原文標題：Short interest on the two biggest U.S. equity ETFs have fallen to
record lows - JPMorgan
美國兩支最大 ETF 空頭倉位已降至歷史最低點 - 摩根大通
原文連結：https://tinyurl.com/4ytsw22s
發布時間：2024/06/22 02:12:23
記者署名：By: Anuron Mitra, SA News Editor
原文內容：(中文翻譯在下方)
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.
摩根大通的全球市場策略團隊指出，SPDR S&P 500 ETF Trust (NYSEARCA: SPY) 和
Invesco QQQ Trust ETF (NASDAQ: QQQ) 的空頭倉位已降至歷史最低點，警告說，若這
一趨勢逆轉可能會影響美國股票市場。
SPY 追蹤的是華爾街的標普500指數 (SP500)，而 QQQ 追蹤的是以科技股為主的納斯達克
100指數 (NDX)。這兩支交易所交易基金 (ETF) 都非常受投資者歡迎，前者是美國最早的
ETF，而後者則於1999年推出。
根據摩根大通的說法，自2023年第二季度以來，這兩支最大股票ETF的空頭倉位下降，是
美國股票市場的重要支撐。請參見下方圖表，顯示自2018年以來的空頭倉位資訊：
https://i.imgur.com/S9LNc0r.png
根據 S3 Partners 提供給 Seeking Alpha 的數據，QQQ 的流通股空頭倉位百分比在2018
年為16.61%。到2023年已降至13.22%。同時，SPY 的流通股空頭倉位百分比在2018年為
17.67%。到2023年已退至14.35%。
相比之下，在2018年至2023年同一時期內，QQQ 飆升了163.05%，而 SPY 上漲了78.11%。
「由於 SPY 和 QQQ 是投資者在美股指數層面上對美國股市進行倉位操作的主要工具，它
們的空頭倉位下降為美國股指提供了穩定的流動性支撐，因為空頭倉位逐漸被回補，」摩
根大通的 Nikolaos Panigirtzoglou 在週四的一份研究報告中說。
「換句話說，過去一年中這兩支主要 ETF 的空頭倉位下降，相當於隱含的做空波動率交
易。考慮到目前它們的空頭倉位非常低，這種隱含的做空波動率交易從歷史標準來看顯得
有些過度延伸，當負面消息開始逆轉過去一年的空頭倉位下降趨勢時，美國股市將會更脆
弱」Panigirtzoglou 補充道。
該分析師及其全球市場策略團隊估計，季度末的再平衡流動約為500億美元的股票。
心得/評論：
由圖表所示，平均空頭在 11~13% 左右
2024年 QQQ 已降至 7.x%，SPY 降至 8.x%
大約有 40% 的空蛙已死
而且機構做空對沖的比例也大幅下降
所有人都在做多並不是壞事，市場持續有買盤進入
只是當情緒忽然反轉時，下殺將沒有空頭回補支撐
接下來股市風格，可能都是一直漲一直漲不停
下跌時就忽然跌1000點把所有人的停損單一次踩光
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