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S&P 500 futures have o/p 10Y UST futures by c.9% - which we’ve only seen at this point in the month 6 other times since 2000 (and never since Dec 2010). In those 6 instances, Equities underperformed Treasuries over the 5 trading days into month end. Heading into Nov month end, QDS’ Pension Rebalancing Model suggests c.$50bn of global equity outflows.
Remember that GSestimates $36bn- the 4th largest monthly sell estimate on record going back to 2000 and ranks in the 96th percentile amongst all buy and sell estimates in absolute $ value.
And lastly,JPMfrom Thursday: "We see some vulnerability in equity markets in the near term.from balanced mutual funds, a $7tr universe, having to sell around $160bn of equities globally to revert to their target 60:40 allocation either by the end of November or by the end of December at the latest"
Chart: maybe rally on halt as S&P once again is back in the "box".