S&P 500 Futures
S&P 500 Futures
Week of Jul 09 2023

Week of Jul 09 2023

Market Wrap

EOW 27- Benchmarks
EOW 27- Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.0% 4311.0 → 4487.0)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.0% 4311.0 → 4487.0)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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Given that June’s underwhelming payrolls report did nothing to dissuade the market from pricing in a 95% probability of a hike on July 26, we struggle to envision the CPI update will derail the Fed. As the market has absorbed the employment update and moved beyond the looming hike, the conversation will quickly turn to whether September’s meeting will be in play for the FOMC. In light of payrolls, the most relevant takeaways from CPI will be applied to a September hike scenario. Said differently, CPI will translate into a hawkish hike or a dovish hike as a function of the underlying details — Ian Lyngen and Ben Jeffery, BMO
The June print will be the trough for 2023 and H2 sees a rise back to 4% unless monthly prints gap lower to <0.2% very soon.
The June print will be the trough for 2023 and H2 sees a rise back to 4% unless monthly prints gap lower to <0.2% very soon. So far, inflation has been positive for EPS, and hence the Q1 EPS recession call was way off — over the past 18 months US core CPI was up 9%, S&P 500 EPS up 12.5% thus real EPS growth +3-4% since January of 2022 - Bank of America
Central banks have drained $170 billion in liquidity over the past two weeks, and we expect another $1 trillion in Q3.
Central banks have drained $170 billion in liquidity over the past two weeks, and we expect another $1 trillion in Q3. That’s why bond yields are up. The bank also sees financial conditions tightening from here driven by inflation, deficits and strong labor market data. The higher-for-longer/hard landing view is now entrenched - Bank of America
On a six-month rolling basis, the share of upgrades is rising.
On a six-month rolling basis, the share of upgrades is rising. That’s likely helping to bolster the mood among investors looking for an excuse to buy into a rally that’s already seen US shares re-rate meaningfully despite the Fed’s pretensions to an even higher terminal rate as well as relative tech performance being disconnected from relative profits - SocGen

Week Ahead

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In the US, the primary focus will be on the CPI figures. The headline annual inflation is projected to decline to 3.1% in June from 4% in the previous month, while the core index may fall to 5% from 5.3%. Investors will also closely watch speeches by several Fed officials, hoping to gain insights into the future trajectory of monetary policy. Other economic indicators to keep an eye on include producer and foreign trade prices, the preliminary estimate of Michigan Consumer Sentiment, and the government's monthly budget numbers for June. Finally, the second-quarter earnings season will start, with reports from prominent financial institutions such as Citigroup, JPMorgan Chase, and Wells Fargo, along with Delta Air Lines, PepsiCo, BlackRock, and UnitedHealth Group - TradingEconomics
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Calendar (UTC-4)
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- TradingEconomics
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Major Economies
-TradingEconomics
-TradingEconomics

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔵
230.26
224.01
228.39
January 1, 2023
Forward 4-qtr PE
🔴
19
19.9
17.2
January 1, 2023
Nominal Earnings Yield
🔵
5.23
5.03
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔵
12.1
10.7
1.4
13.08%
SPX GEX Flip
🔵
4,397.5
4,357.5
40
0.92%
SPX Skew Adjusted GEX
🔴
566,034,362
6,484,367,740
-5,918,333,378
-91.27%
Equity Put/Call Ratio (CBOE)
🔴
0.52
0.53
-0.01
-1.89%
VIX Put/Call Ratio (CBOE)
🔵
0.32
0.3
0.02
6.67%
SPX/W Put/Call Ratio (CBOE)
🔴
1.31
1.4
-0.09
-6.43%
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 a one week low of 4434.00 Friday, losing 13.00. Overall the session saw 1,693,641 contracts change hands, with Sep volume coming in at 1,691,644. Across all maturities, open interest fell by 19,261, or 0.87%, to end the session with 2,196,125 outstanding. The Sep maturity dropped 0.91% (19,261) to finish at 2,179,321.
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Option trading centered around the July E2A 4550 calls with 7,382 changing hands and the July E2B 3720 puts with volume of 26,770. Largest volumes in July option trading were seen in the 4550 calls (4,165) and the 4300 puts (6,228). Calls with the largest open interest are the July EW3 100 strike (19,591), and for the puts are the July E2B 3720 strike (26,776).
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E-mini S&P 500 implied volatility ended the session moderately down as the 30-day at-the-money fell by 0.35% to close the day at 11.90%. Down by 0.31% to a twelve year low, historical volatility (as measured by the 30-day) closed the session at 10.62%.
Longer TF (W → D)
Longer TF (W → D) BULLISH - July has begun with a secondary test and rejection from WHI.1 coincident with a prominent LTF Supply Zone (red highlighted, Pane 1), coupled with a retest and defense of June value. Will Q3 establish and maintain value above Q2, or will the noted divergence meet somewhere in between, inferring unfinished business below as we enter the Q2 earnings season? July is seasonally bullish (thru the 17th), and larger timeframe buyers remain control above the WLO.1 4368.50 (-1.48%), just within the -1σ (W) expected range.
Shorter TF (3H → M30)
Shorter TF (3H → M30) NEUTRAL - Friday’s unusual full range reversal is highlighted on Pane 2, and resulted in a weak close increasing the odds for continuation of the shorter timeframe counter-trend (facilitating a larger timeframe pullback). That said, the low-volume holiday week remained inside the prior week range, indicative of balance that will likely be resolved with upcoming week’s CPI catalyst. WLO 4419.50 (-0.33%) is a lower-low (LL) and technically weak; thus Shorter TF sellers are well positioned to break the WTF 1TFU configuration.

