All The Key Positioning, HF Exposure And Market Levels Ahead Of The Fed Decision

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by Tyler Durden
Tuesday, Sep 19, 2023 - 01:10 PM

With some worried that this week's FOMC meeting will be a hawkish shock, and all hell could break loose when Powell opens his mouth on Wednesday, while others expect the least eventful Fed announcement in a long time, Goldman trader Cullen Morgan recaps the key market levels and positioning traders should be aware of.

  1. CTA Corner: Goldman has CTAs modeled long $46.6BN of global equities (58th %tile). 

  2. GS PB: The GS Equity Fundamental L/S Performance Estimate2 rose +0.38% between 9/8 and 9/14 (vs MSCI World TR +1.23%), driven by beta of +0.39% (from market exposure), as alpha finished relatively flat on the week (link)

  3. Buybacks: Volumes declined last week with companies starting to enter their blackout window ahead of the next earnings season – volumes finished the week 0.8x vs 2023 YTD ADTV and 0.6x vs 2022 YTD ADTV skewed toward Tech, Communication Services, and Consumer Discretionary. We are now officially in the estimated blackout window (est. to end 10/20/23) (link)

  4. Charts in Focus: Sentiment Indicator, SPX vs. Singles Skew, Call Skew vs. Put Skew, S&P Futures Liquidity, Funding Spreads vs. S&P 500.

CTA Corner