While one may disagree with his overarching view, Goldman trader Bobby Molavi (see "This Is A Rally People Don't Believe In, But Have Finally Given Up Fighting Against") was right about one thing: this has become a market "where investment horizons have seemingly shrunk and positioning and liquidity are more important than they should be and fundamentals" no longer matter.
And in a world where only positioning, technicals, and liquidity matter, here are the most important market levels (according to Cullen Morgan of Goldman's Sales and Trading desk).
CTA Corner: Goldman has CTAs modeled long $150.5BN of global equities and long $57.7BN of US equities.
GS PB: The GS Equity Fundamental L/S Performance Estimate rose +0.04% between 7/21 and 7/27 (vs MSCI World TR +0.17%), driven by beta of +0.53% (from market exposure and market sensitivity combined) offset by alpha of -0.48%. Fundamental L/S alpha has decreased for 5 consecutive weeks (link).
Buybacks: Monday marks the first day of the buyback open window period (est. to end 9/8/23). Goldman estimates ~55% of the S&P 500 are in open window as of today with ~78% 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
