S&P 500 Futures
S&P 500 Futures
Week of Oct 15 2023

Week of Oct 15 2023

Market Wrap

EOW 41 - Benchmarks
EOW 41 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.2% 4232.6 → 4423.0)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.2% 4232.6 → 4423.0)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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Our rates strategists expect nearly $2 trillion of Treasury issuance in calendar year 2023, with $1.6 trillion of issuance already completed through September. Treasury issuance during calendar year 2022 totaled $1.4 trillion. This increasing issuance alongside quantitative tightening has led investors to worry about a supply/demand imbalance in Treasury bonds. However, Treasury yields are likely to remain contained given the attractive risk/reward of owning a “risk free” asset yielding well in excess of the economy’s potential growth rate. Of course, lower bond yields — whatever the cause — are bullish for equities at this juncture — David Kostin, Goldman Sachs

The broader market is telling a much different story than the cap-weighted S&P and the Nasdaq 100. The average stock is roughly flat on the year as is the S&P 500 excluding a handful of mega-cap tech leaders. 60+% of the S&P is already below the 200-day moving average, reflective of a weaker breadth backdrop-
The broader market is telling a much different story than the cap-weighted S&P and the Nasdaq 100. The average stock is roughly flat on the year as is the S&P 500 excluding a handful of mega-cap tech leaders. 60+% of the S&P is already below the 200-day moving average, reflective of a weaker breadth backdrop- Morgan Stanley
With the US Treasury in the process of issuing close to $2 trillion in new supply and inflation expectations relatively stable, it appears this move in yields is, in part, related to questions about the US government pushing the limit of its ability to spend without proper long term fiscal discipline and funding in place -
With the US Treasury in the process of issuing close to $2 trillion in new supply and inflation expectations relatively stable, it appears this move in yields is, in part, related to questions about the US government pushing the limit of its ability to spend without proper long term fiscal discipline and funding in place - Morgan Stanley
The “Magnificent 7” now account for 30% of S&P 500 market cap; up nearly 10% this year and above the highs seen in 2021. The Magnificent 7 accounted for 12% of 2022 S&P sales and 17% of EPS. By 2025, consensus expects mega-cap tech to contribute 15% of S&P sales and 24% of EPS -
The “Magnificent 7” now account for 30% of S&P 500 market cap; up nearly 10% this year and above the highs seen in 2021. The Magnificent 7 accounted for 12% of 2022 S&P sales and 17% of EPS. By 2025, consensus expects mega-cap tech to contribute 15% of S&P sales and 24% of EPS - Goldman Sachs

Week Ahead

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In the upcoming week, investors will be closely monitoring key speeches by several Federal Reserve policymakers to assess the potential trajectory of monetary policy in the coming months. Simultaneously, the third-quarter earnings season is in full swing, with anticipated reports from major companies, including Bank of America, Goldman Sachs, American Express, Morgan Stanley, Johnson & Johnson, Procter & Gamble, Netflix, Tesla, AT&T, Blackstone, Philip Morris International, Taiwan Semiconductor Manufacturing, Intuitive Surgical, and SLB. Turning to economic data, retail sales in September is expected to have grown by 0.2% last month, a slight slowdown from the 0.6% increase in August. Industrial production is also noteworthy, with expected growth of 0.1%, down from the 0.4% recorded in the previous period. The housing sector will be scrutinized as well, with attention on building permits and housing starts, and existing home sales. Additional data to follow includes business inventories, overall capital flows, the NAHB Housing Market Index, NY Empire State Manufacturing Index, and the Philadelphia Fed Manufacturing Index - Trading Economics

