貝殼街倉庫

Realized vol is still hanging around 15v (on a 10d lookback) and intraday spot moves remain quite large, which the desk thinks should persist until post-CPI and Trump inauguration.
 
Flows were decently busy on the desk today, and we saw a seller of Feb skew and a large DecQ call spread buyer. In general, we saw a tilt towards selling vol in nearer-dated space and some buyers of term structure / longer-dated vol. This week on the macro tape, the PPI and CPI reports go live tomorrow and Wednesday respectively, with Retail Sales and Jobless Claims coming in on Thursday. The Friday straddle goes out at 1.61% ($94).
 
Notable trades:
SPX feb 5510/5955 rr paper pays 9 2kx
SPX decQ 7000/7100 cs paper bot 4300x 8.3 up to 8.35

Summary:
SPX:           5,836.22  (+0.16%)
NDX:        20,784.73  (-0.30%)
RUT:           2,194.404  (+0.24%)
VIX:                 19.19  (-0.35pts)
EEM:               40.81
 
A renewed wave of dip buying fueled a rebound in stocks, with SPX grinding upwards throughout the day despite futures being down almost 1% pre-market. Energy producers joined a rally in oil while banks climbed ahead of the start of the earnings season. The bond market saw small moves after a rout driven by speculation of fewer Fed cuts this year amid stubborn price pressures. Fixed strike vols were up small in the morning and got hammered throughout the day, the market trading in a spot up vol down fashion, and skew also compressed across the surface. The desk thinks that we’ve hit sort of a peak in this elevated vol and skew environment, where down moves see a smaller bid for both metrics than anticipated and up moves see both compressing / losing steam.

DERIVS: Intraday price action still very similar to what we've seen over the last couple days, but possibly even more dramatic than what we were seeing Friday. The market flashed lower overnight, with vol and skew both going bid before the open. Post open, vol moves have been entirely one way as vol and skew have both TWAPed lower. On Friday, that move ended up reversing into the close, but so far today we've seen close to 0 bounces in vol as we return to the 100 day moving average in SPX spot. The prescription from the desk is still the same: we prefer spread trades to outright option trades, we like short vol and short skew here with both still at elevated levels compared to the levels they've traded at over the last year. (h/t Joe Clyne)

There were green shoots across HCare during the JPM HC conference. Largely in subgroups where there’s been heightened uncertainty on fundamentals and/or near-term overhangs, with (1) Managed Care (UNH, HUM, CVS all higher) post a better-than-expected initial MA Advance Notice – desk skewed 3:1 better to buy in MCOs today post advanced notice MA rates. (2) Life Sciences/Tools higher – with RVTY +7% (beat on organic 6% vs. 4%) and TXG +1% (ahead on instruments). Seeing similar dynamic of reversion of recent laggards in pockets (see NVRO +22%, OPCH +15%, PGNY +8%, etc) while more crowded long names lagging despite some with positive updates (see MDGL -11%,  NTRA -3%, ISRG -1.8%, Distributors).
 
There were also a bunch of retailer updates from ICR which were generally better (although not unanimous), though winners vs losers theme is very much intact after there was some dispersion in trends. Few quick points from Feiler: 1) Most stocks down hard, on good results or bad; 2) Issue is the disappointments (ANF -15% and Macy’s -7%) stand out more than the good results (BOOT/LULU), which were always expected to be good 3) URBN is -2% and AEO -5%, despite clear top-line beats for both.

The move lower in Tech was being driven by a catch-down in longer-duration pockets of TMT (think:: Non Profitable Tech, Growth assets, etc), which makes ‘directional’ sense to most given the move in rates we’ve seen. NVDA traded down -2% on reports of Blackwell issues and White House AI chip restrictions. Still feels like most TMT investors are trying to feel their way around what is PRICED re: 1Q guides / 2025 outlooks at the moment given messy macro + modeling inputs .. 'wait-and-see' (Buy) approach. Investors remain cautions ahead of CPI (and more broadly inauguration/tariff risk in the week after). We estimate a 0.25% increase in core CPI (month-over-month SA), which would leave the year-over-year rate unchanged on a rounded basis at 3.3%.
 
