Market Wrap
Narratives
Week Ahead
Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 12-mo Estimate | 🔴 | 221.34 | 221.49 | 230.43 | September 30, 2022 |
Forward 12-mo PE | 🔵 | 17.9 | 17.7 | 15.5 | September 30, 2022 |
Nominal Earnings Yield | 🔴 | 5.57 | 5.66 | 6.43 | September 30, 2022 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔴 | 18.98 | 22.23 | -3.25 | -14.62% |
SPX GEX Flip | ⚪️ | 3,997.5 | 3,997.5 | 0 | 0% |
SPX Skew Adjusted GEX | 🔵 | -6,091,924,330 | -11,571,252,881 | 5,479,328,551 | 47.35% |
Total Put/Call Ratio (CBOE) | 🔵 | 1.1 | 0.98 | 0.12 | 12.24% |
Equity Put/Call Ratio (CBOE) | 🔴 | 0.73 | 1.18 | -0.45 | -38.14% |
VIX Put/Call Ratio (CBOE) | 🔴 | 0.5 | 0.55 | 0.05 | -9.09% |
Futures
Bull v Bear
This Week (30d ATM 19.22% v22.11% p)Bulls will seek to maintain bid momentum and ideally establish price acceptance above the 50d MA 4026 (+0.62%). Upside: WHI 4073.75 (+1.81%); MAR HI 4082.50 (+2.03%) and 4100 (+2.47%) are within +1σ (W) 4105.75 (+2.61%).Bears will seek to absorb and ideally recapture the WVWAP 3978.00 (-0.58%). Downside: Recapture < OCT HI 3955.75 (-1.14%); 200d MA 3942.00 (-1.48%); YTD VAL 3909.00 (-1.36%) are within -1σ (W) 3902 (-2.48%).
Last Week (4001.25 JUN23 +1.37%)Bulls will seek to establish acceptance above the weak WHI 4009.25 (+1.58%). Upside: Recapture 50d MA 4017.00 (+1.77%); FEB AWVAP 4031.25 (+2.13%). MAR HI 4082.50 (+3.43%) and 4100 (+3.88%) are marginally above +1σ (W) 4068 +3.08%.Bears will seek to recapture the 200d MA and offer below the poor PLO 3932.50 (-0.37%). Downside: WVAL 3895.25 (-1.31%); 2023 VAL 3868.25 (-2%); WLO 3839.25 (-2.73%); are within -1σ (W) 3833.00 -2.89%. YTD LO 3814.50 (-3.36%) is within -2σ (W) 3720 -5.75%.
Indicators
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Current Year Performance | ⚪️ Normal | 🔵 | 4.09 | 2.68 | 52.61 | 10 | -10 | ||
Average of All Years | ⚫️ Index (N/A) | 🔵 | -0.39 | -0.42 | 7.14 | 0 | 0 | ||
Intermediate Term Optimism Index | ⚪️ Normal | 🔵 | 39 | 37 | 5.41 | 65 | 35 | ||
CRB Optix | ⚪️ Normal | 🔴 | 45 | 46 | -2.17 | 60 | 40 | ||
Bond Optix | ⚪️ Normal | 🔵 | 47 | 43 | 9.3 | 70 | 40 | ||
HYG Optix | ⚪️ Normal | 🔵 | 39.15 | 18.41 | 112.66 | 80 | 20 | ||
US Dollar Optix | ⚪️ Normal | ⚪️ | 46 | 46 | 0 | 60 | 40 | ||
BBB - AAA Corporate Bond Spread | ⚫️ Index (N/A) | 🔴 | 1.01 | 1.03 | -1.94 | 0.1 | 0.5 | ||
Crude Oil Optix | ⚪️ Normal | 🔵 | 34 | 31 | 9.68 | 60 | 30 | ||
Gold Optix | ⚪️ Normal | 🔵 | 54 | 51 | 5.88 | 70 | 30 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Equity Put/Call Ratio De-Trended | ⚪️ Normal | 🔴 | -0.12 | -0.02 | -500 | -0.15 | 0.15 | ||
VIX Put/Call Ratio | ⚪️ Normal | 🔴 | 0.49 | 0.55 | -10.91 | 0.35 | 0.75 | ||
Hedge Fund Exp - Equities | ⚪️ Normal | 🔵 | 0.132 | 0.08 | 65 | 0.2 | 0 | ||
Hedge Fund Exp - Dollar | 🔴 Optimism | 🔴 | 0.35 | 0.55 | -36.36 | 0.3 | -0.3 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
VIX Sentiment | ⚪️ Normal | 🔴 | 2.96 | 3.39 | -12.68 | 2.75 | 3.25 | ||
Risk Appetite Index | ⚪️ Normal | 🔵 | 0.25 | 0.23 | 8.7 | 0.8 | 0.2 | ||
MOVE Index | 🟢 Pessimism | 🔴 | 173.66 | 180.11 | -3.58 | 60 | 100 | ||
2y / 10y Yield Curve | ⚫️ Index (N/A) | 🔵 | -39.86 | -41.12 | 3.06 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
VIX Term Structure | ⚪️ Normal | 🔴 | 0.91 | 0.93 | -2.15 | 0.8 | 1 | ||
Component Correlation | 🟢 Pessimism | ⚪️ | 0.58 | 0.58 | 0 | 0.35 | 0.55 | ||
Gamma Exposure (x000) | ⚪️ Normal | 🔵 | 1,069,610 | 500,668 | -99.8 | 4,000,000 | 1,000,000 | ||
Credit Default Swaps | ⚫️ Index (N/A) | 🔴 | 517.68 | 529.69 | -2.27 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
SPY Breadth (% > 50d MA) | 🟢 Pessimism | 🔵 | 23.26 | 20.68 | 12.48 | 70 | 30 | ||
SPY Breadth (% > 200d MA) | ⚪️ Normal | 🔵 | 43.11 | 39.12 | 10.2 | 70 | 30 | ||
NYSE TRIN | ⚪️ Normal | 🔴 | 0.98 | 1.29 | -24.03 | 0.5 | 2 | ||
NYSE Advance Decline | ⚫️ Index (N/A) | 🔵 | 676,487 | 675,708 | 0.15 | 0 | 0 |
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- Narratives - Heisenberg Report & DataTrek Research
- Week Ahead - Trading Economics
- Earnings - FactSet & Trinity Asset Management
- Options - tradingvolatility.net
- Futures - CME Group QuikStrike
- Indicators - Sundial Capital Research