Goldman: 'Our model suggests that at current market levels CTAs will buy $34b of S&P 500 over the next week'.

The analyst comments "CTAs are currently short $30b S&P 500. Our model suggests that at current market levels CTAs will buy $34b of S&P 500 over the next week (closing out shorts and flipping long). After yesterday’s move higher in the S&P 500, all 3 CTA momentum thresholds are in positive territory: short term (>6713), medium term (>6734) and long term (>6400). Yesterday’s S&P 500 MOC imbalance was +$3.8b to buy. I am watching for this trend to continue over the next week."