Bull v Bear

This Week (30d ATM IV 11.90% v 30d RVOL 10.62%)
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Bulls will seek to defend WLO.1 4368.50 (-1.48%) on further weakness. Upside: > WHI 4494 (+1.35%) and ideally 4500 on a closing basis are within the +1σ (W) 4512.50 (+1.77%).
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Bears will seek to break WLO.1 on a closing basis. Downside: < JUN VAL 4350 (-1.89%), marginally beyond the -1σ (W) expected range (-1.70%), begins repair of the Departure Gap.
Last Week (4434.00 SEP23 -0.03%)
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Bulls will seek to clear and build price acceptance > 4500 on a closing basis. Upside: > 4631 Q222 HI (+2.2%) is marginally within the +2σ (W) 4634 (+3.25%).
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Bears will seek to mean revert inside the trailing 4w VA (4371 → 4498). Downside: 4418.50 WPOC (-1.55%) coincides with the -1σ (W) expected range (-1.57%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔴
14.53
15.68
-7.33
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
2.64
1.87
41.18
0
0
Intermediate Term Optimism Index
🔴 Optimism
🔴
74
82
-9.76
65
35
CRB Optix
⚪️ Normal
⚪️
48
48
0
60
40
Bond Optix
🟢 Pessimism
🔴
19
26
-26.92
70
40
HYG Optix
⚪️ Normal
🔴
34.17
75.3
-54.62
80
20
US Dollar Optix
⚪️ Normal
🔴
45
48
-6.25
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.92
0.93
-1.08
0
0
Crude Oil Optix
⚪️ Normal
🔵
40
36
11.11
60
30
Gold Optix
⚪️ Normal
🔵
52
49
6.12
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
⚪️ Normal
🔴
0.52
0.53
-1.89
0.5
0.75
VIX Put/Call Ratio
🔴 Optimism
🔵
0.32
0.29
10.34
0.35
0.75
Stock Bond Ratio
🔴 Optimism
🔵
2.13
1.8
18.33
2
-2
GEX / Market Cap Ratio
⚪️ Normal
🔴
0.07
0.11
-36.36
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
🔵
2.86
2.68
6.72
2.75
3.25
Risk Appetite Index
🔴 Optimism
🔵
0.95
0.92
3.26
0.8
0.2
MOVE Index
🟢 Pessimism
🔵
130.41
110.64
17.87
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔵
-89.05
-106.3
16.23
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔵
0.86
0.85
1.18
0.8
1
Component Correlation
⚪️  Normal
🔴
0.47
0.49
-4.08
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔴
3,200,180
4,996,860
-25
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔵
453.04
429.71
5.43
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
🔴 Optimism
🔴
73.76
74.75
-1.32
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔴
64.67
66.67
-3
70
30
NYSE TRIN
⚪️ Normal
🔵
0.85
0.79
7.59
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔴
685,173
686,025
-0.15
0
0
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Sources

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