As I share my ninth note, I remain grateful to be part of this world-class ecosystem. In these early months, I’ve reflected on the unique insights that stem from Citadel Securities’ #1 position in equity flows — spanning on-exchange market making, retail activity, and direct institutional coverage.
Thank you to those who have already shared perspectives. I welcome your feedback on what else you’d find valuable as I continue to learn, grow, and build.
On the Road: Market Sentiment Balanced but Fragile
Recent global client conversations highlight optimism offset by caution:
Citadel Securities Flow Insights
Our flow data show both risk-taking (“Sword”) and protection (“Shield”):
These crosscurrents in sentiment and flows point to a market already on edge – and the stakes are rising for how quickly momentum could swing.
It is time for a thread.
As I share my ninth note, I remain grateful to be part of this world-class ecosystem. In these early months, I’ve reflected on the unique insights that stem from Citadel Securities’ #1 position in equity flows — spanning on-exchange market making, retail activity, and direct institutional coverage.
Thank you to those who have already shared perspectives. I welcome your feedback on what else you’d find valuable as I continue to learn, grow, and build.
On the Road: Market Sentiment Balanced but Fragile
Recent global client conversations highlight optimism offset by caution:
Citadel Securities Flow Insights
Our flow data show both risk-taking (“Sword”) and protection (“Shield”):
These crosscurrents in sentiment and flows point to a market already on edge – and the stakes are rising for how quickly momentum could swing.
It is time for a thread.
What the Bulls are saying:
What the Bears are saying:
Our client activity remains strong, even at all-time equity market highs (SPX/NDX).
👉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 – Sep 2025
What the Bulls are saying:
What the Bears are saying:
Our client activity remains strong, even at all-time equity market highs (SPX/NDX).
👉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 – Sep 2025
Source: Bloomberg as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
1. Citadel Securities’ Retail Equities clients: Net buyers in 19 of the last 22 weeks, rebounding after April weakness.
Retail Cash Equities – Net Notional by Week (Std Dev)
January – Sep 2025
Source: Bloomberg as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
1. Citadel Securities’ Retail Equities clients: Net buyers in 19 of the last 22 weeks, rebounding after April weakness.
Retail Cash Equities – Net Notional by Week (Std Dev)
January – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
2. Retail Trend: Citadel Securities’ Retail Equity clients have been structural buyers for 20 consecutive months of both net notional and shares.
3. Citadel Securities’ Retail Equity clients seasonal demand trends from the last 8 years:
Seasonal trend: Sep weakest → Oct builds → Nov strongest
Retail Cash – Proportion of Net Notional By Month
August 1, 2017 – August 31, 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
2. Retail Trend: Citadel Securities’ Retail Equity clients have been structural buyers for 20 consecutive months of both net notional and shares.
3. Citadel Securities’ Retail Equity clients seasonal demand trends from the last 8 years:
Seasonal trend: Sep weakest → Oct builds → Nov strongest
Retail Cash – Proportion of Net Notional By Month
August 1, 2017 – August 31, 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results
4. Cash on the sidelines:
Boardroom question: $7.3T in money markets — when does cash rotate into risk assets given the decline in cash yields?
ICI Money Market Fund Assets at All-Time High: $7.3 Trillion
Jan 2020 – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results
4. Cash on the sidelines:
Boardroom question: $7.3T in money markets — when does cash rotate into risk assets given the decline in cash yields?
ICI Money Market Fund Assets at All-Time High: $7.3 Trillion
Jan 2020 – Sep 2025
Source: ICI as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
5. Citadel Securities’ Retail Options clients: August 2025 set a new monthly volume record.
Retail Options – Average Monthly Options Volume
Std Dev, normalized to January 2020
Source: ICI as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
5. Citadel Securities’ Retail Options clients: 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 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results
6. Citadel Securities’ Retail Options client bullish streak watch
Retail Options – Call / Put Direction Ratio by Week (%)
January – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results
6. Citadel Securities’ Retail Options client bullish streak watch
Retail Options – Call / Put Direction Ratio by Week (%)
January – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
Longest Retail Weekly Option Buying Streaks on Record, since 2020.
Starting month, # of weeks
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
Longest Retail Weekly Option Buying Streaks on Record, since 2020.
Starting month, # of weeks
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results
7. Retail Option acceleration in Q4
Citadel Securities’ Retail Options client 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 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results
7. Retail Option acceleration in Q4
Citadel Securities’ Retail Options client 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 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results
8. Citadel Securities’ Institutional Options clients turned to hedging demand
Institutional Options –Call/Put Direction Ratio by Week
January – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results
8. Citadel Securities’ Institutional Options clients turned to hedging demand
Institutional Options –Call/Put Direction Ratio by Week
January – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
9. Volatility: September Triple-Witch Option Expiration (September 19th)
Three things to watch: zero-days-to-expiry (0DTE) volumes, record options volume, record long gamma positioning.
