S&P 500 Futures
S&P 500 Futures
Week of Feb 05 2003

Week of Feb 05 2003

Market Wrap

EOW 05 - Benchmarks
EOW 05 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.7% 4027.7 → 4248.1)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.7% 4027.7 → 4248.1)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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Last year’s winners (so, low vol names, defensives and quality) are under pressure, concurrent with rallies across some of 2022’s consensus “trash” shorts, which are swept up in an increasingly speculative, unstable squeeze. Stocks have been crashing-up on a force-in, with all-time record call volumes seen yesterday in US equities options, yet against mechanical risk management-induced de-grossing as evidenced by multiple Momentum / Low Risk / 1m Reversal Factor implosions. Funds are trying to net-up, but the capitulatory cover and grab is contributing to the increase in implied vol, which in turn feeds into gross-down pressures, as your portfolio vol expands through your risk budget - Charlie McElligott, Nomura
The spread between BBB credit and T-bills is now just 60bps, the lowest in 40 years. In fact, if you leverage series from Global Financial Data to construct a longer-term chart, the current spread is among the lowest in a century. It’s so rare; such greed has historically preceded tops and crashes - BofA
The spread between BBB credit and T-bills is now just 60bps, the lowest in 40 years. In fact, if you leverage series from Global Financial Data to construct a longer-term chart, the current spread is among the lowest in a century. It’s so rare; such greed has historically preceded tops and crashes - BofA
Relative to real interest rates, the valuation of the S&P ranks in the 84th percentile. Stocks are trading on an even higher relative multiple if one accounts for the fact that most investors appear to expect earnings well below those of analyst estimates - Goldman Sachs
Relative to real interest rates, the valuation of the S&P ranks in the 84th percentile. Stocks are trading on an even higher relative multiple if one accounts for the fact that most investors appear to expect earnings well below those of analyst estimates - Goldman Sachs
A soft landing is already priced in the US equity market; multiples have expanded well beyond what could plausibly be justified by the drop in real yields in January. US equities are now trading at 18x forward earnings. If a benign macro outcome is already in the price, there’s not much fundamental upside at least not from current levels - Goldman Sachs
A soft landing is already priced in the US equity market; multiples have expanded well beyond what could plausibly be justified by the drop in real yields in January. US equities are now trading at 18x forward earnings. If a benign macro outcome is already in the price, there’s not much fundamental upside at least not from current levels - Goldman Sachs

Week Ahead

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The week will be soft in terms of economic data in the US but very busy with earnings. Activision Blizzard, Fiserv, Vertex Pharmaceuticals, CVS Health, Uber, Walt Disney, AbbVie, PayPal, PepsiCo, and Philip Morris International are the leading US companies to publish earnings reports. The University of Michigan will release its preliminary consumer-sentiment index for January. The sentiment likely improved for a third consecutive month to 65, with inflation expectations prolonging their downward trend. Also, investors will follow the Commerce Department trade balance report. The trade gap in goods and services must have widened to USD 68.6 billion in December 2022 from USD 61.5 billion in the previous month, which was the lowest deficit since September 2020. Finally, initial and continuing jobless claims numbers will fuel the debate on whether the job market is cooling or could still surprise on the upside - TradingEconomics
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Economic (UTC-5)
- TradingEconomics
- TradingEconomics
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Earnings
- TradingTerminal
- TradingTerminal

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 12-mo Estimate
🔴
223.28
225.02
230.43
September 30, 2022
Forward 12-mo PE
🔵
18.5
18
15.5
September 30, 2022
Nominal Earnings Yield
🔴
5.4
5.53
6.43
September 30, 2022

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
Implied Volatility
⚪️
16.2
16.5
-0.3
-1.82%
Call Skew
🔵
-4.1
-4.5
0.4
8.89%
GEX Flip
⚪️
4,047.5
4,002.5
45
1.12%
Total GEX
🔴
16,571,518,846
18,202,823,219
-1,631,304,373
-8.96%
Skew Adjusted GEX
🔴
4,744,425,846
5,211,468,288
-467,042,442
-8.96%
Put/Call Ratio
⚪️
1.91
1.94
-0.03
-1.55%
Gamma by Strike - @tradevolatility
Gamma by Strike - @tradevolatility
Gamma Change - @tradevolatility
Gamma Change - @tradevolatility
SPX Skew - @tradevolatility
SPX Skew - @tradevolatility
Open Interest for SPX - @tradevolatility
Open Interest for SPX - @tradevolatility

