Goldman Sachs on US Equities - FJElite

Alongside other trades, March was a very bad month for equity dispersion (long single-stock volatility vs. short index vol), particularly in gamma-neutral formats - our GS strategy estimates it was the third- worst month on record.

In our view, this looked much more like another positioning unwind in volatility rather than a true stress shock, putting it closer to other drawdown episodes like Sep ’11, Feb ’18, and Nov ’23. That makes March very different vs. other major risk-off periods such as Oct ’08 (+26%), Mar ’20 (+67%), and even Apr ’25 (+13.8%), where this dispersion performed well.

Perhaps that’s both comforting and concerning at the same time... i) the equity vol market saw what other gauges of positioning have recently shown: unwinds; ii) but, it also suggests we have not seen a true capitulatory event (widespread panic) that could be looming if the Iran conflict exacerbates.