GS Quinn MSCI EM Futures Widespread Selling in Mid September

GS Quinn - MSCI EM Futures: Widespread Selling in Mid September 22 Sep 2026 Robert Quinn · Goldman Sachs · FICC & Equities Tue 22 Sep 2026, 7:28am ET

Through mid-September, MSCI Emerging Market futures net length decreased as the index underperformed. Categorical changes revealed widespread participation and renewed sensitivity to higher energy prices. Since then, energy markets retraced, AI tailwinds surfaced, and MSCI EM recuperated. However interestingly, positioning indicators revealed only mixed shifts. It will be interesting to see if there is a delayed reaction or redeployment of equity capital to other indices.

Through mid-September, MSCI Emerging Market (EM) futures net length decreased as the index underperformed. According to Commitment of Traders, Non-Dealers sold -$2.1bn from September 8th - 15th, marking the largest 1 week amount since March. New shorts (+$2.3bn) were the sole driver. Recall the index shed -4.1% over the observation window, a large drag relative to S &P 500 (-1.1%). Categorical changes revealed widespread participation and renewed sensitivity to higher energy prices. Asset Manager (-$1.2bn), Hedge Fund (-$120mm), Other (-$320mm), and Non-Reportable (-$420mm) all sold. For Asset Manager, the breakdown was 30% / 70% for liquidation / short augmentation. The latter appeared driven by large increases in Brent (+11.1%) and TTF (+5.6%). Specifically, rolling 3 month correlations between Asset Manager shorts and energy prices became very positive. Since then, energy markets retraced, AI tailwinds surfaced, and MSCI EM recuperated. Over September 15th - 21st, Brent and TTF fell -7.7% and -8.5% respectively. GS's AI Semiconductors basket surged +12% due to Meta's new AI agent , providing some, albeit limited, positive read across. EM bounced +3.2%. However interestingly, positioning indicators revealed mixed shifts. While MSCI EM 3 month normalized 25 delta put-call skew declined, 3 month swap funding failed to recover. * It will be interesting to see if there is a delayed reaction or redeployment of equity capital to other indices.

MSCI EM Non-Dealer Net Positioning vs Price

Source: GS GBM, CFTC as of September 15th. Past performance not indicative of future results.

MSCI EM Asset Manager Net Length

Source: GS GBM, CFTC as of September 15th. Past performance not indicative of future results.

Source: GS GBM as of September 21st. Past performance not indicative of future results.

MSCI EM 3 Month Implied Volatility vs Normalized 25 Delta Put-Call Skew

Source: GS GBM as of September 21st. Past performance not indicative of future results.