Futures

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Friday's E-mini S&P 500 market was lower with the March contract down by 43.75, or 1.04%, to 4147.75. Combined volume came in at a one month high of 2,362,016, with the March contract seeing a heavy 2,354,996 traded. Across all maturities, open interest dropped 3,380, or 0.16%, to 2,083,647. March fell 5,109 (0.25%), finishing at 2,059,826.
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Option trading centered around the Feb EW2 4200 calls with 6,236 done and the Feb E1A 3650 puts with volume of 17,325. In March options, the highest volume call was in the 4300 strike with 3,252 changing hands, and the 4000 put leads with volume of 9,055. Calls with the highest open interest are the Feb EW3 100 strike (38,109), and for the puts are the March 3600 strike (38,791).
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Implied Volatility ended the day slightly up with the 30-day at-the-money gaining 0.0732%, to settle at 15.83%. Historical volatility (30-day) settled at 17.01%, gaining 0.0619%, to a one week high.
Larger
Larger TF (PRE-COVID HI → Present) NEUTRAL - Cessation of QTF 1TFD concluded on Px > 4180, but tempered by inconclusive price acceptance above for now. Momentum has been noteworthy, but LTF value has yet to confirm the move - this increases the odds of backtesting 4Q/1Q VAH at minimum. That said, buyers have forged a confirmed breakout above the 2022 Supply Line, and remain in control >4065 (-2.00%). Technical participants have also taken note of the “golden cross”: 50d MA 3968 > 200d MA 3958, albeit by the margins (+18 bps). QTF 1FTU (ending price 3814.50 < -2σ W expected).
Intermediate
Intermediate TF (2022 → Present ) BULLISH - Upward confirming value is more evident on the ITF and bolstered by the recapture of the Q122 (FEB) LO 4142.00 on a closing basis at the margins. Friday’s cessation of 1TFU coupled with a weak position of close, however, is suggestive of having printed an interim recovery high. Market structure suggests vulnerability to backtest the JAN HI 4109.25 → DEC PB HI 4090.75 (-0.93% → -1.37%). Thus, a base building battleground is plausible between 4100 → 4200, and would afford time for upward value migration (which remains a bearish divergence). For now, buyers remain in control and have dominated above the 2022 Supply Line. 1TFU MTF cessation price: < JAN LO 3814.50 -8.03%.
Short TF (Trailing 8-weeks)
Short TF (Trailing 8-weeks) BULLISH - Thursday featured an anomalous “spot-up vol-up” condition: high call volume and > 1σ (D) VIX, combined with an excess HI and rejection above 4200, resulting in DTF 1FTU cessation. These capitulatory observations suggest a possible interim high, which if so caps an impressive +11% 42-day advance from the DEC LO 3788.50. Offering back into the DEC range will create scope for a possible fast-fill of the notable LVN coinciding with a 4100 backtest. Conversely, DTF 1TFD cessation (offering > 4194 +1.12%) negates this thesis and puts upside trend continuation back into play. The GEX regime remains positive > -1σ (W) and its influence on vol suppression has been notable.
TPO ETH v RTH (W4→W5)
TPO ETH v RTH (W4→W5) BULLISH - The microstructure illustrates an abundance of weak structure → 4000. Friday’s LO is clearly weak, and confirmed with with lower value and poor position of close. Offering below Friday’s range immediately creates scope to fill the obvious February breakout single prints, which also protect 5 consecutive RTH Poor LOs. The market has no timing obligation to repair poor structure, but when it happens, it can be fast because these highlighted prints are indicative of laggard FOMO entry points (Last In, First Out). Notice also the coincidental risk of GEX flipping negative. Notwithstanding recent momentum, the risk reward (for initiative longs) continues to erode.

