S&P 500 Futures
S&P 500 Futures
Week of Oct 29 2023

Week of Oct 29 2023

Market Wrap

EOW 43 - Benchmarks
EOW 43 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.6% 4010.3 → 4224.5)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.6% 4010.3 → 4224.5)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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That longtime crutch of equities markets — the fundamentals of EPS / revenue beats versus low-bar expectations — has been flipped on its head. Recently, we’ve seen an earnings revision upgrade dynamic acting as a headwind, particularly in the crowded market leadership of growth tech, comms services, story stocks and AI themes. Crowded growth shares and tech longs are actually putting up good enough numbers but still not being rewarded by the market, especially when EPS beats but revenue misses. You can feel it in the PNL and you can see it in the intraday behaviors and end-of-day performance of late. A bunch of the stuff that’s been high Sharpe over parts of the year has recently turned high vol; that’s bad news. The implications for systematic flows are potentially bearish. If single-name vols jump, that could elicit an expansion for index realized vol, which could in turn dictate mechanical de-leveraging from vol control cohorts — Charlie McElligott, Nomura
Have we ever seen a bear steepener after the end of a tightening regime? Yes; once in 1969.
Have we ever seen a bear steepener after the end of a tightening regime? Yes; once in 1969. Back then, 10-year yields continued to rise and the curve bear steepened for around three months after peak tightening, coinciding with the beginning of a recession So, it’s hard to say whether that bear steepener petered out or was simply disrupted by the presence of a downturn - JP Morgan
The biggest flow story right now is money gravitating to extend duration in Treasurys.
The biggest flow story right now is money gravitating to extend duration in Treasurys. Long duration Treasury funds took in $5.6 billion last week, the largest inflow on record and the most since the SVB meltdown. The mix of heightened geopolitical tensions and surging yields in the US has made US bonds a dominant source of inflows. So far, the knife catchers are long and wrong - Bank of America
We think the hard landing probability is higher than consensus and say ‘sell the last hike’
We think the hard landing probability is higher than consensus and say ‘sell the last hike’ in an inflationary backdrop as higher-for-longer rates are required to tame inflation. In this environment the 3Cs are credit, crude, and the consumer; of which two are perhaps signaling slower growth. Defaults are obviously subdued, but they’re rising. As for crude, the lack of a war bid is a recessionary sign - Bank of America

Week Ahead

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Earnings report will continue at full force next week, with investors anticipating updates from major companies, including Apple Inc, Airbnb, Advanced Micro Devices, Amgen, Caterpillar Inc, Etsy, Eli Lilly and Co, Liberty Global, McDonald's Corp, Moderna, Novo Nordisk, PayPal, Pinterest, Pfizer, Starbucks. Additionally, all eyes will be on the US FOMC meeting, where policymakers are expected to maintain interest rates, the focal points will include expectations for the December meeting, and any clues regarding the conditions required for the FOMC to initiate rate cuts in the coming year. Turning to economic data, the US jobs report will likely reveal a 172K increase in non-farm payrolls for October, far below a 336K jobs in September. The unemployment rate is forecast to hold steady at 3.8%, with monthly wage growth expected to rise to 0.3% from 0.2%. Other releases to watch for include October's ISM PMI surveys, JOLTs job openings, Q3 employment cost index and productivity, Case-Shiller home prices, ADP Employment Change, factory orders, and regional activity indexes such as the Dallas Fed Manufacturing Index and Chicago PMI - Trading Economics

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Calendar (UTC-4)
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- TradingEconomics
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Global Macro
Global Economic Indicators
Global Economic Indicators

