S&P 500 Futures
S&P 500 Futures
Week of Aug 27 2023

Week of Aug 27 2023

Market Wrap

EOW 34 - Benchmarks
EOW 34 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 1.9% 4322.0 → 4489.4)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 1.9% 4322.0 → 4489.4)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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Investors had already been pricing out policy easing in the near-term, but more recently have begun to focus on medium- to long-term rates as well. Can current levels of longer-term interest rates be sustained? We’ve noted on several occasions in the past that we believe this to be the case, largely because we believe there has been a structural shift higher in the equilibrium level of rates that the economy can tolerate. Chair Powell chose not to weigh in on the topic, instead noting uncertainty in the level of neutral rates and the duration of lags with which monetary policy operates. Irrespective of the stance policymakers may adopt on this topic, markets appear to have moved on — Praveen Korapaty, Goldman Sachs
Very long impulsive reallocation buying into equities over the past six months against a very low base vol risked a dynamic where it wouldn’t take a large vol squeeze to elicit a much larger sell flow out of the vol-control space. On Thursday we got that sell; a 2%ile de-allocation flow on a three-year lookback -
Very long impulsive reallocation buying into equities over the past six months against a very low base vol risked a dynamic where it wouldn’t take a large vol squeeze to elicit a much larger sell flow out of the vol-control space. On Thursday we got that sell; a 2%ile de-allocation flow on a three-year lookback - Nomura
There’s considerable upside risk for the greenback in next week’s data deluge.
There’s considerable upside risk for the greenback in next week’s data deluge. Any upside surprises, especially the NFP report, but also JOLTS and ISM manufacturing, could push September FOMC pricing higher, in addition to any beat on PCE inflation (Aug 31) or CPI inflation (Sep 13) - Goldman Sachs
Central bank balance sheets are down $3 trillion yet the Nasdaq wants new highs. We say tech equals H2 trouble rather than an era of new AI rules.
Central bank balance sheets are down $3 trillion yet the Nasdaq wants new highs. We say tech equals H2 trouble rather than an era of new AI rules. But when a correlation breaks down to the extent this one has in 2023, it’s fair to ask whether it’s still viable and, more to the point, whether it even matters - Bank of America

Week Ahead

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It's going to be a hectic week in the United States as investors keep a close eye on the labor report, PCE price index, personal income and spending data, JOLTS job openings, ISM Manufacturing PMI, and the second estimate of Q2 GDP growth.
  1. On the inflation front, July's PCED (Thu) should show that inflation eased for the second month in a row, as did the last two CPI readings. Nevertheless, this past Friday, Fed Chair Jerome Powell reiterated that he is watching the core services PCED excluding housing, which has been stuck around 4%-5% for the past 12 months. Just as important will be August's average hourly earnings (Fri) measure of wage inflation. It has moderated significantly since last summer down to 4.4% in July. Powell has previously said that he would like to see it fall to around 3.0%.
  2. This will also be a big week on the employment front. July's JOLTS report (Tue) will include job openings data. Two other series we track show that job openings remained elevated last month. August's consumer confidence report (Tue) will include a series for "jobs plentiful," which will be more current than the JOLTS series on job openings. Powell has repeatedly said that he would like to see fewer job openings to reduce the upward pressure on wages.
  3. Personal income and consumption expenditures (Thu) will be featured at the end of the week with the latter likely to show more spending on goods during July, reflecting the strength in the month's retail sales, which were boosted by Amazon's Prime Day. August's employment report (Fri) is likely to show a relatively moderate increase of less than 200,000 in payrolls and solid real wage gains. So the report should confirm that consumers' purchasing power from earned income is more than offsetting rapidly depleting pandemic-related excess saving and the resumption of student loan payments. However, August's auto sales (Fri) might weaken as tighter lending conditions are pumping the industry's brakes.
  4. July's national M-PMI (Fri) is likely to show that the rolling recession in the goods sector may be bottoming. July's construction spending (Fri) might have gotten a slight boost from residential construction and the building of new factories. We'll be looking for signs that commercial construction is getting hit by tighter lending conditions - Yardeni Research
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Calendar (UTC-4)
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- TradingEconomics
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US Macro
United States Economic Indicators
United States Economic Indicators

