S&P 500 Futures
S&P 500 Futures
Week of Nov 05 2023

Week of Nov 05 2023

Market Wrap

Weekly Benchmarks -
Weekly Benchmarks - @Koyfin
Weekly Factors vs. S&P 500 -
Weekly Factors vs. S&P 500 - @Koyfin
Weekly Performance -
Weekly Performance - @Koyfin

Narratives

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PNL protection from traders looking to manage their year performance and monetize rare winning trades in the macro space certainly contributed to the substantial reversal / everything move, with shorts and steepeners getting unwound and/or stopped-out. Whether this rally can sustain comes down to whether or not traders have the PNL to get constructive and still take some shots into a calendar that is closing fast and/or similarly, whether leveraged funds / macro have the PNL to look to fade an overshoot in the trade and play for a range-y resumption of a selloff or re-steepening in the weeks ahead — Charlie McElligott, Nomura
Anytime you get a positioning purge or even just a broad-based de-risking, any subsequent rally hurts because everyone’s underexposed. Asset managers had cut positioning by more than $60b over three months, according to CFTC data, while vol control de-allocated to the tune of $54b and CTAs sold more than $21b. The seeds were planted for reversal flow -
Anytime you get a positioning purge or even just a broad-based de-risking, any subsequent rally hurts because everyone’s underexposed. Asset managers had cut positioning by more than $60b over three months, according to CFTC data, while vol control de-allocated to the tune of $54b and CTAs sold more than $21b. The seeds were planted for reversal flow - Nomura
There’s still scant evidence to suggest a US recession is any semblance of imminent and everyone now expects a big year-end rally. Oil’s failure to surge into triple digits, along with longer-end US yields failing to hold a five-handle, together bode well, at least for a tactical trade. The Bull & Bear Indicator gave a third straight contrarian buy signal registering 1.4 this week -
There’s still scant evidence to suggest a US recession is any semblance of imminent and everyone now expects a big year-end rally. Oil’s failure to surge into triple digits, along with longer-end US yields failing to hold a five-handle, together bode well, at least for a tactical trade. The Bull & Bear Indicator gave a third straight contrarian buy signal registering 1.4 this week - Bank of America
Since 1932, the S&P 500 has averaged a 7% return in the 12 months preceding the election compared with a 9% average return outside of election years and pre-election returns have been even weaker in recent history, with the S&P posting an average return of just 4% in the 12 months ahead of the 10 presidential elections since 1984 -
Since 1932, the S&P 500 has averaged a 7% return in the 12 months preceding the election compared with a 9% average return outside of election years and pre-election returns have been even weaker in recent history, with the S&P posting an average return of just 4% in the 12 months ahead of the 10 presidential elections since 1984 - Goldman Sachs

Week Ahead

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Next week, investors will eagerly await the release of updated earnings results from key companies, including Berkshire Hathaway, Activision Blizzard, Viatris, Gilead Sciences, Lucid Group, Uber, Twilio, Unity Software, The Walt Disney Co, Take-Two Interactive Software, AMC Entertainment, Fiverr International, and Illumina. Additionally, remarks from US policymakers, including Fed Chair Powell, will take center stage as investors seek insights into the future direction of monetary policy. Meanwhile, the economic calendar is relatively light, with preliminary estimate of Michigan consumer sentiment for November, foreign trade figures, IBD/TIPP economic optimism index, and the weekly jobless claims report. US consumer sentiment is expected to remain at October's five-month low, while the trade deficit likely widened to $60.2 billion in September from $58.3 billion in August - Trading Economics
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Calendar (UTC-4)
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- TradingEconomics
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Macro Dashboard
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- @Koyfin

