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: We have CTAs long $89bn of global equities (82nd %tile). Per GS model, CTAs are buyers of SPX in every scenario of 1 week.
- GS PB: The GS Equity Fundamental L/S Performance Estimate rose +1.36% between 6/9 and 6/15 (vs MSCI World TR +2.96%), driven by beta of +1.39% (from market exposure and market sensitivity combined), partially offset by alpha of -0.03% (link).
- Buybacks: We are currently in an estimated blackout window (est. to end ~7/28) with ~60% of the S&P 500 currently in blackout and ~85% estimated to be in blackout 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.
