Goldman Sachs on NQ - FJElite

Despite a slight reversal in flows, Commitment of Traders displayed elevated Non-Dealer Nasdaq futures length through September 8th. During September 1st - 8th, Non-Dealers net sold -$7.1bn, halting a 4 week stretch of buying which totaled +$51.3bn. Hedge Fund dominated, selling -$10.5bn in total. Asset Manager (+$2.2bn), Other (+$870mm), and Non-Reportable (+$350mm) provided offsets. Resultant net positioning resided at an 82% 2-year rank.

Since then, the index declined with a large rotation in AI winners vs losers. From September 8th - 14th, Nasdaq lost -1.3%. GS's AI vs AI At Risk basket plunged -10.9% with most of the drop occurring on September 14th post AI bellwethers' joint call for restraint.

Given the violent shift, one might assume Nasdaq bulls remain at risk. However recently, the largest cohort endured similar price action. Over the past 3 months, the correlation between weekly changes in Asset Manager gross longs and the AI vs AI At Risk pair moved deep into negative territory. Admittedly, the relationship using a longer time series was quite volatile. That said, Asset Manager gross longs have increased alongside questions to AI profitability.

And broader positioning indicators appeared mixed. Nasdaq 3 month swap funding richened in absolute and relative terms. But calendar spread mispricing cheapened. Furthermore, normalized 25 delta put-call skew rose. Therefore whether Asset Manager, and remaining Non-Dealer participants, sold is debatable.