Market Wrap
Narratives
Week Ahead
Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 4-qtr Estimate | 🔴 | 242.92 | 243.52 | 243.98 | January 1, 2024 |
Forward 4-qtr PE | 🔵 | 19.9 | 19.6 | 20.16 | January 1, 2024 |
Nominal Earnings Yield | 🔴 | 5.02 | 5.09 | 5.19 | January 1, 2024 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔵 | 10.87 | 10.48 | 0.39 | 3.72% |
SPX GEX Flip | 🔵 | 4,772.5 | 4,747.5 | 25 | 0.53% |
SPX Skew Adjusted GEX | 🔴 | -1,728,307,087 | -1,695,277,435 | -33,029,652 | -1.95% |
Equity Put/Call Ratio (CBOE) | 🔴 | 0.59 | 0.83 | -0.24 | -28.92% |
VIX Put/Call Ratio (CBOE) | 🔵 | 0.37 | 0.19 | 0.18 | 94.74% |
SPX/W Put/Call Ratio (CBOE) | 🔴 | 1.27 | 1.34 | -0.07 | -5.22% |
Futures
Bull v Bear
This Week (30d ATM IV 10.34% v 30d HV 9.85%)Bulls will seek to extend WTF 1TFU and establish price acceptance above WHI 4874.25. Upside: 4900.00 (+0.63%) is within +1σ (W) 4947 (+1.59%).Bears will seek to recapture DTF 1TFD on a closing basis, coinciding with closure < WMID 4810.25. Downside: GEX Flip 4800 (-1.43%) is within -1σ (W) 4795 (-1.53%).
Last Week (4869.50 MAR24 +1.09%)Bulls will seek to extend WTF 1TFU > 4838 on a closing basis. Upside: 4841.50 ETH HI (+0.52%) is within +1σ (W) 4889 (+1.51%); 4900 is within +2σ (W) 4962 (+3.02%).Bears will seek to recapture DTF 1TFD on a closing basis. Downside: GEX Flip 4780.50 (-0.75%), 4767.50 HL (-1.02%), and 4754.25 (-1.29%) arewithin-1σ (W) 4746 (-1.46%).
Indicators
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Current Year Performance | ⚪️ Normal | 🔵 | 2.04 | 0.86 | 137.21 | 10 | -10 | ||
Average of All Years | ⚫️ Index (N/A) | 🔴 | -0.14 | -0.12 | -16.67 | 0 | 0 | ||
Intermediate Term Optimism Index | ⚪️ Normal | ⚪️ | 64 | 64 | 0 | 65 | 35 | ||
CRB Optix | ⚪️ Normal | 🔵 | 43 | 42 | 2.38 | 60 | 40 | ||
Bond Optix | 🟢 Pessimism | 🔴 | 28 | 32 | -12.5 | 70 | 40 | ||
HYG Optix | ⚪️ Normal | 🔴 | 54.7 | 69.97 | -21.82 | 80 | 20 | ||
US Dollar Optix | ⚪️ Normal | 🔵 | 49 | 45 | 8.89 | 60 | 40 | ||
BBB - AAA Corporate Bond Spread | ⚫️ Index (N/A) | ⚪️ | 0.79 | 0.79 | 0 | 0 | 0 | ||
Crude Oil Optix | ⚪️ Normal | ⚪️ | 41 | 41 | 0 | 60 | 30 | ||
Gold Optix | ⚪️ Normal | 🔴 | 58 | 61 | -4.92 | 70 | 30 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
US Put / Call Option Volume | ⚪️ Normal | 🔴 | 0.76 | 0.88 | -13.64 | 0.7 | 1 | ||
SPY Optix | 🔴 Optimism | 🔵 | 80.87 | 59.28 | 36.42 | 80 | 20 | ||
Stock Bond Ratio | ⚪️ Normal | 🔵 | 1.94 | 0.38 | 410.53 | 2 | -2 | ||
GEX / Market Cap Ratio | ⚪️ Normal | 🔴 | 0.08 | 0.12 | -33.33 | 0.15 | 0.05 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Small Trader Put/Call Premium | ⚪️ Normal | 🔴 | 0.45 | 0.53 | -15.09 | 0.4 | 0.6 | ||
Risk On/Off Index | 🔴 Optimism | 🔴 | 76.19 | 80.95 | -5.88 | 50 | 0 | ||
MOVE Index | 🟢 Pessimism | 🔴 | 104.97 | 106.51 | -1.45 | 60 | 100 | ||
2y / 10y Yield Curve | ⚫️ Index (N/A) | 🔴 | -26.62 | -20.72 | -28.47 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
VIX Term Structure | ⚪️ Normal | 🔵 | 0.87 | 0.85 | 2.35 | 0.8 | 1 | ||
Component Correlation | ⚪️ Normal | 🔴 | 0.46 | 0.47 | -2.13 | 0.35 | 0.55 | ||
Gamma Exposure (x000) | 🔴 Optimism | 🔴 | 4,204,740 | 5,882,970 | -20 | 4,000,000 | 1,000,000 | ||
Credit Default Swaps | ⚫️ Index (N/A) | 🔵 | 354.99 | 353 | 0.56 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
SPY Breadth (% > 50d MA) | 🔴 Optimism | 🔴 | 75.15 | 83.27 | -9.75 | 70 | 30 | ||
SPY Breadth (% > 200d MA) | 🔴 Optimism | 🔴 | 71.08 | 75.7 | -6.1 | 70 | 30 | ||
NYSE TRIN | ⚪️ Normal | 🔴 | 0.99 | 1.43 | -30.77 | 0.5 | 2 | ||
NYSE Advance Decline | ⚫️ Index (N/A) | 🔴 | 690,989 | 692,577 | -0.29 | 0 | 0 |
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- Narratives - Heisenberg Report
- Week Ahead - Trading Economics
- Earnings - FactSet & LESG IBES
- Options - tradingvolatility.net
- Futures - CME Group
- Indicators - Sundial Capital Research