Goldman Sachs: Return from vacation

We estimate that on Christmas Eve, dealers were long +$12.3 billion in index gamma, acting as a market dampener.

We estimate that by December 30, dealers moved to a short position of -$300 million in index gamma, acting as a market-driven bull.

This $12B shift in gamma for every ~1% move is the second largest 4-day shift in our dataset, with August 5 being the only larger instance.

Households own 39% of cash equities in the $92 trillion U.S. equity market, plus a large share of active mutual funds (18%) and passive ETFs (9%).

Some tax-related sales may have been made in the final days of 2024 to offset gains.

Asset managers ( PWMs ) are making the calls today, after returning from vacation: “What should we buy?”

January is the month with the highest inflows of the year.

Furthermore, factors tend to typically swing toward laggards at the start of the new year.