Over the weekend, we summarized the key factors affecting trading in the last week of the month, quarter and first half as follows: liquidity, buyback blackout, dealer gamma positioning… oh and pension fund period-end rebalancing, or in this case outright selling. The question is how much selling?
First, the big picture: one look at the vast outperformance of equities over fixed income in June and Q2….
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https://www.zerohedge.com/markets/one-top-20-our-data-set-banks-warn-massive-month-end-pension-rebalance-selling-week
