Market Wrap
Narratives
Week Ahead
In terms of economic data from the United States, the ISM Services PMI survey is expected to show an increase in activity growth for January, after a significant slowdown in December. Foreign trade data, RCM/TIPP Economic Optimism Index, and the final reading of S&P Global Services PMI will also be of interest to investors.
Additionally, in North America, important data includes Canada's employment figures, Ivey PMI survey, and foreign trade. In Latin America, investors will monitor Mexico's inflation rate and consumer morale, and Brazil's CPI data, trade balance, and retail sales. (Source: Trading Economics)
Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 4-qtr Estimate | 🔴 | 241.97 | 242.61 | 243.98 | January 1, 2024 |
Forward 4-qtr PE | ⚪️ | 20.2 | 20.2 | 20.16 | January 1, 2024 |
Nominal Earnings Yield | 🔴 | 4.88 | 4.96 | 5.19 | January 1, 2024 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔴 | 10.43 | 10.87 | -0.44 | -4.05% |
SPX GEX Flip | 🔵 | 4,952.5 | 4,877.5 | 75 | 1.54% |
SPX Skew Adjusted GEX | 🔵 | -4,114,526,777 | -4,746,293,052 | 631,766,275 | 13.31% |
Equity Put/Call Ratio (CBOE) | ⚪️ | 0.62 | 0.62 | 0 | 0% |
VIX Put/Call Ratio (CBOE) | ⚪️ | 0.9 | 0.9 | 0 | 0% |
SPX/W Put/Call Ratio (CBOE) | ⚪️ | 1.3 | 1.3 | 0 | 0% |
Futures
Bull v Bear
This Week (30d ATM IV 10.85% v 30d HV 10.80%)Bulls will seek to extend WTF 1TFU and establish price acceptance above 5000. Upside: 5013.75 (61.8%) breakout extension is is well within +1σ (W) 5062.00 (+1.64%).Bears will seek to recapture DTF 1TFD and recapture negative GEX below 4900 on a closing basis. Downside: WLO 4866 (-2.29%)is beyond -1σ (W) 4900 (-1.61%).
Last Week (4980.25 MAR24 +1.29%)Bulls will seek to extend WTF 1TFU and establish price acceptance above WHI 4934.25. Upside: 4977 Put Wall (+1.24%) is within +1σ (W) 4994 (+1.58%).Bears will seek to recapture DTF 1TFD and break below WVAL 4883 on a closing basis. Downside: GEX Flip 4864.50 (-1.05%) iswithin-1σ (W) 4841 (-1.53%).
Indicators
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Current Year Performance | ⚪️ Normal | 🔵 | 4.55 | 3.12 | 45.83 | 10 | -10 | ||
Average of All Years | ⚫️ Index (N/A) | 🔵 | 0.33 | -0.23 | 243.48 | 0 | 0 | ||
Intermediate Term Optimism Index | 🔴 Optimism | ⚪️ | 73 | 73 | 0 | 65 | 35 | ||
CRB Optix | ⚪️ Normal | ⚪️ | 46 | 46 | 0 | 60 | 40 | ||
Bond Optix | 🟢 Pessimism | 🔵 | 36 | 25 | 44 | 70 | 40 | ||
HYG Optix | ⚪️ Normal | 🔴 | 28.88 | 52.76 | -45.26 | 80 | 20 | ||
US Dollar Optix | ⚪️ Normal | 🔵 | 50 | 49 | 2.04 | 60 | 40 | ||
BBB - AAA Corporate Bond Spread | ⚫️ Index (N/A) | 🔴 | 0.75 | 0.78 | -3.85 | 0 | 0 | ||
Crude Oil Optix | ⚪️ Normal | 🔴 | 41 | 48 | -14.58 | 60 | 30 | ||
Gold Optix | ⚪️ Normal | ⚪️ | 56 | 56 | 0 | 70 | 30 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
US Put / Call Option Volume | ⚪️ Normal | ⚪️ | 0.8 | 0.8 | 0 | 0.7 | 1 | ||
SPY Optix | 🔴 Optimism | 🔵 | 81.73 | 57.24 | 42.78 | 80 | 20 | ||
Stock Bond Ratio | ⚪️ Normal | 🔴 | 1.63 | 2.18 | -25.23 | 2 | -2 | ||
GEX / Market Cap Ratio | ⚪️ Normal | 🔵 | 0.09 | 0.08 | 12.5 | 0.15 | 0.05 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Small Trader Put/Call Premium | ⚪️ Normal | 🔴 | 0.45 | 0.47 | -4.26 | 0.4 | 0.6 | ||
Risk On/Off Index | 🔴 Optimism | 🔵 | 76.19 | 71.43 | 6.66 | 50 | 0 | ||
MOVE Index | 🟢 Pessimism | 🔵 | 106.72 | 100.23 | 6.48 | 60 | 100 | ||
2y / 10y Yield Curve | ⚫️ Index (N/A) | 🔴 | -34.82 | -21.36 | -63.01 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
VIX Term Structure | ⚪️ Normal | 🔵 | 0.89 | 0.88 | 1.14 | 0.8 | 1 | ||
Component Correlation | ⚪️ Normal | 🔴 | 0.44 | 0.45 | -2.22 | 0.35 | 0.55 | ||
Gamma Exposure (x000) | 🔴 Optimism | 🔵 | 4,546,960 | 4,216,360 | 0 | 4,000,000 | 1,000,000 | ||
Credit Default Swaps | ⚫️ Index (N/A) | 🔵 | 351.36 | 350.33 | 0.29 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
SPY Breadth (% > 50d MA) | ⚪️ Normal | 🔴 | 65.81 | 76.94 | -14.47 | 70 | 30 | ||
SPY Breadth (% > 200d MA) | 🔴 Optimism | 🔴 | 72.29 | 73.9 | -2.18 | 70 | 30 | ||
NYSE TRIN | ⚪️ Normal | 🔵 | 0.75 | 0.74 | 1.35 | 0.5 | 2 | ||
NYSE Advance Decline | ⚫️ Index (N/A) | 🔵 | 694,195 | 694,118 | 0 | 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