Are they immune?

The big short that reversed into the big long. Almost hard to imagine non dealers are running these US futures longs...

Source: GS

The tech long

Not low...currently in the 96%tile.

Source: DB

Systematics

They have reduced the equity long, but zoom out and you realize they still have good size to reduce.

Source: DB

CTA cheat sheet

CTAs are modeled long $99bn of global equities (75%tile) post selling around $30bn last week. Note CTAs remain sellers in most scenarios according to GS. Chart show SPX projections.

Source: GS/TME

Source: GS

Surprise in a pic

Nomura's McElligott shows it in one pic.

Source: Nomura

SPX around VIX "events"

TS Lombard: "Our analysis of past volatility bouts shows that equities take 4-5 weeks, on average, before a sustained recovery begins. Markets tend to rebound on oversold conditions such as the current ones, but investors often sell into that strength, which can lead to a relapse. This is what happened, for instance, in 2018, an episode that bears strong similarities to the current one."

Source: TS Lombard

Stabilizer turned destabilizer

It was only a few weeks ago (here) that we explained how dealers were "choking on theta": "This is theta agony and everybody that has run big long gamma in dull summer trading knows the "Chinese water torture" feeling...usually a good time to buy volatility/hedges, although "most" have already promised not to buy options again." Things have changed dramatically since then and extreme long gamma has become very big short gamma (note levels are per Friday close)

Source: GS

Source: GS

Green shoots of support?

Watching Japan for "clues"

Yes, Nikkei crashed overnight, but Nikkei futures actually managed putting in the biggest up candle since everything started as the day progressed.

Source: Refinitiv

Source: Refinitiv

SOX going sexy again?

SOX is very oversold...but has actually put in the biggest up candle since "forever", bouncing right on must hold levels.

Source: Refinitiv

Waking up

The buyback bid is waking up and should provide some support...

Source: GS