SP500 e-mini futures, Targeting A Test of 4128
Technical & Trade View
SP500 e-mini futures, continuous front month contract
Trade View
Bias: Bullish Above Bearish below 3857/46
Technicals
Primary support is 3857/46, watch for bullish reversal patterns here
Primary upside objective 4128
Next pattern confirmation, acceptance above 4000
Failure below 3846 opens 3750
20 Day VWAP bullish, 5 Day VWAP bearish
Institutional Insights
Analysts at Goldman Sachs note ‘ As of the close on Thursday, November 17th, the desk’s theoretical, model-based assumption estimates a net$1 billion of US equities to buy from US pensions given the moves in equities and bonds over the month.How does this stack up vs history?This ranks in the 6th percentile amongst all buy and sell estimates in absolute dollar value over the past three years and in the 4th percentile going back to Jan 2000.This ranks in the 69th percentile amongst all estimates on a net basis(-70bn to +150bn scale) over the past three years and in the 62nd percentile going back to Jan 2000.Monthly portfolio performance:US equity underperformed fixed-income by-0.32% in the month of November:S&P total-return +2.07%,10yr total-return +2.39%’
‘S&P Gamma: Goldman Sachs Futures Strats model dealers long +1.9bn gamma around current spot heading into options expiry, with gamma peaking at >
4BN in a +3% spot move. This is the longest gamma positioning the desk has seen in our model since August of this year.Post This morning's expiry, the desk estimates dealer gamma positioning will be greatly reduced and even more so following 4pm expiry’
SP500 e-mini futures, continuous front month contract
Trade View
Bias: Bullish Above Bearish below 3857/46
Technicals
Primary support is 3857/46, watch for bullish reversal patterns here
Primary upside objective 4128
Next pattern confirmation, acceptance above 4000
Failure below 3846 opens 3750
20 Day VWAP bullish, 5 Day VWAP bearish
Institutional Insights
Analysts at Goldman Sachs note ‘ As of the close on Thursday, November 17th, the desk’s theoretical, model-based assumption estimates a net$1 billion of US equities to buy from US pensions given the moves in equities and bonds over the month.How does this stack up vs history?This ranks in the 6th percentile amongst all buy and sell estimates in absolute dollar value over the past three years and in the 4th percentile going back to Jan 2000.This ranks in the 69th percentile amongst all estimates on a net basis(-70bn to +150bn scale) over the past three years and in the 62nd percentile going back to Jan 2000.Monthly portfolio performance:US equity underperformed fixed-income by-0.32% in the month of November:S&P total-return +2.07%,10yr total-return +2.39%’
‘S&P Gamma: Goldman Sachs Futures Strats model dealers long +1.9bn gamma around current spot heading into options expiry, with gamma peaking at >
4BN in a +3% spot move. This is the longest gamma positioning the desk has seen in our model since August of this year.Post This morning's expiry, the desk estimates dealer gamma positioning will be greatly reduced and even more so following 4pm expiry’
This analysis is provided as general market commentary and does not constitute investment advice. Past performance is not indicative of future results
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