Our floor was a 6 on a 1-10 scale in terms of overall activity levels. Overall executed flow finished -48bps vs +12bps 30 day avg. LOs finished -$600m net sellers driven by macro expressions of tech and smaller supply in staples. LOs net bought financials, consumer discretionary, and HCare. HFs finished balanced overall, net sellers of tech vs buyers of comm services, HCare and Fins. 

U.S. EQUITIES COLOR: CAUTIOUS

S&P +16bps closing @ 5836 w/ a MOC $1bn to BUY. NDX -30bps @ 20784, R2K +24bps @ 2194 and Dow +86bps @ 42297. 14.9bn shares traded across all US equity exchanges vs ytd daily avg of 16b shares. VIX -154bps @ 19.24, Crude +281bps @ 78.72, US 10 yr +3bps @ 4.79, gold -105bps @ 2661, dxy +18bps @ 109.84 and bitcoin -78bps @ 93577.
 
Heavy session (with SPX ultimately finishing +16bps; equal weight +82bps) on follow through from Friday’s sell-off post the hotter payrolls print, as higher yields continue to weigh on sentiment + crude breaks out (~$78+) after the latest round of US sanctions on Russia last week (WTI back to Oct highs). Airlines traded down -3% as the higher move in crude starts to weigh on the group through near term EPS headwind. Counterintuitive given the moves, last week’s PB stat stands out: US Energy stocks were net sold in each of the past 5 sessions and saw the largest net selling in more than three months (-2.5 SDs) – last week’s notional long selling in US Energy was the largest in more than eight years.

PRIME WEELLY: US equities were net sold for a second straight week (3 of the last 4, -0.5 SDs one-yea), driven by Macro Products and short sales outpacing long buys 2.5 to 1. Fundamental L/S Gross leverage +3.3 pts to 194.2% (89th percentile 1-year) and Net leverage +0.9 pts to 56.5% (77th percentile 1-year).

Hedge funds sold Consumer Discretionary stocks for the 4th straight week and in nearly every region. Prime book’s sector weighting vs. MSCI World ACWI is now at +4.83% (vs. +5.5% at the start of December), which ranks in the 25th/44th percentiles vs. the past one/five years.

Managers net bought US TMT stocks at the fastest pace in 3 months, led by long buys. US TMT long/short ratio now stands at 1.98, in the 39th percentile vs. the past year and 9th percentile vs. the past five years.

U.S. EQUITIES COLOR: ON THE WEEK...

On this very challenging week RTY -3.5%, NDX -2.2%, SPX -1.9% while US 10YR backed up +16bps to 4.76% and crude +3.7% to $76.60. Market now only pricing in 33bps of cuts this year (vs 85bps one month ago). It was a week culminated by a mix of firmer growth & stickier inflation (NFP and ISM services; GIR now expects two 25bp cuts this year vs. three previously), a sell-the-news reaction to Jensen's CES keynote + a leak in duration pockets with no real places to hide, Trump 2.0 uncertainty (Tariffs, Tiktok, inauguration, geopolitical), corp buyback blackout, and a massive retail footprint (explosive sub $1 stock volumes). Investor mood into earnings feels just ‘ok’ and the list of EPS set-ups with ‘debates’ / ‘tricky set-ups’ feels longer than the list of ‘clean’ set-ups. Best on week: Oil and commodity sensitives +2-4% // Worst on the week: CRE, ADRs, Biotech, Most Short all -4%.

From a flow perspective, LOs finished $1b net sellers while HFs finished +$1b net buyers. As expected, we were most skewed for sale in Tech while Financials, Industrials, and HCare finished net bought.

DERIVS: Big picture story of the day: even as spot makes new lows and breaks important technical levels, vol is struggling to hold bids in the face of a steeper skew/higher vol environment. We have realized roughly 2x the straddle to the downside in a flatter dealer gamma environment, and are still only seeing fixed strike vols up about .2v in the 2 month space. That's not nothing, but it is quite different than the dramatic spot vol correlation that we had been seeing over the course of the last month or so. It speaks to how elevated skew has gotten that even what would have been considered quite large selloffs not long ago, are not having the same impact in implied vol space (at least so far on the day).

