GS Garrett weekend prep 7 Sep 2026

GS Garrett - weekend prep 7 Sep 2026 Brian Garrett · Goldman Sachs · FICC & Equities / Markets Mon 7 Sep 2026, 1:26pm ET

summer is officially over … while friday marked the lowest cash volume session of the year (mvoluse), the lowest intraday VIX of the year (13.8), and the second lowest “avg single” stock volatility level of the year (~30.5), the calendar is set to inflect higher from now to december - taking both activity and volatility levels with it

inflation readings, job readings, potential fed hikes, us midterms, sell side conferences, AI model releases, capital market raises, and earnings to name just a few … the wildcard hanging over all of these known- unknowns is geopolitics – the potential for escalation or de-escalation across iran/oil, russia/ukraine, china/xi visit, among many others

a few quick things kicking around on the desk heading into this week …

fed … the job number reinforced warsh’s assessment that labor market is solid … its now all about inflation … the probability of a hike on 16sept is 60% (up from ~30% pre Jackson hole) … while the gs house view maintains “no hike,” the PPI on Tuesday and the CPI on Friday will be the two most important datapoints between now and decision day … spx surface does not seem worried about the inflation prints, with the friday straddle priced at 100bps (i recall in 2022 when CPI alone warranted a >100bps straddle for a single session) … hard to see this straddle decaying until you get the actual data (3 days of free gamma?)

rates … the long end remains the greater risk … the 30yr yield 1m avg is north of 5.2% for the first time (in earnest) since 2003 … sticky inflation, treasury supply, and term premium rebuilding can push these higher even in absence of a hike … impact on long duration assets and leveraged balance sheets could tighten financial conditions meaningfully … MOVE index closed Friday at 73 (14th percentile, 5y lookback) … the gs “flow exo” menu has a plethora of rate vs equity duals trading in the sub 10th percentile (link)

vol (i) … as mentioned before, implied vol across assets (index and singles) is trading at year to date lows … implieds across the tech sector (software, semis, internet, tmt, etc) went from “eye wateringly” expensive to “extremely reasonable” and index vol has gone from relatively low (and not working) to extremely low (and not working) … singles vol / custom basket options / 1delta + etf options have been weapon of choice

vol (ii) … we just traded through the lowest realized correlation period in recent history … realized correlation across SPX over the last six months is 11, only two periods in the last 25 years have seen corr this … Feb 2007 (senior yr college) and Jan 2018 (just before “volmageddon”) … history book suggests levels this low are not sustainable and have ended in a starburst of index vol convexity (caveat “past performance is not indicative of future returns”)

vol (iii) … across the single stock landscape, summer 2026 has reminded that high vol doesn’t mean expensive and low vol doesn’t mean cheap … scatter below (quite proud of this one), looks across the highest and lowest implied vol for 50 names in SPX (100 names total) … 6m implied volatility on 1mar26 and scattered against subsequent 6m realized volatility through 1sept … high vol outrealized even higher hurdles … low vol under realized even lower hurdles

positioning … gs pb has flagged that both net and gross levels had retraced to post-liberation day lows (apr-may 2025) … you can “feel” this on the desk whenever SPX attempts to break out to new highs as questions quickly arise to explain the intraday strength … spx rallies have been almost twice as volatile as spx sell offs … spx call implieds have a much higher realized correlation to spx spot … this is not the behavior of a market “full” on exposure … conference season could exacerbate this dynamic (gs communacopia this week - preview)

enjoy the holiday, good luck, see you green dot tomorrow