Bull v Bear

This Week (30d ATM 15.83% v 16.32% p)
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Bulls will seek to recapture > FRI HI 4194 (+1.12%) and ideally establish price acceptance > 4200 (+1.26%). Upside: WHI 4208.50 (+1.46%); 22VAH 4240 (+2.22%); recapture Q421 LO 4293 (+3.5%); 4300 (+3.67%) are within +2σ (W) 4331.
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Bears will seek to retrace and offer back into the DEC range < 4141.50 (-0.15%) and ideally establish price acceptance below 4100 (-1.15%). Downside: GEX Flip 4079. (-1.66%); WVPOC 4053 (-2.27%); WVAL 4016 (-3.17%) are within -2σ (W) 3975.
Last Week (4147.75 MAR23 +1.53%)
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Bulls will seek to establish price acceptance > WHI 4109.25 (+0.61%) and ideally recapture the DEC HI 4141.50 (+1.4%) → FEB LO 4141.00. Upside: Q422 HI 4180 (+2.34%); 4200 (+ 2.83%); ‘22 YVAH 4243.50 (+3.9%) are within +2σ (W).
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Bears will seek to retrace and hold prior week value, ideally below 4057.25 and target a sweep to WVAL 4009.75 (-1.82%). Downside: 4000 (-2.06%); WLO 3963.25 (-2.96%); 200d MA 3957 (-3.12%); 50d MA 3943 (-3.46%) are within -2σ (W).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
Current Year Performance
⚪️  Normal
🔵
7.99
6.34
26.03
15
-10
Average of All Years
⚫️  Index (N/A)
🔵
0.2
-0.8
125
0
0
Intermediate Term Optimism Index
🔴  Optimism
🔵
80
77
3.9
65
35
CRB Optix
⚪️  Normal
🔴
47
48
-2.08
60
40
Bond Optix
🟢  Pessimism
🔴
28
32
-12.5
70
40
HYG Optix
⚪️  Normal
🔵
37.54
33.98
10.48
80
20
US Dollar Optix
⚪️  Normal
🔵
48
43
11.63
60
40
TED Spread
🔴  Optimism
🔵
0.17
0.14
21.43
0.25
0.7
Crude Oil Optix
⚪️  Normal
🔴
37
43
-13.95
60
30
Gold Optix
⚪️  Normal
🔴
47
54
-12.96
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
VIX Put/Call Ratio
⚪️  Normal
🔴
0.4475
0.55
-18.64
0.35
0.75
Equity Put/Call Ratio
⚪️  Normal
🔵
0.57
0.51
11.76
0.5
0.75
Hedge Fund Exp - Equities
⚪️  Normal
🔵
0.097
0.077
25.97
0.2
0
Hedge Fund Exp - Dollar
⚪️  Normal
🔵
-0.033
-0.047
29.79
0.301
-0.3
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Sentiment
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
VIX Sentiment
🔴  Optimism
🔵
2.72
2.69
1.12
2.75
3.25
Risk Appetite Index
🔴  Optimism
🔴
0.8
0.81
-1.23
0.8
0.2
Medium Term Risk
🔴  Optimism
🔵
8
7
14.29
8
2
Macro Index Model
🟢  Pessimism
⚪️
0.0273
0.0273
0
0.8
0.6
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
VIX Term Structure
⚪️  Normal
🔴
0.88
0.9
-2.22
0.8
1
Component Correlation
🟢  Pessimism
🔴
0.62
0.64
-3.13
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔵
2,508,060
2,369,600
0
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
418.68
431.98
-3.08
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverse
SPY Breadth (% > 50d MA)
🔴  Optimism
🔴
70.26
72.26
-2.77
70
30
SPY Breadth (% > 200d MA)
🔴  Optimism
🔵
73.45
68.86
6.67
70
30
NYSE TRIN
⚪️  Normal
🔵
1.08
0.94
14.89
0.5
2
NYSE Advance Decline
⚫️  Index (N/A)
⚪️
688,352
686,072
0.29
0
0
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