恐慌指数爆表、对冲基金狂抛！高盛交易员警告：“美股不容乐观”

智通财经网03-29

标普500 已连续五周下跌，技术面全面破位。高盛交易员直言“数据并不乐观”，不过系统性卖盘近乎耗尽、月末养老金买盘涌现、CTA净空头规模创纪录等信号，也为潜在反弹积蓄动能。高盛资深交易员Cullen Morgan在周末报告中写道，“周五是近期记忆中最令人不适的交易日之一”。标普500指数创下1970年以来屈指可数的五连跌纪录，此轮下跌的持续性甚至超越了2020年新冠疫情冲击和2025年“解放日”...

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精彩评论

Mediator
03-30
Mediator
不过反弹的前提是中东局势有所缓和，一般还有3周左右跌幅空间
Mediator
03-30
Mediator
系统性卖盘近乎耗尽、月末养老金买盘涌现、CTA净空头规模创纪录等信号，也为潜在反弹积蓄动能。
Mediator
03-30
Mediator
Morgan坦言，高盛追踪的大多数图表尚未发出明确超卖信号，但部分指标已开始呈现投降迹象。
Mediator
03-30
Mediator
高盛美股综合情绪指标本周跌至-0.9，反映市场整体股票敞口大幅缩减。历史数据显示，情绪指标低于-1时，股票后续收益率往往高于平均水平，而信号在指标进一步跌破-1.5时更为可靠。
请输入昵称已阅读
03-29
请输入昵称已阅读
比2020年差远了吧，

