GS Tactical Flow-of-Funds
Thanks to a subscriber for this note from Goldman Sachs which may be of interest. Here is a section:
1. OpEx - March (3/17) Option Expiry: $2.8 Trillion Notional to un-clench GAMMA (also quarter-end gamma). This is a big number. This removes the 4k pinner, that has kept a lid on big moves. Either way. We are going to move next week.
2. Peak open corporate repurchase window. The corporate buyback blackout window begins on 3/16, where 40% of US corporates will be in the blackout window. This window ends of 4/28. Reminder corporate authorizations have been an all-time high YTD. There will be a decline in vwap purchases during the closed window. We expect executions to drop by ~30% during the closed window.
This is one of the better fund flow reports I have seen. Share buybacks have been among the biggest sources of new demand for stocks over the last year and have been a fundamental support for prices over the last decade.
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