not subject to the Markets in Financial Instruments directive (MiFID II) or FINRA research rules. This material does not constitute an offer, solicitation, invitation, or inducement to purchase, acquire, subscribe to, provide, or sell any financial instrument or otherwise engage in investment activity. Please see additional important disclosures, including disclosures that may be relevant to your country of residence or business at www.citadelsecurities.com/GlobalSalesTrading.
