S&P 500 Futures
S&P 500 Futures
Week of Mar 05 2023 (Roll)

Week of Mar 05 2023 (Roll)

Market Wrap

EOW 09 - Benchmarks
EOW 09 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.9% 3928.2 → 4162.8)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.9% 3928.2 → 4162.8)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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Investors who think stocks are attractive at current prices need to assume the Next Twelve Months (NTM) earnings cuts are done and will start to rise again in the next few months. This is the key debate in the market and our take is that while the economic data appears to have stabilized and even turned up again in certain areas, the negative operating leverage cycle is alive and well and will overwhelm any economic scenario (soft, hard or no landing) over the next six months — Mike Wilson, Morgan Stanley
While ISM surveys always contribute to the macro discourse, the staying power of the move will face the far more important tests of Powell’s Congressional testimony and February’s jobs data.
While ISM surveys always contribute to the macro discourse, the staying power of the move will face the far more important tests of Powell’s Congressional testimony and February’s jobs data. The strength of the ISM services report bodes well for the argument that negative triple digits is achievable in 2s10s, and the data shows little necessity for the Fed to reverse course on its tightening path for the time being- BMO
US junk funds bled another $2.3 billion during the latest weekly reporting period, data released late Thursday showed, marking the third straight outflow and the fifth in six weeks. The net outflow over that six-week stretch comes to more than $13 billion.
US junk funds bled another $2.3 billion during the latest weekly reporting period, data released late Thursday showed, marking the third straight outflow and the fifth in six weeks. The net outflow over that six-week stretch comes to more than $13 billion. What we find most striking, in the context of the large high yield outflow of the past month, is the stable performance of high yield spreads during that time - BMO
If r-star is higher than policymakers believe, then policy itself may not be as restrictive as you’d be inclined to think - 
If r-star is higher than policymakers believe, then policy itself may not be as restrictive as you’d be inclined to think - if it’s restrictive at all - even after 450bps of rate hikes. The implications of a higher r-star are profound; higher expected short-term rates would shift the entire curve up and the read-through for policy suggests the situation would be compounded by expectations of additional rate hikes - Deutsche Bank

Week Ahead

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Investors will have a lot of news to digest in the upcoming week, including the Labor Department's February jobs report and Fed Chair Jerome Powell's testimony before Congress. The world's largest economy likely added 200,000 jobs last month, which is below the 517,000 jobs added in January, while unemployment remained at an over-50-year low of 3.4%. The average hourly earnings growth is expected to have accelerated to 4.8%, which compounds concerns over ongoing inflationary pressure. In addition to the February jobs report, the Labor Department will also release January data on job openings. Meanwhile, the ADP employment survey is expected to show a private payroll growth of 185,000 jobs during February. Market participants will also closely monitor the Commerce Department's trade balance report. Finally, investors will be paying close attention to Fed speeches, especially that of Chair Jerome Powell, for further insights into the central bank's tightening plan - TradingEconomics
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Economic (UTC-5)
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- TradingEconomics
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Earnings
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- TradingTerminal

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 12-mo Estimate
🔴
221.44
221.71
230.43
September 30, 2022
Forward 12-mo PE
🔵
18.2
17.9
15.5
September 30, 2022
Nominal Earnings Yield
🔴
5.47
5.58
6.43
September 30, 2022

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
17.23
19.92
-2.69
-13.5%
SPX GEX Flip
⚪️
4,032.5
4,042.5
-10
-0.25%
SPX Skew Adjusted GEX
🔵
1,161,315,943
-8,251,187,925
9,412,503,868
114.08%
Total Put/Call Ratio (CBOE)
🔴
0.91
1.11
-0.02
-18.02%
Equity Put/Call Ratio (CBOE)
🔴
0.59
0.82
-0.23
-28.05%
VIX Put/Call Ratio (CBOE)
🔴
0.25
0.35
-0.1
-28.57%
SPX Net Skew-Adjusted Gamma by Strike - @tradevolatility
SPX Net Skew-Adjusted Gamma by Strike - @tradevolatility
SPX Net Skew-Adjusted Gamma Change - @tradevolatility
SPX Net Skew-Adjusted Gamma Change - @tradevolatility
VIX Net Skew-Adjusted Gamma by Strike - @tradevolatility
VIX Net Skew-Adjusted Gamma by Strike - @tradevolatility
VIX Net Skew-Adjusted Gamma Change - @tradevolatility
VIX Net Skew-Adjusted Gamma Change - @tradevolatility

