Goldman Sachs: Flows and positioning - Rubner

Seasonality Outlook
Seasonality is projected to have a positive influence on the upcoming sessions…

…even with a broader look

Exposure Trends
Total gross exposure in Goldman Sachs Prime Brokerage (GS PB) has reached record levels, marking the fastest two-week increase on record.

• GS PB's total gross exposure is now at a 5-year high.

• The increase in gross leverage over the two weeks from January 2 to January 16 is the largest on record for GS PB.

Cautionary Signals
Despite the rapid rise in exposure, some caution has been observed:

• A decrease in leverage among both professional investors and systematic strategies.

• Leverage levels have now stabilized after a significant reduction.

Market sentiment has normalized, returning to levels comparable to those observed after the first Trump election.

Liquidity Surge
Liquidity has strengthened significantly, increasing 4.5 times in less than a month:

• January 1: $3.50M

• Today: $15.70M
  

  This indicates a rapidly improving technical environment.

CTA Model Activity
CTA models have accumulated over $70 billion in global equities (43rd percentile) after purchasing $13 billion last week. Projections for the upcoming week based on market conditions:

• Stable market: +$34 billion in purchases (+$6.5 billion in SPX).

• Bull market: +$38 billion in purchases (+$6 billion in SPX).

• Bear market: +$4 billion in purchases (-$3 billion in SPX sales).

Technical Levels and Gamma Recovery
The market has rebounded above critical technical levels, providing strong support. Key pivot levels for the S&P 500:

• Short term: 5959

• Medium term: 5795

• Long term: 5314

The index gamma has shifted significantly:

• On January 15, the index gamma was short by -$700M.

• Today, dealers are estimated to be long $4.77B.

This reflects a substantial +$5B shift in index gamma.