Institutional Insights: Goldman Sachs SP500 Key Levels & Positioning 9/12/25
CTA Down Tape Outflows: $153.5B in 1-month down tape (compared to $2.88B in 1-week) indicates a significant exit from the US market; SPX faces critical support at 6754, with a break below 6512 signaling a high risk of volatility.
SPX Technicals & CTA Divergence: Immediate support for SPX is at 6754, with medium-term support at 6512; there’s a divergence in CTA strategies marked by sharp declines in GS CTA estimates for December 2025 and a 4.25% spike in 1-month volatility, reflecting increased market stress and poor trend-following performance.
Gamma Volatility Risk: The highest gamma (6.5k $mm) occurs with a 1% SPX spot move; negative gamma below -5% spot moves complicates and raises the cost of hedging during volatile periods, necessitating dynamic adjustments.
Prime Brokerage Leverage & Flows: Gross leverage increased by 1.5 points to 286.6% (73rd percentile), while net leverage rose by 0.4 points to 81.2% (99th percentile); the Materials sector has reported its first net sell in 11 weeks (L/S ratio 1.9), indicating a sector rotation and heightened long positioning.
Systematic Macro Exposure: Systematic macro strategies maintain approximately $500 billion in global equity exposure (an increase since 2020); US equity systematic positioning (including CTAs, Risk Parity, and Volatility Control) displays a consistent upward trend since 2020, which requires monitoring for overextension risks.
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Patrick has been involved in the financial markets for well over a decade as a self-educated professional trader and money manager. Flitting between the roles of market commentator, analyst and mentor, Patrick has improved the technical skills and psychological stance of literally hundreds of traders – coaching them to become savvy market operators!