In a world where dealer gamma, 0DTE derivatives, positioning, technicals, and liquidity regularly eclipse fundamentals, here are the most important market levels, according to Goldman trader Cullen Morgan (full note available to pro subs).
Summary:
- CTA Corner: Goldman has CTAs modeled short -$82bn of global equities (8th %tile). In the US, CTAs are short -$30bn of equities after buying $16bn last week. Per GS model, the CTAs are now buyers of SPX in every scenario over the next week.
- GS PB: The GS Equity Fundamental L/S Performance Estimate rose +0.80% between 10/6 and 10/12 (vs MSCI World TR +2.42%), driven by beta of +1.11% (from market exposure and market sensitivity combined) partially offset by alpha of -0.32% on the back of long side losses (link).
- Buybacks: This is the final week of the estimated blackout window. As companies have started releasing earnings, we will start to see them enter their open window period. We estimate companies typically enter open window 1-2 days post earnings release. This next open window period is estimated to be 10/23/23 - 12/08/23 (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, VIX call volume.