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔴
238.46
238.95
228.39
January 1, 2023
Forward 4-qtr PE
🔴
17.3
17.6
17.2
January 1, 2023
Nominal Earnings Yield
🔵
5.79
5.66
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔵
18.3
17.49
0.81
4.83%
SPX GEX Flip
🔴
4,287.5
4,332.5
-45
-1.04%
SPX Skew Adjusted GEX
🔵
-14,135,252,069
-16,084,681,354
1,949,429,285
12.12%
Equity Put/Call Ratio (CBOE)
🔵
0.82
0.76
0.06
7.89%
VIX Put/Call Ratio (CBOE)
🔴
0.53
0.87
-0.34
-39.08%
SPX/W Put/Call Ratio (CBOE)
🔵
1.55
1.27
0.28
22.05%
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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Dec E-mini S&P 500 futures ended the session at a one month low of 4137.75 Friday, dropping by 18.75. Across all maturities, the session saw a heavy 2,203,168 contracts done, with Dec volume coming in at 2,195,767. Overall open interest lost 1,201, or 0.0549%, to 2,188,163. Dec shed 2,066 (0.0957%), finishing at 2,157,439.
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The Oct E5A 3475 put saw the most changing hands with 91,684 contracts done. For Dec options, the 4500 calls were the most active with 3,387 changing hands, and the high volume put was the 4000 strike with 6,075 contracts traded. Option open interest is highest for the Dec 4500 calls at 25,021, and the Oct E5A 3475 puts at 92,901.
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Implied Volatility finished the day slightly higher with the 30-day at-the-money up 0.13%, to settle at a one month high of 18.28%. The 30-day historical volatility finished the day down by 0.0339% to 13.23%.
Higher TF (W → D)
Higher TF (W → D) BEARISH - The 3yr trailing 4150 HVN and VWAPs anchored to the ATH and OCT 2022 LO, respectively, have converged near the top of the first Higher TF demand zone and position of close. The market is oversold, but momentum has yet to moderate. The lack of an excess low also suggests unfinished business below. Loss of the May 24th pullback HL, 4114 (yellow circled), risks the 4062.25 May LO; which in turn creates scope for a “3-handle” washout. Higher TF sellers remain in control absent of a confirmed HL that results in a bullish break of structure > LH 4430.5 (+7.08%). The current correction structure will not likely conclude with a “V”; but what if it does?
Lower TF (3H → M30)
Lower TF (3H → M30) BEARISH - The most objective confirmation of a trend is price action that results in pulling value directionally. We can readily observe this stair-stepped value decline on the DTF (pane 2). The first sign of trend cessation will be the recapture of the WVAL 4179.50, and a break of structure > LH 4205 (circled) on a closing basis. This would advertise an entry point for responsive buyers and enable the start of a new accumulation phase. That said, Lower TF countertrends serve to facilitate Higher TF pullbacks, and will likely be sold whilst the negative gamma regime remains in effect below 4308 (+4.11% with increased exposure).

Bull v Bear

This Week (30d ATM IV 18.06% v 30d RVOL 12.92%)
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Bulls will seek to recapture WVAL 4178.25 (+0.98%) on a closing basis. Upside: LL 4213.25 (+1.82%) is within +1σ (W) 4243 (+2.54%). 200d MA 4274 (+3.29%); WHI 4290.50 (+3.69%).
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Bears will seek to extend downside continuation and cause BOS < HL 4114 (-0.57%) on a closing basis. Downside: May LO 4062.25 (-1.82%) is within -1σ (W) 4037 (-2.43%); 4000 (-3.33%).
Last Week (4248.50 DEC23 -2.01%)
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Bulls will seek to recapture 4300 (+1.21%) on a closing basis. Upside: WVAL 4331 (+2.0%) is within +1σ (W) 4359 (+2.6%). 50d MA 4414 (+3.91%); WHI 4423.25 (4.11%).
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Bears will seek to establish price acceptance below 4200 (-1.44%). Downside: Q422 Anchored VWAP (and multi-year HVN) 4155.25 (-2.19%) is within -1σ (W) 4143 (-2.48%)

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
⚪️ Normal
🔴
8.13
10.67
-23.81
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
1.99
1.85
7.57
0
0
Intermediate Term Optimism Index
🟢 Pessimism
🔴
33
34
-2.94
65
35
CRB Optix
⚪️ Normal
⚪️
49
49
0
60
40
Bond Optix
🟢 Pessimism
🔵
24
22
9.09
70
40
HYG Optix
⚪️ Normal
🔵
41.57
36.87
12.75
80
20
US Dollar Optix
🔴 Optimism
⚪️
60
60
0
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
⚪️
1
1
0
0
0
Crude Oil Optix
⚪️ Normal
🔴
57
60
-5
60
30
Gold Optix
⚪️ Normal
🔵
58
52
11.54
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
🟢 Pessimism
🔵
0.82
0.76
7.89
0.5
0.75
VIX Put/Call Ratio
⚪️ Normal
🔴
0.53
0.87
-39.08
0.35
0.75
Stock Bond Ratio
⚪️ Normal
🔴
0.8
1.72
-53.49
2
-2
GEX / Market Cap Ratio
🟢 Pessimism
🔴
-0.02
0
-Infinity
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
⚪️ Normal
🔴
3.12
3.24
-3.7
2.75
3.25
Risk Appetite Index
⚪️ Normal
🔴
0.42
0.43
-2.33
0.8
0.2
MOVE Index
🟢 Pessimism
🔴
129.16
135.45
-4.64
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-16.96
-16.37
-3.6
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔴
0.96
0.97
-1.03
0.8
1
Component Correlation
⚪️  Normal
🔴
0.39
0.41
-4.88
0.35
0.55
Gamma Exposure (x000)
🟢  Pessimism
🔴
-9,430,420
-183,334
95.08
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔵
527.25
525.96
0.25
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
🟢 Pessimism
🔴
10.38
16.17
-35.81
70
30
SPY Breadth (% > 200d MA)
🟢 Pessimism
🔴
24.65
32.87
-25.01
70
30
NYSE TRIN
⚪️ Normal
🔴
0.96
1.43
-32.87
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔴
673,437
676,257
-0.44
0
0
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Sources

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