Our customer flow has been consistent with the narrative above as we have seen mostly monetization as opposed to further chasing of optionality. We've seen customers roll puts down and sell put spreads, both in SPY and in QQQ on the day. It is interesting that the curve is still struggling to invert dramatically on this realized move with Feb and Mar fixed strike vol quite flat to each other. The desk continues to like spreads rather than outright options with vol at these levels and a lot of anticipated vol supply over the next week. (h/t Joe Clyne)

GS Jan Quickpoll

Skew was aggressively bid in the morning alongside the bid to vol. This was true across the surface, but especially in short-dated space. Term-structure flattened in the morning as market stress was clear, but steepened as all other risk parameters came in. Like skew, we saw vol of vol bid on the open before collapsing alongside both vol and skew. The collapse of vol of vol was pretty aggressive by the end of the day as we saw Feb at the money vol of vol down about 2.5 vols. While we are no longer at peak dealer gamma positioning, dealers are definitely long gamma. However, this gamma does drop off as we sell off, leaving the street short gamma down 2%. With the market closed tomorrow, we have the Friday NFP straddle going out worth about 94bps, which may seem high relative to where the daily straddles have been priced for the past year, but seems fair given this NFP could be very important in understanding the Fed's plan for the next year.

Equity Index Vol Update

Busier day on the index vol desk as markets chopped before closing the day up small. Vol was extremely bid on the morning sell-off as we heard news of more potential tariffs. This bid to vol reached its peak during the morning sell-off, with VIX crossing 19 at the lows in SPX. While vol continued to be bid on sell-offs, we saw vol compress from those highs to close down on the day, with the front month VIX future closing down about 20 cents and fixed strike vol down about the same in 1m space.

Flowswise we saw a large buyer of ES puts. In addition, we saw mostly sellers of Jan vol of vol, selling both puts and calls neutral.

DERIVS: Another interesting day in vol markets as we've seen wide ranges in spot and vol over the course of today's trading activity. Off the open, we saw dramatic bids to vol and skew in SPX, particularly in the forward skew space. Flows out of the gate were tiled towards vol buying again, especially skew buying. Throughout the day, we've seen real spot-vol beta with vol/skew outperforming on every selloff and retracing dramatically on every rally. Some of that (in the desk's opinion) is due to gamma positioning, but it is even more dramatic in the vol space, speaking to short skew that exists in vega tenors on the street.

Even if the short skew trade is somewhat crowded, the desk still thinks it screens as attractive, with both vol and skew in close to their 90th percentile over a 1 year lookback (in short dated SPX). We are admittedly in a bit of a different policy environment as we approach inauguration day, but startign from an 18 VIX future environment gives some cushion to be short optionality. The straddle from now to Friday's close is a bit over 1% for the period which includes NFP, showing that it is certainly no longer free to protect short-dated risks with one day straddles (especially on event days). For customers looking to hedge, the desk likes put spreads more than outright puts, with vol and skew creeping higher again. (h/t Joe Clyne)

U.S. EQUITIES COLOR: UNCOMFORTABLE

This was the most uncomfortable +16bps day for SPX in a long time. Stocks continue to struggle a bit in a market where rates are rising -- highlighting the complexities of a market and economy in the midst of a transition to a new White House Administration; and one that is trading at an elevated P/E multiple. On the macro front, ADP slight miss, claims rose, FOMC minutes better than feared, and Waller dovish on net. Thoughts on Friday’s NFP print below. Reminder U.S stock market is closed tomorrow (fixed income open).

Our floor was a 7 on a 1-10 scale in terms of overall activity levels. Overall executed flow finished balanced vs +11bps 30 day avg. LOs finished -$1.5b net sellers driven by supply in supercap tech while HFs finished only slight (-$200m) net sellers also driven by tech (short > long supply). Our Most Short TMT basket (GSCBMSIT) traded down -10%, one of its worst days since 2020.

John Flood: Specific to Friday’s print, GIR is looking for a headline number of +125k (vs +160k consensus and +227k prior), AHE MoM +.3% (vs +.3% consensus and +.4% prior) and U/E Rate of 4.3% (vs 4.2% consensus and 4.2% prior). I believe the sweet spot for stocks is 100k – 125k. Too hot and rates will climb higher (which the stock market clearly doesn’t want) and too cold will quickly shift worries from rates to growth. Vol market is pricing in a 107bp move for S&P through Friday’s close.

