高盛交易台：美国股票——⽉末观察

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The current market has approximately $15 billion of gamma, with a high concentration on strikes slightly below the current market level, indicating a potential shift post month-end due to rolling of large quarterly positions and re-striking of overwriting products [1][2] - The upcoming options expiration on June 20 is projected to be the largest June expiration on record, with over $5.9 trillion of notional options exposure, including $4.0 trillion of SPX options and $925 billion of single stock options [4][10] - The liquidity in the S&P E-mini market is moderate, with a top-of-book depth of $7.1 million, slightly below the year-to-date average [7] - Pension funds are expected to sell approximately $20 billion of US equities at quarter-end, but this may be offset by an estimated $10 billion of buying if the SPX trades above 5905 on the last day of the month [9][10] - A significant number of companies (approximately 40%) are currently in a blackout period for buybacks, which is expected to end around July 25 [12] - Systematic strategies currently hold $126 billion in US equities, with a projected small sell-off of $310 million in a flat market scenario, but potential buying demand of $790 million over the next week [14][15] - Historically, the second half of June has shown positive returns for the S&P, averaging 45 basis points from June 17 to July 1 [17] - The AI-led rally has resulted in a divergence in stock performance, with AI winners reaching new highs while companies perceived to be at risk from AI have declined [19] - There is increased demand for tail options, particularly in the QQQ market, indicating a preference for hedging strategies amid market volatility [21][22] - The vega of the VIX ETN has increased significantly, with the UVIX ETF's assets under management growing more than fivefold in recent months, highlighting the product's role in the VIX futures market [27][28]