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔵
232.8
231.72
228.39
January 1, 2023
Forward 4-qtr PE
⚪️
18.9
18.9
17.2
January 1, 2023
Nominal Earnings Yield
🔴
5.28
5.3
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
13.44
14.35
-0.91
-6.34%
SPX GEX Flip
🔴
4,442.5
4,472.5
-30
-0.67%
SPX Skew Adjusted GEX
🔵
-7,519,334,506
-25,358,279,281
17,838,944,775
70.35%
Equity Put/Call Ratio (CBOE)
🔵
0.97
0.76
0.21
27.63%
VIX Put/Call Ratio (CBOE)
🔴
0.25
0.77
-0.52
-67.53%
SPX/W Put/Call Ratio (CBOE)
🔴
1.39
1.62
-0.23
-14.2%
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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Sep E-mini S&P 500 futures settled at 4414.25 Friday, adding 28.25, in higher trade across the board. Overall volume was 1,862,843, with the Sep maturity seeing 1,853,335 traded. Total open interest shed 12,111, or 0.54%, to end the session with 2,234,627 outstanding. The Sep maturity lost 0.64% (12,111) to finish at 2,193,298.
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Option trading centered around the August E4A 4425 calls with 7,489 changing hands and the August E5B 3725 puts with volume of 56,142. For Sep options, the 4450 calls were the most actively traded with 6,145 changing hands, and the high volume put was the 4350 strike with 4,740 contracts done. Calls with the highest open interest are the Sep 4700 strike (16,514), and for the puts are the August E5B 3725 strike (54,266).
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Implied Volatility was sharply down with the 30-day at-the-money off 1.42%, to end at a one week low of 13.24%. The 30-day historical volatility closed gaining 0.14% to a one month high of 10.74%.
Higher TF (W → D)
Higher TF (W → D) NEUTRAL - The multi-week pullback has retraced and closed below the July range triggering cessation of MTF 1TFU. W34s Inside Week structure is indicative of interim balance within the prior W33 range, and featured a precise rejection at the (now) flattening 50d MA, as well as a secondary test of the 4370 → 4400 Demand Zone. The negative gamma regime remains intact, which increases the correlation of delta hedging flows with the direction of the underlying. Sellers remain in control < 4500; structural weakness and the position of close invites range expansion < WLO → 4300.
Lower TF (3H → M30)
Lower TF (3H → M30) NEUTRAL - ”Due to the poor-man’s crash up move on Wednesday as well as the fuel from the week long, high conviction rally into the NVDA print, the expanded index range from Wednesday’s +1.1% move actually meant that vol control funds needed to de-allocate: -$20 billion went on sale on Thursday” - Charlie McElligott, Nomura. Thursday’s systematic selloff was followed by volatile price action on Friday more reflective of a thin book than a surprise arising from Jackson Hole. The V-shaped covering rally failed to close above 4427.75, and marks a Lower TF pivot for the coming week.

Bull v Bear

This Week (30d ATM IV 13.24% v 30d RVOL 10.74%)
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Bulls will seek to recapture DTF 1TFU > 4429 on a closing basis and ideally 4470. Upside: WHI 4485.50 → 50d MA 4487.50 are within +1σ (W) 4497 (+1.87%). WHI.1 4517.75 (+2.34%).
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Bears will seek to further extend 1TFD < WLO 4365.25 (-1.11%) on a closing basis. Downside: MLO 4350 is within -1σ (W) 4335 (-1.80%). Departure Gap and 4300 retest (-2.59%).
Last Week (4414.25 SEP23 +0.88%)
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Bulls will seek to recapture 4436.75 LH on a closing basis. Upside: WVAH 4463.25 (+1.83%). 50d MA 4484 (2.3%) is marginally above +1σ (W) 4473 (+2.06%).
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Bears will seek to further extend 1TFD < WLO 4350(-0.75%) and target the 4305.75 Departure Gap. Downside: < 4300 (-1.89%) is within -1σ (W) 4296 (-1.98%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔵
14.76
13.92
6.03
10
-10
Average of All Years
⚫️ Index (N/A)
🔴
3.07
3.24
-5.25
0
0
Intermediate Term Optimism Index
⚪️ Normal
⚪️
44
44
0
65
35
CRB Optix
⚪️ Normal
🔵
49
47
4.26
60
40
Bond Optix
🟢 Pessimism
🔵
23
19
21.05
70
40
HYG Optix
⚪️ Normal
🔵
66.03
32.48
103.29
80
20
US Dollar Optix
⚪️ Normal
🔵
52
50
4
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.93
0.94
-1.06
0
0
Crude Oil Optix
⚪️ Normal
🔴
49
52
-5.77
60
30
Gold Optix
⚪️ Normal
🔵
46
41
12.2
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
🟢 Pessimism
🔵
0.97
0.76
27.63
0.5
0.75
VIX Put/Call Ratio
🔴 Optimism
🔴
0.25
0.77
-67.53
0.35
0.75
Stock Bond Ratio
⚪️ Normal
🔴
1.22
1.51
-19.21
2
-2
GEX / Market Cap Ratio
🟢 Pessimism
🔵
0.03
0.01
200
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
🔴
2.79
2.97
-6.06
2.75
3.25
Risk Appetite Index
⚪️ Normal
🔴
0.68
0.84
-19.05
0.8
0.2
MOVE Index
🟢 Pessimism
🔴
110.37
120.51
-8.41
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-84.48
-69.22
-22.05
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔴
0.88
0.9
-2.22
0.8
1
Component Correlation
⚪️  Normal
🔴
0.37
0.39
-5.13
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔴
1,278,760
2,497,770
-50
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
438.28
454.81
-3.63
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔴
33.47
34.66
-3.43
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔴
52.1
54.2
-3.87
70
30
NYSE TRIN
⚪️ Normal
🔵
0.94
0.88
6.82
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔴
685,005
685,365
0
0
0
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Sources

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