S&P’s reaction function to the headline print in a vacuum...

>200k: S&P sells off at least 100bps

175k – 200k: S&P sells off 50 – 100bps

150k – 175: S&P +/- 50bps

125k – 150k: S&P rallies 0 – 50bps

100k – 125k: S&P rallies 50 - 100bps

<100k: S&P sells off 0 – 50bps

Equity Index Vol Update

Equity markets melted today as a selloff in the bond market raised speculation that the Fed will not cut rates before July amid inflation risks. Following a recent rally, stocks lost traction post JOLTS and ISM reports this morning, with a report on US service providers showing a price gauge hitting the highest since early 2023. Big tech led the move downwards, with NVDA sinking 6.22% and NDX down 1.79%. Post-open, vols were muted across indices until the economic data came in, and quickly got bid as spot started to melt. We saw a traditional spot down vol up move as a result, with skew steepening and the VIX futs curve shifting upwards following an increased demand for downside protection. Intraday realized vol remains in a higher area, as exemplified by today’s 100 handle trading range and 10d hist vol at 15v – half of the trading sessions in the past 2 weeks having featured SPX >1% moves. This stands in contrast to the first month of trading in 2024, which saw 10d realized vol around 10v.
 
Flows on the desk have been tilted towards buying options, even with vol starting from a much higher level than the lows we saw during 2024. Specifically, we’ve been seeing buyers of puts and VIX calls, as well as a few large clips of 7Feb calls and a VIX Jan/Feb call spread roll. The desk likes put spreads as a favored short delta implementation to fade an elevated skew level without putting on too much outright vol. In particular, QQQ put spreads out to the end of Jan or beginning of Feb look attractive as the spread to SPX is on the low side and the timeline covers the bulk of tech earnings. Tomorrow’s straddle goes out at 69bps ($41), capturing FOMC minutes in the afternoon, and the Friday straddle goes out at 1.17% ($70), capturing the NFP and UMich inflation reports.

Our floor was a 6 on a 1-10 scale in terms of overall activity levels. Overall executed flow finished -2% vs -261bps 30 day avg. Companies at our Energy & Utes conference sounded better than feared for where the stocks were - think ample room for XLE to continue higher. Investors looking to add to oil longs and potential sell/short gas. Flow on our pad was mostly 2 ways without one clear theme standing out. In TMT, institutional activity was fairly quiet with some supply in Semis / Software. LOs and HFs finished -$2b and -$500m net sellers respectively, driven by supercap tech.
 
DERIVS: First day of somewhat increased activity on the desk after a quiet first few days to the year. Flows here have been tilted towards buying options and we are seeing vol creep higher again across the surface with skew steepening in SPX. We continue to think that there isn't much gamma here or to the downside, while dealers do get longer gamma to the topside. We've seen buyers of SPX downside and buyers of VIX calls today, even with vol starting from a much higher level than the lows we saw during 2024. The desk continues to like put spreads as a favored short delta implementation to fade an elevated skew level without putting on too much outright vol. In particular, QQQ put spreads out to the end of Jan or beginning of Feb look attractive as the spread to SPX is on the low side and you capture the bulk of tech earnings. (h/t Joe Clyne)

U.S. EQUITIES COLOR: RISK OFF

Tough sledding out there. It was another squishy tape today w/ our Mo Pair (GSPRHIMO INDEX) off a quick -250bps (S&P Equal Weight down small). No real place to hide, with Semis (-2%), Software (-2.5%), and Megacaps (-2.6%) all down in tandem. NVDA sold off -9% from pre-market highs (finished down -6%) on a sell-the-news reaction to Jensen's CES keynote. The US stock market is closed Thursday (yet fixed income open...feels like first time ever for this) followed by NFP Friday which is an uncomfortable setup. As a result, don't expect any real offense to be played into NFP. Data today was hawkish (JOLTS & ISM) and 10yr yields now at 4.7% are weighing on stocks. Corps indeed in blackout with our buyback desk tracking .7x ytd daily avg (notional executed).
 
