Still Stuck — But The Market Just Became Very Fragile
Still stuck
SPX remains stuck inside the range that has been in place since last autumn. Impressive given the many narratives and developments since then. The index is currently trading in the middle of the range, leaving very little edge trading it here according to us.
Source: LSEG Workspace
Vol shock still in place
The VIX stress needs more time to work through the system. Chart shows SPX vs. VIX (inverted).
Source: LSEG Workspace
Many are long
Positioning not light
Non-dealers are running rather large US equity futures longs.
Source: GS
The systematic long
The systematic long is rather large.
Source: GS
CTA sellers
CTAs screen as sellers of equities across all scenarios over the next week and month according to GS. Estimated selling over the coming week is among the largest they have seen. Key SPX levels to watch: Short term 6894 // Medium term 6763 // Long term 6364.
Source: GS/TME
Source: GS
But many are fearful
Risk appetite evaporating
Imagine the squeeze should markets stabilize and move higher. Risk appetite has crashed...
Source: GS
Options skew crash
Call skew in full crash mode, while put skew is pushing the upper part of the chart. Nobody "scared" of the right tail.
Source: GS
Short gamma
Dealers have entered short gamma land. All moves will be exaggerated as dealers now sell low, buy high.
Source: GS
Fragile liquidity
Add poor liquidity to these fragile market technicals and moves can become exaggerated, both ways.
