2H September: Getting Closer

Citadel

Scott Rubner

Research

24 Pages

Citadel Securities examines why September’s equity weakness may persist even as positioning and sentiment begin to reset. The S&P 500 is 3.2% below its August high, roughly $7 trillion of options expire Friday, and buyback blackouts are expanding, while reduced AI leverage could improve the setup into Q4.

Key Takeaways

Technical supply remains: About $7 trillion of US equity options expires September 18, representing roughly 25% of total US options exposure.
Buybacks go dark: Pre-earnings blackout coverage rises from 10% of S&P 500 weight now to 61% by September 30.
AI positioning resets: Leveraged semiconductor ETF assets are roughly half their June peak, while retail semis gross notional is 46% below that peak.
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