Record Liquidations: Institutions Just Sold The Most S&P Futures Ever

One day after Goldman's ETF desk was dismayed by the unprecedented pace and level of shorting across the product, noting that Thursday saw US-listed ETF shorts on the Goldman Prime book increase by +10%, the 2nd largest 1-day increase on Goldman's record and second only to the +16% increase seen on April 2, 2025 aka Liberation Day, ...

... which lifted short exposure in Macro Products (Index + ETF combined) to the highest level since Sep 2022 (potentially priming the market for an explosive short squeeze according to Goldman head of US trading John Flood)...

On Saturday, Goldman's futures desk chimes in with a stunning observation of its own: in early March, Asset Manager (a CFTC category which include virtually all institutional investors, and not to be confused with speculators which the CFTC defines as leveraged funds) S&P 500 futures length collapsed.

Specifically, during March 3rd - 10th, Asset Managers sold $36.2bn per Commitment of Traders, marking a 10+ year record in notional terms.

According to Goldman's Robert Quinn, "the ongoing Iran War and coincident oil price spike catalyzed the swift shift." 

Meanwhile, remaining Non-Dealer activity was mixed.

Subsequently, leveraged sentiment seemingly withstood more commodity market jitters.

Historic moves aside, Goldman urges clients to be wary for a potential continuation: after accounting for the significant bearish flows, Asset Manager net positioning still resided at a 71% rank dating back 2 years. That said, amid the unprecedented derisking (if not degrossing thanks to the surge in ETF shorts) coupled with the plunge in sentiment, which is tied tick for tick with S&P futures positioning among institutions, it wouldn't take much to spark a furious short squeeze as well as a perfect storm scramble by the same "weak hands" that just dumped all risk. 

More in the Goldman note available to pro subs.