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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
⚪️
239.93
239.93
228.39
January 1, 2023
Forward 4-qtr PE
⚪️
18
18
17.2
January 1, 2023
Nominal Earnings Yield
🔴
5.53
5.55
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
14.61
15.4
-0.79
-5.13%
SPX GEX Flip
🔵
4,362.5
4,357.5
5
0.11%
SPX Skew Adjusted GEX
🔵
-351,112,632
-3,214,285,886
2,863,173,254
89.08%
Equity Put/Call Ratio (CBOE)
🔵
0.7
0.68
0.02
2.94%
VIX Put/Call Ratio (CBOE)
🔵
0.58
0.52
0.06
11.54%
SPX/W Put/Call Ratio (CBOE)
🔵
1.69
1.23
0.46
37.4%
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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Friday's E-mini S&P 500 market was lower with the Dec contract lower by 23.25 to 4357.25, a one week low. Total volume was a heavy 2,162,184, with the Dec contract seeing 2,159,101 done. Combined open interest rose by 15,887 (0.77%), with Dec adding 15,856, or 0.77%, to 2,069,865.
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Option trading centered around the Oct EW3 100 calls with 7,152 traded and the Oct E3A 3500 puts with volume of 74,053. Option open interest is greatest for the Oct EW3 100 calls at 36,744, and the Oct E3A 3500 puts at 85,674.
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E-mini S&P 500 implied volatility finished the session sharply higher as the 30-day at-the-money added 1.46% to close the day at 15.62%, a one week high. The 30-day historical volatility finished gaining 0.0273% to 11.67%. The 30-day 25-delta Risk Reversal ended the day sharply down, off 0.97% to settle at -4.67%, a one month low.
Higher TF (W → D)
Higher TF (W → D) NEUTRAL - The Yearly TF remains structurally bullish above of the Q322 Break of Structure (BoS) 4327.50 (-0.68%). This threshold, along with the 2023 Demand Line, was again retested and supportive at the margin. But the Intermediate TF remains bearish in absence of confirmed HL; preferably above the Demand Line and confirmed with closing > WHI 4419.75 (+1.43%). Price was rejected at the now declining 50d MA constituting a plausible breakout failure above the Oct VAH, but continues to be supported at the rising 200d MA 4265 (-2.12%): compression.
Lower TF (3H → M30)
Lower TF (3H → M30) NEUTRAL - S&P seasonality turns positive in the coming week, and the first indication of a responsive bid will be the recapture of the 50d MA/WHI 4430.50 (+1.68%) on a closing basis. Conversely, the weak position of close, outside and below the weekly value, and Lower TF 1TFD configuration suggests downside risk to the unmitigated ~4300 demand zone and WLO (-1.33%). Once again, a bearish leaning choppy environment remains likely between 4400 → 4300. The negative gamma regime remains in effect below 4392.50 (+0.89%) but with modest exposure.

Bull v Bear

This Week (30d ATM IV 15.62% v 30d RVOL 11.67%)
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Bulls will seek to recapture 4400 and ideally WHI/50d MA 4431 (+1.68%) on a closing basis. Upside: +1σ (W) 4458 (+2.31%). 4500 is below +2σ (W) 4560 (+4.65%).
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Bears will seek to break below 4300 (-1.31%) on a closing basis. Downside: 200d MA 4265 (-2.12%) is within -1σ (W) 4261 (-2.21%); WLO.1 4235.50 (-2.79%); 4200 (-3.61%).
Last Week (4341.50 DEC23 -0.01%)
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Bulls will seek to break HH 4371.25 (+0.69%) on a closing basis. Upside: Recapture 4400 is within +1σ (W) 4432 (+2.08%). 50d MA 4455 (+2.61%) < +2σ (W) 4523.50 (+4.19%).
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Bears will seek to recapture 4300 (-0.96%) on a closing basis. Downside: WLO 4235.50 (-2.44%) is beyond -1σ (W) 4254.50 (-2.00%). 4200 (-3.26%) > -2σ (W) 4168 (-4.00%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔵
13.06
12.61
3.57
10
-10
Average of All Years
⚫️ Index (N/A)
🔴
0.75
1.78
-57.87
0
0
Intermediate Term Optimism Index
⚪️ Normal
🔵
39
34
14.71
65
35
CRB Optix
⚪️ Normal
🔵
48
46
4.35
60
40
Bond Optix
🟢 Pessimism
🔵
24
17
41.18
70
40
HYG Optix
⚪️ Normal
🔵
32.04
31.04
3.22
80
20
US Dollar Optix
🔴 Optimism
🔵
64
61
4.92
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.97
0.98
-1.02
0
0
Crude Oil Optix
🔴 Optimism
🔵
61
56
8.93
60
30
Gold Optix
⚪️ Normal
🔵
46
37
24.32
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
⚪️ Normal
🔵
0.7
0.68
2.94
0.5
0.75
VIX Put/Call Ratio
⚪️ Normal
🔵
0.58
0.52
11.54
0.35
0.75
Stock Bond Ratio
⚪️ Normal
🔴
1.42
2.2
-35.45
2
-2
GEX / Market Cap Ratio
🟢 Pessimism
⚪️
0.03
0.03
0
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
🔵
3.15
2.93
7.51
2.75
3.25
Risk Appetite Index
⚪️ Normal
🔵
0.47
0.44
6.82
0.8
0.2
MOVE Index
🟢 Pessimism
🔵
128.33
126.64
1.33
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-44.78
-28.46
-57.34
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔵
0.94
0.93
1.08
0.8
1
Component Correlation
⚪️  Normal
⚪️
0.38
0.38
0
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔴
1,238,460
1,304,730
0
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔵
498.72
492.12
1.34
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
🟢 Pessimism
🔵
26.6
18.16
46.48
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔵
39.36
38.55
2.1
70
30
NYSE TRIN
⚪️ Normal
🔵
0.8
0.67
19.4
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
679,386
678,971
0.15
0
0
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Sources

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