Buyback Blackout Period Is Over: We Are About To Get $11BN In VWAP Buying Every Day

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by Tyler Durden
Monday, Jul 25, 2022 - 12:44 PM

First the bad news: as we noted yesterday, whereas Goldman's sales desk was looking for whale "long only" follow thru buying on Friday after a barrage of dismal earnings reports, they did not get this, and instead sentiment deflated aggressively alongside the slump in futures. There is, however, good news: as Goldman trader John Flood noted, there are two key factors that can change the risk dynamic next week: the return of buybacks, and acceleration of buying from CTAs. 

  • Corporates have been the most consistent buyer of the US stock market this year. $1.3T in authorizations for this year ($1.1T of which we think will be executed...the most ever). That being said our buyback desk has been relatively quiet the last 2 weeks as corps firmly in blackout period. Our model shows blackout period ending post close today. AKA expect corp bid to return to the mkt next week.
  • CTAs: have $5b of S&P to buy per week at these levels. North of 4070 (long term momentum) this demand essentially doubles.

And then there is, of course, sentiment which remains - literally - the worst on record, with aggregate US futures positioning the lowest on record...