This has contributed to a long dealer-gamma backdrop that can mute intraday moves. We estimate the long dealer-gamma positioning to be significant into triple-witch expiration and quarter-end.
SPX 3-month implied volatility
Jan 2023 – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
9. Volatility: September Triple-Witch Option Expiration (September 19th)
Three things to watch: zero-days-to-expiry (0DTE) volumes, record options volume, record long gamma positioning.
This has contributed to a long dealer-gamma backdrop that can mute intraday moves. We estimate the long dealer-gamma positioning to be significant into triple-witch expiration and quarter-end.
SPX 3-month implied volatility
Jan 2023 – Sep 2025
Source: Bloomberg as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
Source: Bloomberg as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
Source: EventVestor as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
CFTC VIX Consolidated % Long
January 2022 – Sep 2025
Source: EventVestor as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
CFTC VIX Consolidated % Long
January 2022 – Sep 2025
Source: COT report, as compiled by Citadel Securities, as of September 16th, 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 – Sep 2025
Source: COT report, as compiled by Citadel Securities, as of September 16th, 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 – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
11. CTA thresholds for ES1 and NQA
ES1 (S&P 500) CTA Signals
January 2024 – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
11. CTA thresholds for ES1 and NQA
ES1 (S&P 500) CTA Signals
January 2024 – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
NQ1 (NDX) CTA Signals
January 2024 – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
NQ1 (NDX) CTA Signals
January 2024 – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
12. CTA ES1: Short-term and long-term signals
January 2022 – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
12. CTA ES1: Short-term and long-term signals
January 2022 – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
13. CFTC Net Longs: Positioning rising back toward historical averages
CFTC S&P 500 Consolidated % Long
January 2022 – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
13. CFTC Net Longs: Positioning rising back toward historical averages
CFTC S&P 500 Consolidated % Long
January 2022 – Sep 2025
Source: COT report, as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
CFTC NDX 100 Consolidated % Long
January 2022 – Sep 2025
Source: COT report, as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
CFTC NDX 100 Consolidated % Long
January 2022 – Sep 2025
Source: COT report, as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
14. 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.
Vol Target Exposure with 5%, 10%, 15%, Risk Control
Exposure Rank since 2020
Source: COT report, as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
14. 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.
Vol Target Exposure with 5%, 10%, 15%, Risk Control
Exposure Rank since 2020
Source: Bloomberg as compiled by Citadel Securities, as of September 16th, 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 → but no unwind trigger. If we go down a little, we could go down a lot.
Risk Parity Exposure
Jan 2022 – Sep 2025
Source: Bloomberg as compiled by Citadel Securities, as of September 16th, 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 → but no unwind trigger. If we go down a little, we could go down a lot.
Risk Parity Exposure
Jan 2022 – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
16. Sentiment has declined, yet retail remains resilient
AAII Equity Asset Allocation (%)
Jan 2022 – Sep 2025
Source: Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
16. Sentiment has declined, yet retail remains resilient
AAII Equity Asset Allocation (%)
Jan 2022 – Sep 2025
Source: AAII, as reported by Bloomberg and compiled by Citadel Securities, as of September 15th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
AAII Bull – AAII Bear Spread, saw a big move lower
Jan 2022 – Sep 2025
Source: AAII, as reported by Bloomberg and compiled by Citadel Securities, as of September 15th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
AAII Bull – AAII Bear Spread, saw a big move lower
Jan 2022 – Sep 2025
Source: AAII, as reported by Bloomberg and compiled by Citadel Securities, as of September 15th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
17. US equities and US bonds are both driving returns for the 60/40 portfolio.
SPX and 10-year Rolling 60-day Correlation
Jan 2022 – Sep 2025
Source: AAII, as reported by Bloomberg and compiled by Citadel Securities, as of September 15th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
17. US equities and US bonds are both driving returns for the 60/40 portfolio.
SPX and 10-year Rolling 60-day Correlation
Jan 2022 – Sep 2025
Source: Bloomberg as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
Takeaway: If markets slip, systematic flows could exacerbate drawdowns.
📌 GMI Key Takeaway: Structural Bull, Tactical Worry
Source: Bloomberg as compiled by Citadel Securities, as of September 16th, 2025. Figures are for illustrative purposes only. Past performance figures do not guarantee future results.
Takeaway: If markets slip, systematic flows could exacerbate drawdowns.
📌 GMI Key Takeaway: Structural Bull, Tactical Worry
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.
