Market Wrap
Narratives
Week Ahead
As for economic data, headline inflation is set to rise for a second straight period to 3.4%, while the core rate is predicted to fall to 3.7%, its lowest since April 2021. On a monthly basis, both headline and core rates are expected to increase by 0.3%, a decrease from the 0.4% rise in February.
Additionally, the consumer confidence index is forecasted to slightly drop to 79.0 in April from a near three-year peak of 79.4 in the prior month. Other areas of focus will include producer and foreign trade prices, the government's monthly budget statement, and the RCM/TIPP Economic Optimism Index. (Source: Trading Economics)
Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 4-qtr Estimate | 🔵 | 251.58 | 242.94 | 243.98 | January 1, 2024 |
Forward 4-qtr PE | 🔴 | 20.6 | 21.6 | 20.16 | January 1, 2024 |
Nominal Earnings Yield | 🔵 | 4.84 | 4.62 | 5.19 | January 1, 2024 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔵 | 13.36 | 10.47 | 2.89 | 27.6% |
SPX GEX Flip | 🔵 | 5,207.5 | 5,197.5 | 10 | 0.19% |
SPX Skew Adjusted GEX | 🔵 | -407,214,929 | -1,630,502,938 | 1,223,288,009 | 75.03% |
Equity Put/Call Ratio | 🔵 | 0.71 | 0.56 | 0.15 | 26.789999999999996% |
VIX Put/Call Ratio | 🔵 | 1.13 | 0.27 | 0.86 | 318.52% |
SPX/W Put/Call Ratio | 🔵 | 1.66 | 1.39 | 0.27 | 19.42% |
Futures
Bull v Bear
This Week (30d ATM IV 13.32% v 30d HV 10.01%)Bulls will seek to recapture DTF 1TFU and ideally the 5308.50 HH on a closing basis. Upside: WHI & ATH 5333.50 (+1.53%) is within +1σ (W) 5353.00 (+1.90%).Bears will seek to expand the negative GEX < 5257 and ideally extend DTF 1TFD on a closing basis. Downside: < Poor WLO 5191.50 (-1.17%) is within -1σ (W) 5156.00 (-1.85%).
Last Week (5253.00 JUN24 -1.05%)Bulls will seek to extend WTF 1TFU > 5322.75 (+0.27%) on a closing basis. Upside: 5400 and 150% HTF PO 5461.50 (+2.88%) isabove+1σ (W) 5390.00 (+1.72%).Bears will seek to recapture DTF 1TFD and ideally offer < 5292.25 on a closing basis. Downside: < FVG LO 5244.75 is within within -1σ (W) 5229.00 (-1.50%).
Indicators
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Current Year Performance | ⚪️ Normal | 🔴 | 9.11 | 10.16 | -10.33 | 10 | -10 | ||
Average of All Years | ⚫️ Index (N/A) | 🔵 | 2.01 | 1.45 | 38.62 | 0 | 0 | ||
Intermediate Term Optimism Index | 🔴 Optimism | 🔴 | 69 | 74 | -6.76 | 65 | 35 | ||
CRB Optix | ⚪️ Normal | 🔵 | 54 | 52 | 3.85 | 60 | 40 | ||
Bond Optix | 🟢 Pessimism | 🔴 | 33 | 48 | -31.25 | 70 | 40 | ||
HYG Optix | ⚪️ Normal | 🔴 | 26.18 | 45.38 | -42.31 | 80 | 20 | ||
US Dollar Optix | ⚪️ Normal | 🔴 | 42 | 45 | -6.67 | 60 | 40 | ||
BBB - AAA Corporate Bond Spread | ⚫️ Index (N/A) | ⚪️ | 0.72 | 0.72 | 0 | 0 | 0 | ||
Crude Oil Optix | 🔴 Optimism | 🔵 | 65 | 59 | 10.17 | 60 | 30 | ||
Gold Optix | 🔴 Optimism | 🔵 | 73 | 69 | 5.8 | 70 | 30 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
US Put / Call Option Volume | ⚪️ Normal | 🔵 | 0.95 | 0.73 | 30.14 | 0.7 | 1 | ||
SPY Optix | ⚪️ Normal | 🔵 | 54 | 52.53 | 2.8 | 80 | 20 | ||
Stock Bond Ratio | ⚪️ Normal | 🔵 | 1.71 | 1.43 | 19.58 | 2 | -2 | ||
