Goldman Report: S&P Futures Surge Near Record Levels
As reported by the Goldman Sales and Trading Strategies desk, the total value of open positions in S&P futures approached a near-record high of approximately $700 billion before last Friday's expiration.
However, it dropped to $530 billion on the following Monday after the significant triple-witching expiry. This drop in open interest is a typical occurrence during such events, although it was one of the larger changes observed. Goldman also notes that certain trading communities, such as CTA/trend followers and risk-parity style strategies, maintain substantial long positions.
Conversely, banks/dealers, hedge funds engaged in equity long/short strategies, and basis-arbitrage traders are likely to hold net short positions in futures. Despite some adjustments in positions following the expiration, there's still a prevailing long sentiment driven by various factors such as positive price trends, low volatility, and the macroeconomic environment.
The CTA community, specifically, is modeled to hold significant long positions in global equities, with minimal expected fluctuations in flows over the coming weeks. Analysis of CTA flows suggests that there's little concern about a sudden liquidation, as the crucial pivot level for them to switch from buying to selling is considerably below current market levels.
Key pivot levels for the S&P index are provided, along with projections for CTA flows over the next week and month, indicating relatively stable buying behavior overall.
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