Goldman Sachs warns CTAs will be sellers in all scenarios next week

Goldman Sachs is sounding an alarm that should make equity traders uncomfortable: the giant pool of systematic, trend-following money known as Commodity Trading Advisors is set to sell in every conceivable market scenario over the coming week. Up market, down market, flat market. Doesn’t matter. The machines are selling. The numbers behind the selling pressure The projected scale of CTA selling is not trivial. Goldman’s models estimate weekly mechanical selling pressure ranging from $6B on the low end to $33B on the high end, depending on how markets behave. If key support levels on the S&P 500, around the 6,707 area, get breached, that selling could snowball into more than $80B of unwinds over a month. CTAs currently hold roughly $106B in global equities, with somewhere between $34B and $47B concentrated in US stocks. Their positioning has been sitting in the high 90th percentile historically, meaning they’re about as long as they ever get. Meanwhile, Goldman’s proprietary Panic Index has surged to 9.22, a reading the firm associates with “max fear” territory. The Panic Index measures options market sentiment and hedging demand, and a reading that elevated suggests institution...