Two weeks ago just as we warned that CTAs would be "sellers in every scenario", something we observed vividly - and brutally - just days later when we saw near record CTA and systematic liquidations as a result of the carry trade unwind, sending the market tumbling and VIX soaring, we said that the only counterpoint to this bearish forced selling was that the buyback window was now open, enabling billions in daily purchases. Only there would be no such buybacks on days when volatility was exploding: after all CFOs and Treasurers are only human, and they too hope to preserve their stock-lifting dry powder for calmer days.
So fast forwarding to today when the systematic rout is now largely over (although aftershocks do remain and as long as the VIX trades around 20, forced selling will persist if at a far lower level), but while the selling is rapidly fading, the buying is only just starting.
As Goldman's Vani Ranganath writes this morning, the bank currently see 90% of companies in open window, a number expected to rise to 93% by the end of the week. The bank estimates this open window will run through at least Sept 6.
