Positioning pain continued today as momentum sharply lower and crude higher (WTI at $105) created a challenging environment for traders. According to GSPRHIMO, the move was one of the worst 1-day moves in nearly 5 years, with the 3-day move approaching -15% (the second-worst since Covid). Memory remained at the epicenter of the long momentum trade, while software (+1%) outperformed semis (-3%). Banks, including Goldman Sachs, were also seen defending security software this morning after an Anthropic-driven sell-off on Friday.

In terms of overall activity levels, our floor finished at a 3 on a 1-10 scale, with single stock activity remaining muted and ETFs continuing to average over 30% of the overall tape. Asset managers were net sellers, led by supply across financials, macro products, and TMT, while HF flows were more balanced with some demand in staples.

There is a favorable set-up for US equities, with US pensions modeled to buy $28 billion of US equities into the end of the week (89th percentile amongst all buy and sell estimates in absolute dollar value over the past three years). Additionally, CTA’s sold -$85 billion of US equities over the past 30 sessions, but are now short $37 billion (buyer in every scenario over the next month).

On the vol desk, it was a quiet day with muted index flows at the sector level. However, there was significant flattening of S&P 1m put-call skew following Friday’s session. Additionally, there were sharp two-day compression episodes over the past two days, continuing today.