S&P 500 Futures
S&P 500 Futures
Week of Sep 03 2023 (Roll)

Week of Sep 03 2023 (Roll)

Market Wrap

EOW 35 - Benchmarks
EOW 35 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 1.5% 4448.0 → 4583.5)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 1.5% 4448.0 → 4583.5)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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Vol is mean-reverting. And that dynamic isn’t lost on traders, and the temptation to exploit the mean reversion tendency is more powerful in environments where it’s consistently rewarded. Successful exploitation breeds more success to the extent it pressures vol lower and/or creates the conditions whereby equities stay pinned in a relatively narrow range — Charlie McElligott, Nomura
Three-year nominal GDP growth in the US is on track for 40%. As the figure on the left below shows, booms of that magnitude occurred only two other times in modern American history. The S&P rocketed higher in all three cases. But it’s different under the hood this time; value has underperformed growth by 27ppt -
Three-year nominal GDP growth in the US is on track for 40%. As the figure on the left below shows, booms of that magnitude occurred only two other times in modern American history. The S&P rocketed higher in all three cases. But it’s different under the hood this time; value has underperformed growth by 27ppt - Bank of America
Vol is subjected to mean reversion, which act to further stabilize stocks. With stabilization comes systematic buying; particularly as we turn into end-of-year performance chasing from anyone who didn’t own enough mega-cap tech. CTAs are already back in, and bought more than $25 billion of global equities over the past week
Vol is subjected to mean reversion, which act to further stabilize stocks. With stabilization comes systematic buying; particularly as we turn into end-of-year performance chasing from anyone who didn’t own enough mega-cap tech. CTAs are already back in, and bought more than $25 billion of global equities over the past week - Nomura
The VIX dealer short upside convexity dynamic is now beginning to run out of fuel, so that recent expansion in vol-of-vol is collapsing now as the VIX upside call wing continues to bleed out. VIX futures now imply ~1% daily changes in spot equities; bad news is good news right now, as long as it’s not too bad -
The VIX dealer short upside convexity dynamic is now beginning to run out of fuel, so that recent expansion in vol-of-vol is collapsing now as the VIX upside call wing continues to bleed out. VIX futures now imply ~1% daily changes in spot equities; bad news is good news right now, as long as it’s not too bad - Nomura

Week Ahead

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It's a short week ahead and a light one for economic releases. We expect that the financial markets will start to focus on the following week when both the CPI and the federal deficit will be released for August on Wednesday, September 13. One week after that happens, the FOMC will decide whether to hike the federal funds rate or not. We think the Fed is done. We remain optimistic about the outlook for inflation, but we can't find any way to put lipstick on the debt pig that Washington is feeding.
  1. August's NM-PMI (Wednesday) could confirm that the services economy is slowing as shown by the comparable series compiled by S&P Global
  2. We will be interested to see the prices-paid index in the NM-PMI survey. It has been a remarkably good 3-month leading indicator of the headline CPI inflation rate on a y/y basis. It suggests that this inflation rate could be close to 2.0% in October's CPI report, which will be released during the second week of November, just in time for another Santa Claus rally!
  3. August's consumer-related reports include auto sales (Tuesday), mortgage applications (Wednesday), and consumer credit (Friday). Railcar loadings of motor vehicles suggest that auto sales remained strong around 15.0 million units (saar) last month.
  4. On the other hand, auto loans at the banks fell 2.1% y/y through the August 23 week, while revolving credit at the banks rose 11.2% - Yardeni Research
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Calendar (UTC-4)
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- TradingEconomics
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US Macro
United States Economic Indicators
United States Economic Indicators

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔵
233.4
232.8
228.39
January 1, 2023
Forward 4-qtr PE
🔵
19.5
18.9
17.2
January 1, 2023
Nominal Earnings Yield
🔴
5.17
5.28
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
10.86
13.44
-2.58
-19.2%
SPX GEX Flip
🔵
4,482.5
4,442.5
40
0.89%
SPX Skew Adjusted GEX
🔵
4,813,487,338
-7,519,334,506
12,332,821,844
164.01%
Equity Put/Call Ratio (CBOE)
🔴
0.65
0.97
-0.32
-32.99%
VIX Put/Call Ratio (CBOE)
🔵
0.65
0.25
0.4
160%
SPX/W Put/Call Ratio (CBOE)
🔵
1.54
1.39
0.15
10.79%
Skew-Adjusted Gamma by Strike -
Skew-Adjusted Gamma by Strike - @tradevolatility
Skew-Adjusted GEX Trend -
Skew-Adjusted GEX Trend - @tradevolatility
Implied Volatility Trend -
Implied Volatility Trend - @tradevolatility
Put/Call OI Trend -
Put/Call OI Trend - @tradevolatility

