CTAs (Commodity Trading Advisors) have accumulated long positions in stocks in recent weeks amid the sharp rally in risk assets.
However, analysts at Goldman Sachs warned that models are likely to sell S&P 500 in “every scenario over the next week.”
Analysts at the investment bank have modeled CTAs as long on approximately $106 billion of global equities and $47 billion of US stocks.
If equities experience an upward move, CTAs are poised to buy $20 billion of stocks and sell $1.3 billion of S&P 500 futures. Conversely, in a downward market movement, they would need to sell $5 billion of stocks and $1.9 billion of S&P 500 futures.
Even in a flat market, CTAs are projected to buy $18 billion of global stocks but would sell $436 million worth of S&P 500 futures.
Goldman’s report also highlights that corporates have entered the first week of an estimated buyback blackout period, which is expected to last through January 19.
“We currently estimate ~15% of the S&P 500 are in blackout window with ~30% in blackout by the end of the week. In terms of desk volumes, this past week finished 0.8x vs 2023 YTD ADTV and 0.6x vs 2022 YTD ADTV. On the authorization front, 2023 YTD authorizations stand at $998B, the third most active year YTD,” it is said in a note.
Analysts also highlighted the key pivot levels for the S&P 500: Short-term 4471, mid-term 4407, and long-term 4377.