Here Are All The Key Liquidity, CTA, Prime Brokerage And Buyback Levels And Positioning

While one may disagree with his overarching view, Goldman trader Bobby Molavi (see "This Is A Rally People Don't Believe In, But Have Finally Given Up Fighting Against") was right about one thing: this has become a market "where investment horizons have seemingly shrunk and positioning and liquidity are more important than they should be and fundamentals" no longer matter.

And in a world where only positioning, technicals, and liquidity - but mostly short squeezes - are the biggest driving forces behind prices, here are the most important market levels, according to Cullen Morgan of Goldman's Sales and Trading desk:

• 1. CTA Corner: US equity non-dealer net length increased for 5 straight weeks before the July 4th holiday, with the biggest change coming during expiration (as expected and is common) and the other weeks featuring buying also. The resultant length stands at $83bn long vs. ~$25bn short throughout much of May, a 1-yr high and 54-72% historical rank
• 2. GS PB: The GS Equity Fundamental L/S Performance Estimate fell -0.41% between 6/30 and 7/6 (vs MSCI World TR -0.30%), driven by beta losses of -0.36% (from market exposure and market sensisitivity combined) and to a lesser extent negative alpha of -0.05%.
• 3. Buybacks: We estimate ~96% of the S&P 500 are currently in their blackout period with ~98% estimated to be in blackout by the end of the week. We estimate blackout to end ~7/28 (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.