Nomura’s Charlie McElligott, Now Officially A Star, Delivers Sweeping Defense Of Infamous Tuesday CTA Crash Call

You wanted more Charlie McElligott, you got it. On Tuesday afternoon, just after the S&P took a sudden lunchtime dive, Charlie sent out a client blast that put at least part of the blame on CTAs. We documented that here as soon as it started making the rounds in a quick post called "On Wall Street: Midday Massacre". “Our CTA Trend model is again deleveraging massive notional in ‘long US Equities’ expressions across SPX, RTY and NDX”, McElligott wrote, adding that the bank’s “S