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 modeled CTAs as short -$60bn of global equities (16th %tile). In the US, CTAs are short -$14bn of equities after buying $16bn last week. Per GS model, they CTAs are now sellers in every scenario over the next week.
- GS PB: The GS Equity Fundamental L/S Performance Estimate2 fell -0.59% between 10/13 and 10/19 (vs MSCI World TR -2.06%), driven by beta of -1.36% (from market exposure and market sensitivity combined) partially offset by alpha of +0.77% on the back of both long and short side gains (link).
- Buybacks: As of today, we estimate ~20% of the S&P 500 are in their open window period with ~40% 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, VIX call volume.
