原文标题：Short interest on the two biggest U.S. equity ETFs have fallen to
record lows - JPMorgan
美国两支最大 ETF 空头仓位已降至历史最低点 - 摩根大通
原文连结：https://tinyurl.com/4ytsw22s
发布时间：2024/06/22 02:12:23
记者署名：By: Anuron Mitra, SA News Editor
原文内容：(中文翻译在下方)
JPMorgan's global markets strategy team noted that the short interest on the
SPDR S&P 500 ETF Trust (NYSEARCA:SPY) and the Invesco QQQ Trust ETF
(NASDAQ:QQQ) has fallen to record lows, but cautioned that a reversal in that
decline could impact U.S. stocks.
The SPY tracks Wall Street's benchmark S&P 500 (SP500) index, while the QQQ
tracks the tech-focused Nasdaq 100 (NDX). Both exchange-traded funds (ETFs)
are hugely popular with investors, with the former being the oldest in the
U.S. and the latter launching in 1999.
According to JPMorgan, a decline in the short interest on these two biggest
equity ETFs since Q2 2023 has been a key support for the U.S. stock market.
See below a chart highlighting the short interest information since 2018:
As per data provided to Seeking Alpha by S3 Partners, the short interest as a
percentage of float on the QQQ was 16.61% in 2018. That slipped to 13.22% for
2023. Meanwhile, the short interest as a percentage of float on the SPY was
17.67% in 2018. That retreated to 14.35% in 2023.
As a comparison, in that same time period from 2018 to 2023, the QQQ has
soared 163.05% and the SPY has jumped 78.11%.
"With SPY and QQQ representing major vehicles by investors for placing
positions on U.S. equities at the index level, their declining short interest
has provided a steady flow support to U.S. equity indices as short positions
were gradually covered," JPMorgan's Nikolaos Panigirtzoglou said in a
research note on Thursday.
"In other words, the declining short interest over the past year in these two
major ETFs has become the equivalent of an implicit short vol trade. And
given how low their short interest is at the moment, this implicit short vol
trade looks rather extended by historical standards, posing a vulnerability
to U.S. equities in a scenario where negative news start reversing the past
year’s decline in short interest," Panigirtzoglou added.
The analyst and his global market strategy team estimates quarter-end
rebalancing flow of around $50B out of equities.
摩根大通的全球市场策略团队指出，SPDR S&P 500 ETF Trust (NYSEARCA: SPY) 和
Invesco QQQ Trust ETF (NASDAQ: QQQ) 的空头仓位已降至历史最低点，警告说，若这
一趋势逆转可能会影响美国股票市场。
SPY 追踪的是华尔街的标普500指数 (SP500)，而 QQQ 追踪的是以科技股为主的纳斯达克
100指数 (NDX)。这两支交易所交易基金 (ETF) 都非常受投资者欢迎，前者是美国最早的
ETF，而后者则于1999年推出。
根据摩根大通的说法，自2023年第二季度以来，这两支最大股票ETF的空头仓位下降，是
美国股票市场的重要支撑。请参见下方图表，显示自2018年以来的空头仓位资讯：
https://i.imgur.com/S9LNc0r.png
根据 S3 Partners 提供给 Seeking Alpha 的数据，QQQ 的流通股空头仓位百分比在2018
年为16.61%。到2023年已降至13.22%。同时，SPY 的流通股空头仓位百分比在2018年为
17.67%。到2023年已退至14.35%。
相比之下，在2018年至2023年同一时期内，QQQ 飙升了163.05%，而 SPY 上涨了78.11%。
“由于 SPY 和 QQQ 是投资者在美股指数层面上对美国股市进行仓位操作的主要工具，它
们的空头仓位下降为美国股指提供了稳定的流动性支撑，因为空头仓位逐渐被回补，”摩
根大通的 Nikolaos Panigirtzoglou 在周四的一份研究报告中说。
“换句话说，过去一年中这两支主要 ETF 的空头仓位下降，相当于隐含的做空波动率交
易。考虑到目前它们的空头仓位非常低，这种隐含的做空波动率交易从历史标准来看显得
有些过度延伸，当负面消息开始逆转过去一年的空头仓位下降趋势时，美国股市将会更脆
弱”Panigirtzoglou 补充道。
该分析师及其全球市场策略团队估计，季度末的再平衡流动约为500亿美元的股票。
心得/评论：
由图表所示，平均空头在 11~13% 左右
2024年 QQQ 已降至 7.x%，SPY 降至 8.x%
大约有 40% 的空蛙已死
而且机构做空对冲的比例也大幅下降
所有人都在做多并不是坏事，市场持续有买盘进入
只是当情绪忽然反转时，下杀将没有空头回补支撑
接下来股市风格，可能都是一直涨一直涨不停
下跌时就忽然跌1000点把所有人的停损单一次踩光