GS on the expiry tomorrow
S&P option expiry: We estimate that over $5.9 trillion of notional options exposure will expire tomorrow (06/20), including $4.0 trillion of SPX options and $925 billion notional of single stock options. This options expiration will be the largest June expiration on record
Quarter-end estimates: We have pensions modeled to sell -$20bn of US equities (90th %tile among all buy and sell estimates in absolute dollar value terms over the past three years and the 7th %tile on the net basis). Our model puts more weight on the quarterly dynamics (vs. just monthly), and perhaps is overstating some of the estimated flows. Additionally, we expect approximately $10bn delta to buy on quarter-end as long as we’re trading above 5905 in SPX on the last day of the month, which will act as an offset to a lot of the pension selling.
Systematics: now long $126bn US equities but CTAs have shifted to small sellers over the next 1w as we project -$310mm to sell in a flat tape scenario. In an up tape, there is still some demand to buy with $790mm over 1w and $7.59bn over 1m – led by Russell ($3.46bn) and S&P ($3.41bn) demand. Overall positioning has remained largely unchanged, but we expect to see funds continue to re-lever when/if SPX 3m realized volatility comes in.