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Morgan指出，标普500指数周线五连跌在1970年以来“屈指可数”，最近一次发生在2022年衰退恐慌期间。值得注意的是，2020年新冠疫情崩盘及近期“解放日”抛售均未延续至第五周——本轮跌势在持续时间上已进入历史罕见区间。高盛对上述历史案例进行了前瞻收益率测算，结论“并不令人鼓舞”。Morgan坦言，高盛追踪的大多数图表尚未发出明确超卖信号，但部分指标已开始呈现投降迹象。恐慌情绪高企多项高盛内部指标显示，市场恐慌程度已处于历史极值：对冲基金持续净卖出：高盛主经纪商周报显示，对冲基金已连续六周净卖出美国股票，近期净抛售规模位列过去十年第三大，主要源于个股的多空双向减仓，同时宏观产品的空头仓位也有所贡献。净杠杆率创近一年最大降幅：美国基本面多空净杠杆率本周下降3.1个百分点，创下自2025年4月初“解放日”当周以来的最大单周降幅。恐慌指数创15年纪录：高盛美股波动恐慌指数达9.2分（满分10分），已连续17个交易日处于恐慌区间，为近15年最长连续恐慌纪录之一。情绪指标逼近历史买点：高盛美股综合情绪指标本周跌至-0.9，反映市场整体股票敞口大幅缩减。历史数据显示，情绪指标低于-1时，股票后续收益率往往高于平均水平，而信号在指标进一步跌破-1.5时更为可靠。空头压力近极值从技术面看，当前做空压力已接近历史极值。Gamma空头达到峰值：上周创纪录的逾5万亿美元三重到期日期权到期后，做市商Gamma仓位断崖式下跌。截至周五收盘，做市商净空Gamma超过70亿美元，为史上第二低值，意味着市场双向均可能出现加速行情。CTA接近多头反转临界点：据高盛估算，过去30个交易日内，系统性策略投资者已累计卖出约850亿美元美国股票，接近历史纪录。目前CTA净空头规模约达370亿美元。摩根报告对此表示，“上行方向存在不对称性——未来一个月内，我们预计CTA在任何情景下均为买入方”，意味着任何正面消息均可能触发空头回补浪潮。纳斯达克信号：纳斯达克100指数中，目前仅不到15%的成分股位于50日均线上方。这一比例历史上曾多次预示短期反弹行情的出现。一个值得关注的结构性特征是，尽管市场体感极度剧烈，收盘价间的已实现波动率仍低于15。然而，标普500一个月隐含波动率已跳升至26，两者价差“为我们有史以来见过的最宽之一”——这一背离表明，期权保护需求远超实际价格波动所呈现的程度。在持续下跌的背景下，报告梳理了数个可能改变市场走向的结构性催化剂：月末养老金再平衡：高盛模型预计，美国养老金将在月末买入约190亿美元美国股票，处于历史第89百分位。季节性规律：自1950年以来，4月标普500平均涨幅为1.35%，在历史上属于季节性较强的月份。期权市场定价：尽管本周因复活节假期缩短，期权市场对标普500的隐含单周波动仍超过3.4%，为过去五年最大单周隐含波动之一。整体来看，空头压力近极值等反弹动能正在积聚，不过反弹的前提是中东局势有所缓和，目前美股的整体前景仍然不明朗。","kind":"highlight","is_publish_news":true,"is_publish_highlight":true,"is_publish_live":false,"is_publish_wemedia":false,"editions":null,"column":"","sentiment":"0","news_tag":"","news_rank":0,"isVideo":false,"video":null,"symbols":[],"gpt_button":0,"need_auth":false,"need_login_tip":false,"code":"91000000","status":"200"},"commentList":[{"id":548048764831320,"gmtCreate":1774824458173,"gmtModify":1774824460598,"author":{"id":"3498680662745699","authorId":"3498680662745699","name":"Mediator","avatar":"https://static.tigerbbs.com/e27d4b46eee1454d2bd4f83bb56ab921","vip":1,"crmLevel":1,"crmLevelSwitch":1,"wearingBadges":[],"authorIdStr":"3498680662745699","idStr":"3498680662745699"},"htmlText":"不过反弹的前提是中东局势有所缓和，一般还有3周左右跌幅空间","listText":"不过反弹的前提是中东局势有所缓和，一般还有3周左右跌幅空间","text":"不过反弹的前提是中东局势有所缓和，一般还有3周左右跌幅空间","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/548048764831320","repostId":2623328853,"repostType":2,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":548085993005680,"gmtCreate":1774823996642,"gmtModify":1774823999114,"author":{"id":"3498680662745699","authorId":"3498680662745699","name":"Mediator","avatar":"https://static.tigerbbs.com/e27d4b46eee1454d2bd4f83bb56ab921","vip":1,"crmLevel":1,"crmLevelSwitch":1,"wearingBadges":[],"authorIdStr":"3498680662745699","idStr":"3498680662745699"},"htmlText":"系统性卖盘近乎耗尽、月末养老金买盘涌现、CTA净空头规模创纪录等信号，也为潜在反弹积蓄动能。","listText":"系统性卖盘近乎耗尽、月末养老金买盘涌现、CTA净空头规模创纪录等信号，也为潜在反弹积蓄动能。","text":"系统性卖盘近乎耗尽、月末养老金买盘涌现、CTA净空头规模创纪录等信号，也为潜在反弹积蓄动能。","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/548085993005680","repostId":2623328853,"repostType":2,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":548046681130432,"gmtCreate":1774823947843,"gmtModify":1774823950789,"author":{"id":"3498680662745699","authorId":"3498680662745699","name":"Mediator","avatar":"https://static.tigerbbs.com/e27d4b46eee1454d2bd4f83bb56ab921","vip":1,"crmLevel":1,"crmLevelSwitch":1,"wearingBadges":[],"authorIdStr":"3498680662745699","idStr":"3498680662745699"},"htmlText":"Morgan坦言，高盛追踪的大多数图表尚未发出明确超卖信号，但部分指标已开始呈现投降迹象。","listText":"Morgan坦言，高盛追踪的大多数图表尚未发出明确超卖信号，但部分指标已开始呈现投降迹象。","text":"Morgan坦言，高盛追踪的大多数图表尚未发出明确超卖信号，但部分指标已开始呈现投降迹象。","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/548046681130432","repostId":2623328853,"repostType":2,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":548046239335792,"gmtCreate":1774823838700,"gmtModify":1774823841927,"author":{"id":"3498680662745699","authorId":"3498680662745699","name":"Mediator","avatar":"https://static.tigerbbs.com/e27d4b46eee1454d2bd4f83bb56ab921","vip":1,"crmLevel":1,"crmLevelSwitch":1,"wearingBadges":[],"authorIdStr":"3498680662745699","idStr":"3498680662745699"},"htmlText":"高盛美股综合情绪指标本周跌至-0.9，反映市场整体股票敞口大幅缩减。历史数据显示，情绪指标低于-1时，股票后续收益率往往高于平均水平，而信号在指标进一步跌破-1.5时更为可靠。","listText":"高盛美股综合情绪指标本周跌至-0.9，反映市场整体股票敞口大幅缩减。历史数据显示，情绪指标低于-1时，股票后续收益率往往高于平均水平，而信号在指标进一步跌破-1.5时更为可靠。","text":"高盛美股综合情绪指标本周跌至-0.9，反映市场整体股票敞口大幅缩减。历史数据显示，情绪指标低于-1时，股票后续收益率往往高于平均水平，而信号在指标进一步跌破-1.5时更为可靠。","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/548046239335792","repostId":2623328853,"repostType":2,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":547778962494000,"gmtCreate":1774758677467,"gmtModify":17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