Futures

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E-mini S&P 500 futures were higher Friday with the March contract finishing the session at a one week high of 4049.75, up 65.00, or 1.63%. Overall, 1,695,622 contracts changed hands, with 1,665,102 traded in March. Total open interest ended the session at a one month high of 2,139,628, up by 11,200 (0.53%). March open interest decreased 2,849, or 0.14%, to 2,076,023.
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The March E1B 3450 put saw the most action with 52,018 contracts changing hands. Highest volumes in March option trading were seen in the 4100 calls (6,421) and the 3800 puts (8,243). Option open interest is largest for the March EW3 2100 calls at 34,244, and the March EW2 3800 puts at 53,075.
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As measured by the 30-day at-the-money, implied volatility closed the day moderately down, dropping by 1.44% to finish the session at 17.02%. Down by 0.21%, historical volatility (as measured by the 30-day) ended at 16.00%.
Larger
Larger TF (COVID LO → Present) NEUTRAL - A 3rd consecutive lower WLO was printed during Week 9, and coincided with a backtest of the Q1 Value Area LO (QVAL) and the much observed 200d MA. Although the larger timeframe trend remains bearish, the trend has paused owed to the notable ITF countertrend and cessation of the quarterly 1TFD configuration. LTF consolidation is now forming between the Q322 Pullback HI and October Breakout (above highlighted), and balancing within the Q1 Value Area in the meantime. Buyers have regained control above the QPOC 4010 (-0.98%) despite having ceded the MTF 1TFU configuration (< 3947.50). Odds favor upside continuation based on the strong position of close with buyers well positioned to backtest the QVAH 4118.25 (+1.69%), which is within +1σ of the expected weekly range.
Intermediate
Intermediate TF (Trailing 12-mo ) NEUTRAL - Technical price action continues to dominate the Intermediate Timeframe (ITF), as expected due to the rising prevalence of 0DTE options volume. Despite cessation of MTF 1TFU (MLO < MLO.1) coinciding with an exact retest of the 200d MA, risk reward for initiative shorts was steadily eroding from the onset of the week (see Pane 3, Oversold RSI). Short covering and BTO call volumes > 4000 set the stage for a midweek reversal that recaptured the 2H22 Demand Line. The Ice Line 4064.50 (+0.17%) opens the gate back into the February VA, which if accepted will create scope for backtesting the February POC 4135 (+2.0%) → December HI 4141.50 (+2.27%). The MTF 1TFD ending price is 4208.50 (+3.92%) and is within +2σ of the expected weekly range.
Short TF (2023 → Present)
Short TF (2023 → Present) NEUTRAL - The recapture of the trailing 2-week AVWAP and strong position of close (above the JAN Breakout 4035.25) signals a potential change of condition. Odds now favor quick cessation of WTF 1TFD in the coming week and backtesting the 1H23 Supply Line. Notice that the Supply Line 4070.25 (+0.51%) coincides with its attached AWVAP, which is indicative of fair value from the YTD HI to present. Price acceptance vs. rejection at or above the Supply Line will offer a likely inflection point for initiative bulls vs. responsive bears. The market remains (balanced) inside its YTD Value Area, and has unsurprisingly corrected from an extreme oversold condition at a highly observed technical level.
4t
4t TPO ETH v RTH (W8 → W9) BULLISH - The positive GEX regime has been restored at the margin of 4032.50 (-0.43%), and should act to moderate intraday volatility. Poor structure above is now within range of being repaired, including but not limited to the poor/weak prior WHI.1 at 4089.25 (+0.98%). Last week's interim low thesis was disconfirmed, and we're now left to contemplate a weak high-low on the above 2-week range, which creates vulnerability on both sides, with market-moving catalysts being presented over the forthcoming 3 weeks. That said, the revised "Fed path" risk has arguably been priced in, and the odds favor short-term continuation to the upside.

