With stocks inching ever higher to their Jan 2022 all time high yet facing some modest resistance amid growing expectations that a March rate cut is not a done deal after all, especially after today's comments by the Fed's Weller, Goldman trader Cullen Morgan recaps the key market levels and positioning traders should be aware of. Of note is the medium-term CTA pivot level: if the S&P were to dump below that, it would open up some $243 billion for sell by CTAs in the coming month.
- CTA Corner: Goldman has CTAs modeled long $144bn of global equities and long $53bn of US equities.
- Goldman Prime Brokerage: The GS Equity Fundamental L/S Performance Estimate rose +1.39% between 1/5 and 1/11 (vs MSCI World TR +1.40%), driven by alpha of +1.13% on the back of both long and short side gains and beta of +0.26% (from market exposure). The GS Equity Systematic L/S Performance Estimate fell -0.76% between 1/5 and 1/11, driven by alpha of -0.80% on the back of long side losses, partially offset by beta of +0.04% (from market sensitivity) (link).
- Buybacks: Another moderate week on the buyback desk with flows finishing 1.0x vs 2023 YTD ADTV and 1.3x vs 2022 YTD ADTV. Goldman continues to see a majority of buyback flows in 10b5-1 plans. There are 2 weeks left of the buyback blackout window.
- Charts in Focus: Sentiment Indicator, SPX vs. Singles Skew, Call Skew vs. Put Skew, S&P Futures Liquidity, Funding Spreads vs. S&P 500, Non-dealer positioning.
CTA Corner
