从“逢低买入”到“逢高卖出”——高盛流量大师警告股市“供需不匹配”

从“逢低买入”到“逢高卖出”——高盛流量大师警告股市“供需不匹配”
From 'Buy The Dip' To 'Sell The Rip' - Goldman Flows Guru Warns Of "Supply/Demand Mismatch" In Stocks

原始链接: https://www.zerohedge.com/markets/buy-dip-sell-rip-goldman-flows-guru-warns-supplydemand-mismatch-stocks

高盛分析师斯科特·鲁宾纳（Scott Rubiner）观察到美国股市从“逢低买入”策略转向“逢高卖出”策略。他指出，由于 CTA 门槛的突破、地缘政治的干扰以及伽玛行动的解除，人们对非基本面卖家的担忧有所增加。 Rubiner identifies a supply and demand imbalance and offers three perspectives: 1. 投资者的收件箱中充斥着看跌电子邮件。 2. 由于市场不稳定，控股公司的盈利障碍更高。 3. 在“五月卖出然后走开”等预先计划的策略中，随着需求的减少，收益的临时上限。高盛的主要观察包括： 1、宏观产品特别是ES1流动性下降，重大风险难以转移。 2. 负指数 Gamma 作为机构买入保护抵消了波动性抛售。 3. 针对 SPX、IWM 和 QQQ 的三种使用淘汰看跌期权的交易建议，以利用这一趋势。在接下来的一周：平盘=净卖家45亿美元（净流出75亿美元）。上涨=净买家33亿美元（净流入27亿美元）。低迷=净卖家289亿美元（净流出144亿美元）。一个月的时间里：扁平胶带 = 净卖家 192 亿美元（净流出 144 亿美元，代表供应首次大幅激增）。上涨=净买家172亿美元（来自18亿美元的适度净流入）。低迷=净卖家2288亿美元（主要净流出785亿美元）。 CTA 股票去杠杆化，标准普尔 500 指数、纳斯达克综合指数和罗素 2000 指数自 11 月以来首次全部触及门槛水平。其他值得注意的因素包括加强波动性控制策略、增加方差冲击以及创历史新高

原文

The US equity market appears to have changed regime from "buy the dip" to "sell the rip" (and reduce delta), according to Goldman Sachs flow of funds guru Scott Rubner.

In a note this morning, he points out that he is receiving a lot of questions about so-called 'non-fundamental sellers' - a topic we have discussed extensively in the last couple of days as CTA thresholds are crossed and vol-strategy players get proper-f**ked by geopolitical upsets. and OpEx gamma unclenching.

Rubner says "there is a supply and demand mismatch right now" and has three views on where we stand:

View 1 - your inbox will soon be filled with bearish toned emails.
View 2 – the bar for earnings for highly owned companies just got a lot harder to beat given market volatility.
View 3 – we have seen a short term lid on the topside, as demand runs out of ammo into “sell in may and go away” which was already planned.

Here are 10 things that Goldman's flows guru is watching:

1. Challenged liquidity in macro products, as liquidity is a privilege.

At the start of the month, top book ES1 liquidity was $22M on the screens, and it is currently $8M, a drop in liquidity of -64%.

Anytime this number gets below $10M, liquidity becomes challenged when you are trying to move big risk.

Source: Goldman Sachs

2. Index Gamma is no longer max long from vol selling programs.

There has been a drop in long index gamma of $7B since the start of the month. Index Dealers are now long only $1B.

This is the lowest long position of 2024. New...

Source: Goldman Sachs

3. Institutional demand for protection, this has offset vol supply, this is new.

Source: Goldman Sachs

Trade Idea to take advantage of this dynamic.

1. SPX – BUY SPX December 95% put with an 82.5% Knock-out for 36bps. This is a 70% discount to the vanilla put spread. Cheapest line in the water.

2. IWM – BUY IWM December 95% put with an 82.5% Knock-out for 48bps. This is a 72% discount to the vanilla put spread. Lowest quality leads to the downside.

3. QQQ – BUY QQQ December 95% put with an 82.5% Knock-out for 38bps. This is a 77% discount to the vanilla put spread. Hedge what you got.

Max Loss: Premium paid for options purchased. Levels as of yesterdays close.

4. CTA Equity Deleveraging – CTAs are near max long.

We have S&P for sale in every one of our modelled scenarios, this is a Red Wave.

Source: Goldman Sachs

Over the next 1 week…

a. Flat tape: Sellers $4.5B ($7.5B out the US)

b. Up tape: Buyers $3.3B ($2.7B out the US)

c. Down tape: Sellers $28.9B ($14.4B out the US)

Over the next 1 month…

d. Flat tape: Sellers $19.2B ($14.4B out the US) – first large supply number.

e. Up tape: Buyers $17.2B ($1.8B into the US)

f. Down tape: Sellers $228.8B ($78.5B out the US)

Source: Goldman Sachs

5. CTA S/T threshold levels tripped in S&P, NDX, and Russell 2k for first since November.

Source: Goldman Sachs

6. Volatility Control Strategies (max long) and central book desk hedging “VAR” shocks.

Source: Goldman Sachs

VIX settled at 19.23, the highest close on the year, and now the largest 2 day move for the VIX (4.3 handles) since March of '23. October of '23 was the last time we saw VIX north of 19.

Source: Goldman Sachs

7. Risk Parity Exposure is at the highest level since late 2021. Equity and Fixed income correlation is too high.

Source: Goldman Sachs

The 1 year rolling correlation between equities and fixed income ranks in the 95th percentile since 2000, which becomes a tough proposition for the US 60/40 portfolio.

Source: Goldman Sachs

8. Funding Spreads are elevated.

Funding Spreads are coming up in conversations at GS. They are ticking at notably elevated levels given the increased demand for leverage on the long side.

Source: Goldman Sachs

9. HF Gross Exposure elevated

1-year rank 89th, 3-year rank 96th, 5-year rank 98% .... running long the good stuff.

Source: Goldman Sachs

10. Seasonals

Sell in May and Go-Away, the first two weeks of may represent the 4th worst two-week period of the year.

Source: Goldman Sachs

Professional subscribers can read Rubner's full note here...