Bull v Bear

This Week (30d ATM 17.02% v 16.69% p)
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Bulls will seek to re-establish weekly 1TFU > 4053 and ideally recapture the monthly AVWAP 4070.25 (+0.51%) on a closing basis. Upside: GAP Close 4095.00 (+1.12%); JAN HI 4109.75(+1.48%); Q1 VAH 4123.50 (+1.82%) are within +1σ (W) 4139 +2.20%.
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Bears will seek to defend the ITF Supply Line immediately overhead at ~4070, and ideally retarget Friday’s poor LO and gap < 3998 (-1.28%). Downside: 50d MA 3996 (-1.33%); WTF AVWAP 3994.25 (-1.37%); prior WVAL 3977.50 (-1.78%) are within -1σ (W) 3964 -2.12%.
Last Week (4049.75 MAR23 +1.86%)
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Bulls will seek to restore daily 1TFU > 3984 and ideally recapture > 4000 (+0.61%) on a closing basis. Upside: WPOC 4014.50 (+0.98%); WVAH 4035.25 (+1.50%); Ice Line 4056.75 (+2.04%) are within +1σ (W) +2.60%. WTF 1FTD ending price is +2.85% and 4100 (+3.13%) are further above.
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Bears will seek to maintain price acceptance < 4005 and ideally WVAL 3977.50 on a closing basis. Downside: 200d MA & WLO 3947.50 (-0.71%); 3900 (-1.91%) are within -1σ (W) 3993 -2.39%. The 20% Correction Level 3847.00 (-3.24%) and JAN LO 3814.50 (-4.06%) are further below.

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
⚪️ Normal
🔵
5.85
3.94
48.48
10
-10
Average of All Years
⚫️ Index (N/A)
🔴
-0.42
-0.16
-162.5
0
0
Intermediate Term Optimism Index
⚪️ Normal
🔴
60
61
-1.64
65
35
CRB Optix
⚪️ Normal
🔵
48
47
2.13
60
40
Bond Optix
🟢 Pessimism
🔴
19
20
-5
70
40
HYG Optix
⚪️ Normal
🔵
75.07
17.63
325.81
80
20
US Dollar Optix
⚪️ Normal
🔴
50
55
-9.09
60
40
TED Spread
⚪️ Normal
🔴
0.14
0.18
-22.22
0.1
0.5
Crude Oil Optix
⚪️ Normal
🔵
44
41
7.32
60
30
Gold Optix
⚪️ Normal
🔵
47
42
11.9
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Put/Call Ratio
🔴 Optimism
🔴
0.25
0.35
-28.57
0.35
0.75
Equity Put/Call Ratio
⚪️ Normal
🔴
0.59
0.82
-28.05
0.5
0.75
Hedge Fund Exp - Equities
⚪️ Normal
🔴
0.025
0.033
-24.24
0.2
0
Hedge Fund Exp - Dollar
⚪️ Normal
🔵
-0.28
-0.3
6.67
0.3
-0.3
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Sentiment
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Sentiment
🔴 Optimism
🔴
2.66
2.84
-6.34
2.75
3.25
Risk Appetite Index
🔴 Optimism
🔵
0.93
0.84
10.71
0.8
0.2
Volatility ETF Fund Flow
⚪️ Normal
🔴
-0.003
0.062
-104.84
0.025
-0.025
Fear & Greed Model
⚪️ Normal
🔴
63
69
-8.7
80
30
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔴
0.93
0.97
-4.12
0.8
1
Component Correlation
🟢  Pessimism
⚪️
0.6
0.6
0
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔵
1,012,180
-9,862,360
111.11
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
432.62
465.3
-7.02
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔵
52.99
44.91
17.99
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔵
65.47
59.88
9.34
70
30
NYSE TRIN
⚪️ Normal
🔴
0.72
1.04
-30.77
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
⚪️
685,010
682,857
0.44
0
0
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