With some worried that all hell may break loose when Powell again opens his mouth this week and is either much more hawkish than expected, or much more dovish, or alternatively the US Treasury will reveal plans to issue much more debt sparking another liquidation in Treasuries, or last but not least, the Department of Bidenomics Goalseeking higher numbers will publish another idiotic jobs print on Friday, Goldman trader Cullen Morgan recaps the key market levels and positioning traders should be aware of.
- CTA Corner: Goldman has CTAs modeled short -$100bn of global equities (0th %tile) after selling -$41bn last week. In the US, CTAs are short -$25bn of equities after selling -$20bn last week. Per GS model, CTAs are now sellers of SPX in every scenario over the next week.
- GS PB: The GS Equity Fundamental L/S Performance Estimate fell -1.07% between 10/20 and 10/26 (vs MSCI World TR -2.95%), driven by beta of -1.36% (from market exposure and market sensitivity combined) partially offset by alpha of +0.29% on the back of short side gains (link).
- Buybacks: Goldman estimates open window will last through ~Dec 8, 23. The bank currently estimates that ~50% of the S&P 500 is in open window with +70% in open window by the end of the week (link).
- Charts in Focus: Sentiment Indicator, SPX vs. Singles Skew, Call Skew vs. Put Skew, S&P Futures Liquidity, Funding Spreads vs. S&P 500.
CTA Corner
