Earlier this week, in “Behind The Scenes Of Wall Street’s V-Shaped Recovery,” I spent some (more) time discussing mechanical stock-buying in the context of sample “drop-off” dates associated with the wild trading sessions seen in and around Donald Trump’s “Liberation Day” tariff rollout.

This isn’t as complicated as I (inadvertently) make it sound. To simplify — and the “pros” among you will give me some rope — there’s a large cohort of systematic strategies (vol control strats) which allocate to stocks based on historical volatility as calculated using different lookback windows. Those windows are weighted differently depending on the model, but the three-month lookback counts. July makes three months since April, so in July, the sessions associated with the worst of this year’s tariff volatility will drop out of that three-month sample. As they drop, the three-month realized volatility measure will recede. As it recedes, models which allocate to stocks based on volatility signals will be triggered to buy.

Again, that’s an oversimplification but generally speaking, that’s how it works. And as Nomura’s Charlie McElligott noted in a short Wednesday update, the bank’s projection for stock-buying from vol control strats looking out one month (i.e., out into the days when those April sessions will drop from the three-month lookback) is the largest ever, at $114 billion.

The figure on the left, above, shows you the drop-off days for the three-month realized vol calculation (the numbers are the S&P change for the indicated day). The table on the right gives you some historical context for the projected buy impulse.

“Through [Tuesday’s] close, the latest projection for vol control buying in the case of an average 50bps SPX daily move over the next one month is +$114.2 billion to buy,” McElligott wrote, reiterating that this “projected vol control reallocation into equities” is a function of trailing realized vol, which “is averaging down in a major way, not just on account of the currently placid tone, but primarily because those April ‘Liberation Day’ ‘shock’ days are imminently moving out-of-sample.”

Do note: This is contingent. It depends on the S&P staying relatively calm. The projection assumes daily average moves of +/- 0.5%. In the presence of larger stock swings, the projected buying is smaller and in an unlikely scenario where stocks somehow average daily swings of 2% or more, vol control strats would be sellers.

There’s another caveat. Vol control is just one type of systematic strategy, and systematics are just one type of investor cohort. More simply: This is just one flow.

Those two important provisos aside, this is worth a mention. Because again, and as McElligott remarked, “This is the largest estimated one-month buy projection” from vol control in the history of Nomura’s model, which looks back more than two decades.