Executed flow across GS equities franchise had a 90th percentile sell skew today at one point and was HIGHLY concentrated in Momentum Factor...typically when we see this it HFs (multis) driving the bulk of our flow whipping factors around...today this was NOT THE CASE...mostly driven by our PWM franchise...signs of retail de-risk in the market place which is incredibly rare to see this early in the year....higher rates and really poor mkt breadth are two main culprits....sub dollar stocks as total percentage of tape literally an all-time high today...>50%...another sign of retail’s footprint in the market place.

10. Passive flows and index construction are still the key drivers of returns and performance for 2025. 

I will track these aggressively in 2025, as they are the flows-to-know. 
 
If you allocate $1 of your newly available 401k dollars into the SPY ETF, 34 cents go into the top 7 Magnificent stocks. 

Good Luck in 2025!

In addition, factors tend to typically flip into the laggards to start the new year.

9. "January Effect" starts today

The PWM are making the calls today after back from holidays. "what should we buy?"
 
January is the single largest month of the year for inflows.

8. Retail – potential year-end tax related selling. 

The most important chart of the stack.
 
Households own 39% of cash equities in the $92 Trillion US equity market and a large portion of active mutual funds 18% and passive ETFs 9%. 
 
There may have been some year-end related tax selling in the last few days of 2024 to offset gains.

賣股抵稅大軍撤退，該重新買入了。

7. CTA and Vol Control Projected supply may not materialize, as we are now above CTA trigger level. 

We are now opening above the CTA S&P short term threshold of 5972, as potential supply may not materialize.

6. Funding spreads declined materially as a sign of market leverage to start 2025. 

In addition, S&P funding dropped from 160bps to 75bps (-53% drop).

5. Gamma flipped into year-end

We estimated that on Christmas Eve, dealers were long +$12.3B worth of index gamma, acting as a market buffer. 
 
We estimated that on December 30th, dealers were short $300M worth of index gamma, acting as a market exacerbator. 
 
This $12B change in gamma per ~1% move, is the second largest 4-day change that we have in our dataset, only August 5th was larger.

4. Pension fund year-end supply:

Pension Funds likely rotated out of gains in equities into bonds to immunize and de-glide their portfolios given increased funded status. 
 
GS model estimated -$19 Billion of US equities to sell for quarter-end from pension funds. This ranks in the 84th %ile over the past 3 yrs in absolute value terms.

股票部位獲利了結轉入債券。

3. Decline in liquidity (down -75%)

Liquidity in macro products dropped materially and likely exacerbated market moves. 
 
ES1 top book liquidity hit $3.5M on the touch on January 2nd. This is the second lowest level in the past year (August 5th, $2.9M).
 
This is a decline of -75% from the 2024 average of $13.8M. 

期貨掛單減少，穿價次數上升，可預期波動上升。

2. Hedge Funds typically re-lever gross exposure: this starts now.

GS prime brokerage gross leverage has increased in 13 out of the past 14 Januarys. We are starting the year with a large local short base. 

Which means funds are probably re-lever their exposure.

1. Hedge Fund Selling - 98th percentile:

Last week’s notional net selling in US Macro Products was the largest in the past year and ranks in the 98th percentile on a five-year lookback. 

US-listed ETF shorts increased +7.1% (+17.5% month over month) led by shorting in Large Cap Equity, Corporate Bond, Tech, and, Healthcare ETFs.

I do not think that shorts will stick around for very long.

GS Tactical Flow-of-Funds: January - Scott Rubner

a. The US equity market has absorbed a ton of supply in late December between hedge funds (new shorting), pension funds (rebalancing into bonds), volatility control and systematic strategies (vol spike), and retail year-end.
 
b. Liquidity was also challenged and the gamma dynamic in the market quickly changed. 
 
c. As we walk in today SPX futures scoreboard is up ~2% and exposure remains short and underexposed locally to a rally from here. I would not call it FOMO but more FOMU (fear of materially underperforming benchmarks) out of the 2025 gates. 
 
d. This is a short-term bullish tactical trading call as we move above key threshold levels and retail/PWM/401k/529 start to do their thing. 
 
e. I will go bearish in February and look to re-establish hedges given any resets in volatility.