Futures

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Friday's E-mini S&P 500 market was higher with the Sep contract gaining 5.50 to 4521.50. Overall volume was 1,436,560, with Sep seeing 1,416,762 done. Total open interest decreased by 3,520, or 0.16%, to 2,262,421. Sep fell by 8,460 (0.38%), finishing at 2,205,608.
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Option trading centered around the Sep 4550 calls with 9,723 done and the Sep E1C 3725 puts with volume of 52,193. Calls with the most open interest are the Dec 5000 strike (17,987), and for the puts are the Sep E1C 3725 strike (54,553).
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E-mini S&P 500 implied volatility settled down as the 30-day at-the-money dropped 0.53% to close the session at 10.64%, a one month low. Historical volatility (30-day) closed the day at 11.38%, dropping by 0.0620%. The volatility spread (30-day, IV-HV) finished the session at a one month low of -0.74%, having decreased 0.4680%.
Higher TF (W → D)
Higher TF (W → D) NEUTRAL - The 4350 Lower Low (LL) has been confirmed by this week’s cessation of WTF 1FTD, coinciding with the recapture and closure above the 50d MA (WHI.1 4485.50). W35 price action retraced the entire August VA and flipped gamma exposure back into a vol-suppressing positive regime. That said, the 4634.50 HH is structurally strong relative to 4350 LL in absence of (developing) internal structure confirming a HL → LH break of structure on the DTF. Friday’s divergence potentially begins the pullback phase from which supporting internal structure may emerge.
Lower TF (3H → M30)
Lower TF (3H → M30) NEUTRAL- A Lower TF bullish change of condition was triggered via the structural breakout > WHI.1 4485.50, plausibly bringing the Higher TF pullback phase to conclusion. Price acceptance above WHI 4547.75 will be indicative of trend continuation and increase the likelihood of retesting the YTD high (coincidental with Higher TF resistance). Has the pullback finished? Is the uptrend resuming? Or, are equities merely in the midst of a ‘wave two’ relief rally, which arguably played out last week with Friday’s Outside Day and weak position of close signaling a (bearish) divergence?

Bull v Bear

This Week (30d ATM IV 10.64% v 30d RVOL 11.38%)
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Bulls will seek to recapture WHI > 4547.75 on a closing basis. Upside: 4580 Supply Zone is within +1σ (W) 4592.00 (+1.56%). YTD HI 4634.50 (+2.5%) is within +2σ (W) 4662.50 (+3.12%).
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Bears will seek to further extend 1TFD and ideally < 50d MA 4492.50 on a closing basis. Downside: WLO 4414.50 is beyond -1σ (W) 4453.50 (-1.50%). LL 4350 is beyond -2σ (W) 4385.50 (-3.01%).
Last Week (4521.50 SEP23 +1.29%)
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Bulls will seek to recapture DTF 1TFU > 4429 on a closing basis and ideally 4470. Upside: WHI 4485.50 → 50d MA 4487.50 are within +1σ (W) 4497 (+1.87%). WHI.1 4517.75 (+2.34%).
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Bears will seek to further extend 1TFD < WLO 4365.25 (-1.11%) on a closing basis. Downside: MLO 4350 is within -1σ (W) 4335 (-1.80%). Departure Gap and 4300 retest (-2.59%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔵
17.06
14.76
15.58
10
-10
Average of All Years
⚫️ Index (N/A)
🔴
2.98
3.07
-2.93
0
0
Intermediate Term Optimism Index
⚪️ Normal
🔵
53
44
20.45
65
35
CRB Optix
⚪️ Normal
🔵
51
49
4.08
60
40
Bond Optix
🟢 Pessimism
🔵
31
23
34.78
70
40
HYG Optix
⚪️ Normal
🔴
53.17
66.03
-19.48
80
20
US Dollar Optix
⚪️ Normal
🔴
50
52
-3.85
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.92
0.93
-1.08
0
0
Crude Oil Optix
⚪️ Normal
🔵
56
49
14.29
60
30
Gold Optix
⚪️ Normal
🔵
53
46
15.22
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
⚪️ Normal
🔴
0.65
0.97
-32.99
0.5
0.75
VIX Put/Call Ratio
⚪️ Normal
🔵
0.66
0.25
164
0.35
0.75
Stock Bond Ratio
⚪️ Normal
🔵
1.58
1.22
29.51
2
-2
GEX / Market Cap Ratio
⚪️ Normal
🔵
0.08
0.03
166.67
0.15
0.05
VIX Put/Call Ratio v Equity Put/Call Ratio
VIX Put/Call Ratio v Equity Put/Call Ratio
S&P 500 E-Mini COT Trailing 4-weeks (Futures & Options)
S&P 500 E-Mini COT Trailing 4-weeks (Futures & Options) - CFTC.gov
Dow E-Mini COT Trailing 4-weeks (Futures & Options)
Dow E-Mini COT Trailing 4-weeks (Futures & Options) - CFTC.gov
Stock / Bond Ratio v GEX / Market Cap Ratio
Stock / Bond Ratio v GEX / Market Cap Ratio
Nasdaq E-Mini COT Trailing 4-weeks (Futures & Options)
Nasdaq E-Mini COT Trailing 4-weeks (Futures & Options) - CFTC.gov
Russell E-Mini COT Trailing 4-weeks (Futures & Options)
Russell E-Mini COT Trailing 4-weeks (Futures & Options) - CFTC.gov
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Sentiment
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Sentiment
🔴 Optimism
🔴
2.66
2.79
-4.66
2.75
3.25
Risk Appetite Index
🔴 Optimism
🔵
0.89
0.68
30.88
0.8
0.2
MOVE Index
🟢 Pessimism
🔴
102.92
110.37
-6.75
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔵
-70.39
-84.48
16.68
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔴
0.83
0.88
-5.68
0.8
1
Component Correlation
⚪️  Normal
🔴
0.36
0.37
-2.7
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔵
3,769,890
1,278,760
200
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
422.08
438.28
-3.7
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔵
47.01
33.47
40.45
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔵
59.32
52.1
13.86
70
30
NYSE TRIN
⚪️ Normal
🔴
0.76
0.94
-19.15
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
689,542
685,005
0.58
0
0
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