September Setup: The Asymmetry Has Changed

Citadel

Scott Rubner

Research

26 Pages

Citadel Securities argues September’s near-term equity asymmetry has worsened as earnings catalysts fade, positioning rebuilds, and macro risks return. The S&P 500 has rallied 22% since March 30, while September historically averages a 1.1% loss and downside protection is near its cheapest levels since 2024.

Key Takeaways

Earnings tailwind fades: Q2 S&P 500 EPS grew about 33%, but 93% of index weight has reported, leaving fewer corporate catalysts ahead.
September historically struggles: September is the only month since 1928 with more down years than up, averaging a 1.1% loss and 4.7% selloff.
Options expiry looms: About $6.2 trillion of US options notional expires September 18, potentially weakening supportive dealer positioning as macro events intensify.
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