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: We have CTAs modeled short -$90bn of global equities (0 %tile). In the US, CTAs are short -$47bn of equities after selling $88bn over the last 15 sessions. This is the largest US short position for this cohort on record. Per GS model, they CTAs are now buyers of SPX in every scenario over the next month.
- GS PB: The GS Equity Fundamental L/S Performance Estimate2 fell -0.73% between 9/29 and 10/5 (vs MSCI World TR -1.36%), driven by beta of -0.9% (from market exposure and market sensitivity combined) partially offset by alpha of +0.17% on the back of short side gains (link).
- Buybacks: We estimate the current blackout period will end ~10/20/2023. We will start to see companies exit blackout as they start to release their earnings (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.
