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Last week, when previewing Friday’s massive, $1.8 trillion quad witching Op-Ex, which culminated a material swing lower in stocks if without any major fireworks, we also observed that according to Goldman, as of last Tuesday’s close, there was a net $76bn of equities to sell as pension funds rebalance for quarter end; this would be the third largest estimate on record, only behind Mar 2020 and Dec 2018, both of which happened to be extremely volatile periods.
In retrospect, Goldman may have been conservative because when adding all the other possible sources of month- and quarter-end forced rebalancing, the total amount “for sale” soars to an unprecedented $170 billion according to calculations by JPMorgan.
In the latest Flows and Liquidity report from JPM’s Nikolas Panagirtzoglou, writes that after correctly pointing out at the market lows on March 23 that there is a massive $1.1 trillion in rebalancing flow into equities, all of that has since been balanced out and three months later, we are looking at a substantial outflow of about $170BN before month end, resulting in a “small correction.”
To reach his ominous conclusion, Panagirtzoglou looks at the five main entities that have either fixed allocation targets or tend