U.S. EQUITIES COLOR: TECH BOOST

Welcome to 2025, Equities boosted by tech on 1) Sam Altman blog post discussing AGI and “superintelligence”; 2) upside Foxconn/Hon Hai CQ4 revenue numbers; 3) the announcement from Microsoft on Friday about its plans to spend $80B on AI-linked data centers in F25; 4) anticipation for the Nvidia/Jensen Huang keynote tonight at CES. Elsewhere on the news front, Trump 2.0 is setting up to be just as turbulent as Trump 1.0 with some headline roulette with Trump denying early WaPo reports that his team is scaling back tariff plans. 
 
LO community was extremely active buying semis out of the gates (HFs flows more balanced). Early-year seasonals & technicals remain favorable following the late Dec sell off. January remains single largest month of the year for inflows into equities. From factor standpoint: valuation, size, and growth tend to out-perform. This stat from our PB team is worth noting and leaves greater potential for a squeeze from here. Last week’s notional net selling in US Macro Products was the largest in the past year and ranks in the 98th-percentile on a 5yr lookback. US-listed ETF shorts increased +7.1% (+17.5% MoM), led by shorting in Large Cap Equity, Corporate Bond, Tech, and Health Care ETFs.
 
Our floor was a 6 on a 1-10 scale in terms of overall activity levels. Overall executed flow finished +8% vs -407bps 30 day avg. LOs finished +$1.5b net buyers driven by macro products, Fins, and Tech. HFs finished +$300m net buyers driven by Fins, Discretionary, and Comm Services vs supply in supply in Energy.
 
DERIVS: Clients were chasing out of the gates today ahead of the CES conference/ NVDA keynote tonight. We had a number of buyers of short- dated calls/ call spreads on the desk as overall NVDA volumes were elevated (4.2mm calls traded today vs 10d avg of 2.25mm). This flow was consistent across a number of names and SPX fixed strike vol went bid. We start off the year with S&P dealer gamma long just $1bn… this reduction in positioning has coincided with larger intraday trading swings (10d trading band= ~1.30%). With the shortened week- the Friday PM straddle, which captures NFP, is pricing in a 1.17% move. (h/t Pat Grahling)

5) Fixed Income ETFs have gathered +$285bn in net inflows YTD, growing at a 17% CAGR over the last 10 years. In a volatile interest-rate environment (1yr MOVE average = 104.65, 5yr MOVE average = 92.92), ETF investors looked to simplify their fixed income exposure to core benchmarks + add to floating-rate and income strategies: Aggregate funds posted +$121bn of net inflows, 42% of all fixed income creations & floating-rate asset-backed (CLO) and bank loan ETFs had $24.5bn in net creations ($10bn+ in JAAA alone). Active AUM has grown at >30% CAGR (through 3Q24). Over 35% of net inflows (+$100bn) went into actively managed strategies, with aggregate funds accounting for +$57bn in net inflows ($10bn in FBND and $6bn in BINC alone). 12% of net inflows (+$35bn) were into funds launched in 2023+2024, it’s not too late to join the party!

降息後，CLO AAA ETF對比短債應該會是好東西。

4) Equity ETFs garnered +$688bn worth of inflows this year, more than any historical annual measure. Domestic accounted for the majority of flows, gathering +$567bn (82%). Global equity portfolios reeled in +$91bn, driven by broad- based developed market exposures. Emerging markets registered ~$16bn of net inflows, driven by EM ex-China index products. China ETFs did have their moment in early October, pushing YTD flows into positive territory on the year (+$3bn YTD), while flows into India have steadily pushed north of +$4bn.

Actively managed (non-indexed) vehicles continue to be a growth area for the ETF industry as inflows have more than doubled versus any previous annual measure... much of the growth this year can be attributed towards fixed income and derivative income portfolios... actively managed strategies account for ~9% of ETF AUM but have captured 27% of all new money to date.

主動式ETF流量更是屌噴，主要是債券ETF們還有增強收益的那些ETF(賣Options來配息的那種）

3) ETF flows eclipsed +$1 trillion for the first time ever, far exceeding any prior year’s annual inflow. Broad-based equity index products dominated much of the inflows, however there were notable beneficiaries across fixed income and spot- crypto products, which were introduced at the beginning of the year.