GEX / Market Cap Ratio | ⚪️ Normal | 🔴 | 0.06 | 0.11 | -45.45 | 0.15 | 0.05 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Small Trader Put/Call Premium | 🔴 Optimism | 🔴 | 0.39 | 0.43 | -9.3 | 0.4 | 0.6 | ||
Risk On/Off Index | 🔴 Optimism | ⚪️ | 95.24 | 95.24 | 0 | 50 | 0 | ||
MOVE Index | ⚪️ Normal | 🔵 | 94.31 | 86.38 | 9.18 | 60 | 100 | ||
2y / 10y Yield Curve | ⚫️ Index (N/A) | 🔵 | -35.1 | -42.38 | 17.18 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
VIX Term Structure | ⚪️ Normal | 🔵 | 0.93 | 0.86 | 8.14 | 0.8 | 1 | ||
Component Correlation | ⚪️ Normal | 🔵 | 0.37 | 0.35 | 5.71 | 0.35 | 0.55 | ||
Gamma Exposure (x000) | ⚪️ Normal | 🔴 | 3,504,910 | 5,832,130 | -40 | 4,000,000 | 1,000,000 | ||
Credit Default Swaps | ⚫️ Index (N/A) | 🔵 | 339.15 | 330.28 | 2.69 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
SPY Breadth (% > 50d MA) | 🔴 Optimism | 🔴 | 73.05 | 84.89 | -13.95 | 70 | 30 | ||
SPY Breadth (% > 200d MA) | 🔴 Optimism | 🔴 | 79.07 | 85.97 | -8.03 | 70 | 30 | ||
NYSE TRIN | ⚪️ Normal | 🔵 | 0.8 | 0.79 | 1.27 | 0.5 | 2 | ||
NYSE Advance Decline | ⚫️ Index (N/A) | 🔴 | 702,849 | 704,993 | -0.28 | 0 | 0 |
ALL CONTENT WITHIN THIS SITE IS SOLELY GENERATED AS OPINION FOR THE INTERNAL USE OF QUESTRA ADVISORS LLC ("QALLC").
NO PART OF THIS SITE SHOULD BE CONSIDERED AN OFFER TO BUY OR SELL ANY SORT OF SECURITY OR FINANCIAL PRODUCT. NO PART OF THIS SITE SHOULD BE CONSTRUED AS ADVISE OR A RECOMMENDATION FOR ANY SORT OF FINANCIAL TRANSACTION OR INVESTMENT ALLOCATION. FURTHERMORE, NO PART OF THIS SITE SHOULD BE CONSTRUED AS "RESEARCH" AS DESCRIBED BY FINRA/NYSE 472.
QALLC TRADES WITH ITS OWN CAPITAL; IT IS NOT A REGISTERED INVESTMENT ADVISOR, AND NOTHING IN QALLCs COMMENTARY IS INTENDED, AND IT SHOULD NOT BE CONSTRUED, TO BE INVESTMENT ADVICE. QALLCs COMMENTARY IS FOR INFORMATIONAL AND ENTERTAINMENT USE ONLY. ANY MENTION OF QALLCs COMMENTARY OF A PARTICULAR SECURITY, INDEX, DERIVATIVE, OR OTHER INSTRUMENT IS NEITHER A RECOMMENDATION BY QALLC TO BUY, SELL OR HOLD THAT SECURITY, INDEX, DERIVATIVE, OR OTHER INSTRUMENT, NOR DOES IT CONSTITUTE AN OPINION OF QALLC AS TO THE SUITABILITY OF THAT SECURITY, INDEX, DERIVATIVE, OR OTHER INSTRUMENT FOR ANY PARTICULAR PURPOSE. QALLC IS NOT IN THE BUSINESS OF GIVING INVESTMENT ADVICE OR ADVICE REGARDING THE SUITABILITY FOR ANY PURPOSE OF ANY SECURITY, INDEX, DERIVATIVE, OTHER INSTRUMENT OR TRADING STRATEGY, AND NOTHING IN QALLCs COMMENTARY SHOULD BE SO USED OR RELIED UPON.
QALLC HEREBY EXPRESSLY DISCLAIMS ANY AND ALL REPRESENTATIONS AND WARRANTIES THAT: (a) THE CONTENT OF ITS WEEKLY REPORTS ARE CORRECT, ACCURATE, COMPLETE, OR RELIABLE; (b) ANY OF ITS WEEKLY REPORTS WILL BE AVAILABLE AT ANY PARTICULAR TIME OR PLACE, OR IN ANY PARTICULAR MEDIUM; AND (c) THAT ANY OMISSION OR ERROR IN ANY OF ITS WEEKLY REPORTS WILL BE CORRECTED.
- Narratives - Heisenberg Report
- Week Ahead - Trading Economics
- Earnings - FactSet & LESG IBES
- Options - tradingvolatility.net
- Futures - CME Group
- Indicators - Sundial Capital Research