CTAs Are Max Short Treasuries, As Goldman Warns Of Overshoot Risk

The face-ripping rally seen across global stock markets (which however is fading amid reports of multiple ceasefire violations) was largely a function of the positioning asymmetry which, as noted yesterday, was skewed to upside. As Goldman trader Shawn Tuteja wrote yesterday, the options market / implied correlation skew is certainly pricing very low correlation on the call wing – suggesting the options market matches consensus on a ceiling to broad-based index, and that the "right-tail" risk in the S&P was underpriced, as we see today.