PremiumAll The Market's CTA Trigger, Prime And Stock Buybacks Levels And Market Positioning
With the S&P now well above not only their Jan 2022 prior all time high but also above the "nice, round number" that is 5,000, Goldman trader Cullen Morgan recaps the key market levels and positioning traders should be aware of. Of note perhaps is that thanks to the relentless meltup, one can ignore the potential selling of CTAs for a while: while CTAs are long some $149BN (just shy of all time high), the critical Med-Term pivot level for the investor class is all the way down at 4,614 so there is about 400 points of S&P downside before markets have to be worried about forced liquidations.
CTA Corner: Goldman has CTAs modeled long $149bn of global equities (96th %tile) after buying $13bn last week. Buy/sell estimates are mixed and relatively insignificant over the next week and month (link).
GS PB: The GS Equity Fundamental L/S Performance Estimate rose +0.95% between 2/2 and 2/8 (vs MSCI World TR +1.23%), driven by beta of +0.77% (from market exposure and market sensitivity combined) and alpha of +0.18% on the back of short side gains. The GS Equity Systematic L/S Performance Estimate fell -1.08% between 2/2 and 2/8, driven by alpha of -0.85% on the back of long side losses and beta of -0.23% (from market sensitivity) (link).
Buybacks: Goldman currently estimates ~70% of the S&P 500 are in their open window period 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.