Global equities were net sold for the first time in 3 weeks and at the fastest pace in 7 months, driven by short sales outpacing long buys 2.5 to 1 – this week’s notional short selling in global equities was the largest in more than 10 years.

Both Macro Products and Single Stocks were net sold and made up 87% and 13% of the total notional net selling, respectively, both led by short sales.

In cumulative notional terms, the short selling in US equities over the past 4 sessions is the largest since early January and ranks in the 100th percentile on a 5-year lookback.

ETF shorts increased 8% week/week, which is the largest % increase since April of 2020, led by shorting in Large Cap Equity ETFs.

CTA Flows:

Over the next 1 week…
- Flat tape: -$32bn to sell (-$5.5bn SPX to sell)
- Up tape: -$26bn to sell (-$4bn SPX to sell)
- Down tape: -$47bn to sell (-$9bn SPX to sell)

Over the next 1 month…
- Flat tape: -$75bn to sell (-$12bn SPX to sell)
- Up tape: +$56bn to buy (+$435m SPX to buy)
- Down tape: -$206bn to sell (-$53bn SPX to sell)

Key pivot levels for SPX:
- Short term: 5956
- Med term: 5725
- Long term: 5214

DERIVS: Busy day as quarterly OPEX passed with $6.6 trillion of option notional expiring (largest ever). Dealer gamma length has continued to decrease (long $3bn vs $11bn to start the week)… and post expiry positioning could be further cleaned up. On the desk, clients chased the reversal and we had buyers of short dated upside in SPY and QQQs. Vol underperformed spot today by ~2.5v and even with the holiday next week, the full week straddle is still pricing in about a 1.45% move. (H/T Pat Grahling)

GS PRIME:

Global equities were net sold for the first time in 3 weeks and at the fastest pace in 7 months, driven by short sales outpacing long buys 2.5 to 1 – this week’s notional short selling in global equities was the largest in more than 10 years.
Hedge funds ramped up the pace of short selling in US equities post FOMC this week. ETF shorts increased 8% week/week, which is the largest % increase since April of 2020.
All 11 global sectors saw increased short sales on the week. Financials, Consumer Disc, Energy, and Real Estate were the most net sold global sectors, while Health Care, Comm Svcs, Materials, and Industrials were the most net bought.
Managers net sold Financials stocks across all regions this week and at the fastest pace in 6 months. Prime book’s Financials sector weighting vs. MSCI World ACWI is now at -4.0%, which is still well below 5-year averages in the 28th percentile.

U.S. EQUITIES COLOR: SQUEEZE

Today marked the last major liquidity day of the year as volumes exploded due to S&P Quarterly Rebalance along with Triple Witch (options and futures expirations). This morning we walked in with futures lower across the board as the market continues to digest Wednesday’s price action after a hawkish FOMC cut as well as continued uncertainty in finalizing a US House funding plan to avoid a government shutdown. On the macro side, Core PCE was a touch soft at 0.1% vs 0.2% expected (11.5bps unrounded). HL PCE 0.1% vs 0.2% expected (13bps unrounded). After early weakness, the market snapped back led by the lowest quality pockets of the market. While there was no clear smoking gun for the bounce higher, this stat from our GS Prime Brokerage team stands out: In cumulative notional terms, the short selling in US equities over the past 4 sessions is the largest since early January and ranks in the 100th percentile on a 5-year lookback. Our Liquid Most Short basket (GSXUMSAL) was the biggest standout to the upside closing +453bps. Unprofitable Tech (GSXUNPTC) closed +240bps and Expensive Software (GSCBSF8X) +236bps.

One of the most important and highly anticipated Healthcare catalysts of the year hit this am and it underwhelmed. Shares of Novo Nordisk (NVO, NOVOB DC) were as down as much as 29% overnight after reporting disappointing trial results in their highly anticipated next gen GLP-1 +amylin drug for obesity/diabetes. There was a very clear street/company defined bogey of 25% weight-loss (some had pointed to as high as 27%-28%) and the data came in at 22.7%. On the back of these results we saw strength in LLY (+ 1.44%) which can now claim lead in the GLP-1 race and is riding elevated momentum into next year (especially into other pipeline catalysts, i.e their oral). Also a standout, in consumer NKE closed -18bps after being up as much as 10% last night after earnings. Forward Guidance/commentary disappointed on the call although we did see LO defense in NKE early in the session.

