Market Wrap
Narratives
Week Ahead
The key question now is: Will these indices break higher in the New Year? And if so, which sectors will lead the market? Will it be tech/growth stocks or will other sectors take the lead? It is worth noting that since the rates market started pricing in Fed rate cuts for 2024 from mid-November, expensive mega-cap stocks have underperformed the rest of the market. As a result, the equally-weighted S&P500 (along with other indices like the Russell 2000, which represents mid-caps) has outperformed the S&P500 and the NASDAQ100. Will this trend continue in the coming weeks and into January?
Next week, macro data and events will be relatively light. However, there are several key US data points scheduled for early January, including ISM Manufacturing on Wednesday 3rd, ADP employment on Thursday 4th, and ISM Services & nonfarm payrolls on Friday 5th. (Source: Longview Economics)
Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 4-qtr Estimate | 🔵 | 243.38 | 235.77 | 228.39 | January 1, 2023 |
Forward 4-qtr PE | 🔴 | 19.5 | 19.96 | 17.2 | January 1, 2023 |
Nominal Earnings Yield | 🔵 | 5.13 | 5.01 | 5.86 | January 1, 2023 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔵 | 11.03 | 9.95 | 1.08 | 10.85% |
SPX GEX Flip | 🔵 | 4,702.5 | 4,612.5 | 90 | 1.95% |
SPX Skew Adjusted GEX | 🔵 | -1,627,097,276 | -4,529,739,754 | 2,902,642,478 | 64.08% |
Equity Put/Call Ratio (CBOE) | 🔴 | 0.5 | 0.53 | -0.03 | -5.66% |
VIX Put/Call Ratio (CBOE) | 🔵 | 0.51 | 0.22 | 0.29 | 131.82% |
SPX/W Put/Call Ratio (CBOE) | 🔴 | 1.31 | 1.48 | -0.17 | -11.49% |
Futures
Bull v Bear
This Week (30d ATM IV 10.84% v 30d HV 10.04%)Bulls will seek to extend upside and price acceptance > WHI on a closing basis. Upside: Futures adjusted SPX ATH 4850(+0.93%) is within +1σ (W) 4879 (+1.53%).Bears will seek to cause cessation of DTF 1TFU and ideally establish price acceptance < WVAL 4770.50. Downside: GEX Flip 4755 (-1.05%) is within -1σ (W) 4733 (-1.50%).
Last Week (4805.25 MAR24 +0.78%)Bulls will seek to extend upside and price acceptance > WHI on a closing basis. Upside: Futures adjusted SPX ATH 4872 (+2.18%) is just beyond +1σ (W) 4837.50 (+1.46%).Bears will seek to cause cessation of DTF 1TFU and recapture the WMID 4722 (-0.96%) on a closing basis. Downside: GEX Flip 4666 (-2.14%) isbeyond-1σ (W) 4700 (-1.43%).
Indicators
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Current Year Performance | 🔴 Optimism | 🔵 | 24.33 | 23.41 | 3.93 | 10 | -10 | ||
Average of All Years | ⚫️ Index (N/A) | 🔵 | 7.66 | 7.34 | 4.36 | 0 | 0 | ||
Intermediate Term Optimism Index | 🔴 Optimism | 🔴 | 84 | 87 | -3.45 | 65 | 35 | ||
CRB Optix | ⚪️ Normal | 🔵 | 46 | 45 | 2.22 | 60 | 40 | ||
Bond Optix | ⚪️ Normal | ⚪️ | 49 | 49 | 0 | 70 | 40 | ||
HYG Optix | ⚪️ Normal | 🔵 | 65.06 | 63.81 | 1.96 | 80 | 20 | ||
US Dollar Optix | ⚪️ Normal | 🔴 | 42 | 52 | -19.23 | 60 | 40 | ||
BBB - AAA Corporate Bond Spread | ⚫️ Index (N/A) | 🔴 | 0.8 | 0.82 | -2.44 | 0 | 0 | ||
Crude Oil Optix | ⚪️ Normal | 🔵 | 42 | 38 | 10.53 | 60 | 30 | ||
Gold Optix | ⚪️ Normal | 🔵 | 63 | 57 | 10.53 | 70 | 30 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
US Put / Call Option Volume | ⚪️ Normal | 🔵 | 0.76 | 0.68 | 11.76 | 0.7 | 1 | ||
SPY Optix | ⚪️ Normal | 🔵 | 66.97 | 57.28 | 16.92 | 80 | 20 | ||
Stock Bond Ratio | ⚪️ Normal | 🔵 | -0.46 | -0.95 | 51.58 | 2 | -2 | ||
GEX / Market Cap Ratio | ⚪️ Normal | 🔴 | 0.11 | 0.12 | -8.33 | 0.15 | 0.05 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Small Trader Put/Call Premium | ⚪️ Normal | 🔴 | 0.43 | 0.53 | -18.87 | 0.4 | 0.6 | ||
Risk On/Off Index | 🔴 Optimism | ⚪️ | 76.19 | 76.19 | 0 | 50 | 0 | ||
MOVE Index | 🟢 Pessimism | 🔴 | 111.38 | 115.75 | -3.78 | 60 | 100 | ||
2y / 10y Yield Curve | ⚫️ Index (N/A) | 🔵 | -43.02 | -53.59 | 19.72 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
VIX Term Structure | ⚪️ Normal | ⚪️ | 0.81 | 0.81 | 0 | 0.8 | 1 | ||
Component Correlation | ⚪️ Normal | 🔵 | 0.47 | 0.46 | 2.17 | 0.35 | 0.55 | ||
Gamma Exposure (x000) | 🔴 Optimism | 🔴 | 5,687,670 | 5,806,520 | 0 | 4,000,000 | 1,000,000 | ||
Credit Default Swaps | ⚫️ Index (N/A) | 🔴 | 357.12 | 367.23 | -2.75 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
SPY Breadth (% > 50d MA) | 🔴 Optimism | 🔵 | 89.84 | 87.25 | 2.97 | 70 | 30 | ||
SPY Breadth (% > 200d MA) | 🔴 Optimism | 🔵 | 76.31 | 74.5 | 2.43 | 70 | 30 | ||
NYSE TRIN | ⚪️ Normal | 🔴 | 1.03 | 1.44 | -28.47 | 0.5 | 2 | ||
NYSE Advance Decline | ⚫️ Index (N/A) | 🔵 | 692,897 | 689,958 | 0.44 | 0 | 0 |
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- Narratives - Heisenberg Report
- Week Ahead - Trading Economics
- Earnings - FactSet & LESG I/B/E/S
- Options - tradingvolatility.net
- Futures - CME Group
- Indicators - Sundial Capital Research