US Equoty Positioning and Key Levels

FICC and Equities

Consolidated Recap of GS Positioning Metrics

Summary:

1. CTA Corner:

- CTAs currently hold $67bn in global equities (61st percentile) after offloading $9.2bn last week.

- In the US, CTAs hold $22bn. Projections for the next week indicate selling in the US, but buying is expected over the next month in flat or upward market scenarios.

2. GS PB Performance:

- Equity Fundamental L/S Performance Estimate: Increased by +1.65% (6/20–6/26) compared to MSCI World TR’s +2.20%. This was driven by beta gains of +1.16% and alpha gains of +0.49%, primarily from long-side performance.

- Equity Systematic L/S Performance Estimate: Declined by -0.07% during the same period due to beta losses of -0.34%, partially offset by alpha gains of +0.27%.

3. Buybacks:

- Last week’s buyback volumes were 0.5x 2024 YTD ADTV and 0.6x 2023 YTD ADTV, with activity skewed towards Financials, Tech, and Health Care sectors.

Charts in Focus:

- Sentiment Indicator

- US Panic Index

- Risk Appetite Indicator

- SPX vs. Singles Skew

- Call Skew vs. Put Skew

- S&P Futures Liquidity

- Funding Spreads vs. S&P 500

CTA Corner – Detailed Flows:

Over the Next 1 Week:

- Flat Market: Buyers $8.44B ($1.80B into the US)

- Up Market: Buyers $7.89B ($1.18B into the US)

- Down Market: Sellers $18.46B ($2.49B out of the US)

Over the Next 1 Month:

- Flat Market: Buyers $82.23B ($22.44B into the US)

- Up Market: Buyers $87.20B ($20.98B into the US)

- Down Market: Sellers $125.22B ($40.47B out of the US)

Key SPX Pivot Levels:

- Short Term: 5918

- Medium Term: 5846

- Long Term: 5598