Our floor was a 6 on a 1-10 scale in terms of overall activity levels. Flows skewed better to buy across our system. LOs finished $6.6bn net buyers, driven by info tech, industrials, and consumer discretionary. HFs finished $800m net buyers, driven by demand in industrials and macro products.

The most asked question coming into today was centered around CTA supply/demand expectations. Heading into the FOMC, the CTA community had built up a pretty large asymmetry to the downside with the recent low vol environment pushing demand higher. After hitting the short term threshold yesterday (5964) we have seen sell estimates pick up materially in S&P and CTAs are now sellers of S&P in all scenarios.  The medium term threshold in S&P (5722) is still the main level to watch and where estimates would increase further... but according to our GS modeled estimates:
 
1 Week:
Flat Tape = $10.2bn for SALE
Up 2Stdv = $7bn for SALE
Down 2.5Stdv = $14.5bn for SALE
 
1 Month:
Flat Tape = $24bn for SALE
Up 2Stdv = $2.5bn for SALE
Down 2.5Stdv = $60bn for SALE

U.S. EQUITIES COLOR: DIGESTING

Today was a much less eventful trading session as the market continues to digest yesterday’s surprisingly hawkish tilt from the Fed. Earnings didn’t help broader mkt sentiment as MU closed -16% after reporting very weak guidance driven by an inventory correction in certain end markets. Semis traded -156bps in sympathy. Housing stocks also underperformed after LEN -5% acknowledged a weaker than anticipated housing market due to elevated rates, and warned of continued margin pressure. We are beginning to get more questions on dollar stores again after having gone quiet there for a while. DG has drawn in the most confusion, the last 2 days especially. A ton of inbounds on today’s -2.7% move but we think it’s just reversion and it being back to focusing on fundamentals.
 
The one bright spot was megacap tech in a clear “flight to safety” from institutional community after yesterday’s move lower. Our Megacap Tech basket closed +50bps and we saw notable LO demand in high quality megacap names like MSFT/META/GOOGL. Yields continue to climb higher with the 10yr testing 4.60 to the upside putting pressure on growthier pockets of the market.
 
Tomorrow will be the last major liquidity event of the year as the S&P Quarterly Rebalance coincides with Triple Witching (options and futures expirations). On average over the past ten years, US composite Equity volumes on December Rebalances have increased by +70% vs. full year ADV. Among Quarterly Rebalances, Q4 Rebalances are nearly 13% larger than previous quarters (Q1-Q3) averages in the last 10 years. Tomorrow also marks the unofficial start of the corporate buyback blackout window. As a reminder, we estimate ~$6bn in vwap style daily demand that will be pulled in the heart of the blackout window.

Our floor was a 4 on a 1-10 scale in terms of overall activity levels. Flows skewed better for sale across our system. LOs finished -$300mm net sellers. HFs finished -$800 net sellers, driven by supply in macro products and short supply.

Top 25 tactical trades for earnings season.

Source : Goldman

#FICC

Goldman June CPI Preview

美股今年ETF inflow繼續爆增。

Source : Goldman

內資直接買爆台股。

Source : Goldman

超過半數板塊從左上到右下，但台股強勢創歷史新高。

Source : Goldman

台股Forward PE創10年新高。

Source : Goldman

前五大公司佔標普500市值的28％，續創歷史新高。

Source : Goldman

We love Semi, Semi loves me.

Source : Goldman

高盛客戶對七騎士的曝險達有紀錄以來新高。

但我相信很大一部份都是輝達，垃圾車完全沒份。

Source : Goldman

Goldman reiterated $NVDA buy rating and raised its 12m TP to $1200.

String of new products to drive sustained growth in data center.

#GSER

反之就是減少。

Source : Goldman

2024Q1，羅素1000成份股內，對沖基金持股增加最多的股票們。

Source : Goldman

出現在對沖基金前10大持股最多的50檔股票。

Source : Goldman