These Illiquid Companies Are Most At Risk During Today’s S&P Rebalance
By Tyler Durden
In addition to today’s opex witching, at the close of trading today the S&P will conduct its quarterly index rebalance changes. As Credit Suisse notes, there are no constituent changes during this review, only weight adjustments and according to the bank’s adjustments, indexers will need to trade approximately $14.5bn to move to new index weights, of which $13.3 billion will take place in the S&P, accounting for 0.7% of the total two-way turnover.
Broken down by sector, the EOD flows will be concentrated in the following sectors, with the biggest outflows in Industrials and inflows in Energy and Utilities.
Broken down by stock, the biggest winners appear 3 of the 4 FANGs, with some other prominent names found in the list of top 10 index buys. These will be offset by selling in such names as PG, PFE, AVGO and MSFT.
However, the one data set which may be most interesting to traders is the names which are the most illiquid and thus most likely to see material price movement as a result of today’s rebalance. According to CS, it will be the following ten names, 8 of which it calculates will see a net outflow.
Source: These Illiquid Companies Are Most At Risk During Today’s S&P Rebalance