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔴
237.2
238.46
228.39
January 1, 2023
Forward 4-qtr PE
🔵
18.4
18
17.2
January 1, 2023
Nominal Earnings Yield
🔴
5.43
5.79
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
13.38
18.3
-4.92
-26.890000000000004%
SPX GEX Flip
⚪️
4,287.5
4,287.5
0
0%
SPX Skew Adjusted GEX
🔵
929,485,519
-14,135,235,069
15,064,720,588
106.58%
Equity Put/Call Ratio (CBOE)
🔴
0.54
0.82
-0.28
-34.15%
VIX Put/Call Ratio (CBOE)
🔵
0.74
0.53
0.21
39.62%
SPX/W Put/Call Ratio (CBOE)
🔴
1.43
1.55
-0.12
-7.74%
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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For the fifth consecutive session, E-mini S&P 500 futures closed higher, with the Dec contract settling Friday at 4376.00, up by 40.25. Overall volume was 1,808,861, with the Dec maturity seeing 1,803,552 traded. Total open interest increased by 3,900, or 0.18%, to end the session with 2,166,779 outstanding. The Dec maturity added 0.12% (3,900) to finish at 2,128,856.
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Option volumes were greatest for the Nov E1A 4520 call (20,381) and the Nov E1A 4300 put (25,036). For Dec options, the 4600 calls were the most actively traded with 9,633 done, and the high volume put was the 4000 strike with 5,778 contracts changing hands. Options with the greatest open interest are the Dec 4500 call with 27,482, and the Dec EW3 3350 put with 69,297.
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E-mini S&P 500 implied volatility finished moderately down as the 30-day at-the-money fell by 0.78% to close the day at 12.48%, a one month low. Historical volatility (30-day) finished the day at 14.96%, adding 0.21%, to a one month high. The volatility spread (30-day, IV-HV) finished at a one month low of -2.48%, having dropped 1.00%.
Higher TF (W → D)
Higher TF (W → D) BEARISH - W44s extraordinary 6% Gap Up Relief Rally is best contextualized by comparing the two most recent prior occurrences (red circled, pane 2), both of which unfolded during the 2022 bear market and preceded lower lows. These rallies, including last week, occurred within Higher TF bearish structure; each stopped short of clearing the LH that caused their LL reversal pivot. Notice also that WHI 4374.25 coincided with 3 Higher TF levels of interest: (1) the 50d MA 4377; (2) the Q3 Correction Halfback 4378.50; and (3) the broken 2023 Demand Line. But unlike 2022, W44s closing distance to cause a Break of Structure (BOS) above LH 4430.50 is considerably smaller (+1.25%), and with a supportive tailwind from NOV → DEC seasonality.
Lower TF (3H → M30)
Lower TF (3H → M30) NEUTRAL - Prior week downtrend cessation was confirmed with the Break of Structure > LH 4205, coincidental to the halfback of the 4290.5 → 4122.25 swing structure (red circled, pane 1). The green circle in pane 2 highlights initiative price action at Wednesday’s RTH open, indicative of bullish positioning pre-FOMC. The trailing 2mo structure (pane 1) also highlights a breakdown failure below its value area (< 4207). These failures create scope for retracing the opposite end of the range, and 2mo VAH is where profit taking and supply began to absorb laggard buyers on Friday. Lastly, we once again observe early signs of diverging momentum (but only on the M30); last week momentum divergence was evident on the higher 3H timeframe.

Bull v Bear

This Week (30d ATM IV 12.48% v 30d RVOL 14.96%)
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Bulls will seek to extend upside > WHI on a closing basis. Upside: LH 4430.50 gap closure is within +1σ (W) 4436.5 (+1.78%). 4500 and JHEQX NOV short call (+2.63%).
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Bears will seek to cause cessation of DTF 1TFU. Downside: Negative GEX < 4325.00 is within -1σ (W) 4301 (-1.71%). 200d MA 4274.00 (-2.33%); WVPOC.1 4264 (-2.55%).
Last Week (4376.00 DEC23 +5.02%)
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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%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔵
13.85
8.13
70.36
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
2.63
1.99
32.16
0
0
Intermediate Term Optimism Index
⚪️ Normal
🔵
53
33
60.61
65
35
CRB Optix
⚪️ Normal
🔴
48
49
-2.04
60
40
Bond Optix
⚪️ Normal
🔵
43
24
79.17
70
40
HYG Optix
🔴 Optimism
🔵
95.28
41.57
129.2
80
20
US Dollar Optix
⚪️ Normal
🔴
56
60
-6.67
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔵
1.03
1
3
0
0
Crude Oil Optix
⚪️ Normal
🔴
51
57
-10.53
60
30
Gold Optix
⚪️ Normal
🔴
57
58
-1.72
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
⚪️ Normal
🔴
0.54
0.82
-34.15
0.5
0.75
VIX Put/Call Ratio
⚪️ Normal
🔵
0.74
0.53
39.62
0.35
0.75
Stock Bond Ratio
⚪️ Normal
🔵
1.13
0.8
41.25
2
-2
GEX / Market Cap Ratio
⚪️ Normal
🔵
0.07
-0.02
450
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 13-weeks (Futures & Options)
S&P 500 E-Mini COT Trailing 13-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 13-weeks (Futures & Options)
Nasdaq E-Mini COT Trailing 13-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
🔴 Optimism
🔴
2.74
3.12
-12.18
2.75
3.25
Risk Appetite Index
⚪️ Normal
🔵
0.47
0.42
11.9
0.8
0.2
MOVE Index
🟢 Pessimism
🔴
118.74
129.16
-8.07
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-27.04
-16.96
-59.43
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔴
0.87
0.96
-9.37
0.8
1
Component Correlation
⚪️  Normal
🔵
0.42
0.39
7.69
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔵
3,334,310
-9,430,420
133.33
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
464.42
527.25
-11.92
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔵
50.5
10.38
386.51
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔵
44.08
24.65
78.82
70
30
NYSE TRIN
⚪️ Normal
🔵
1.06
0.96
10.42
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
681,093
673,437
1.19
0
0
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Sources

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