S&P 500 Futures
S&P 500 Futures
Week of Jul 30 2023

Week of Jul 30 2023

Market Wrap

EOW 30- Benchmarks
EOW 30- Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 1.8% 4499.7→ 4664.6)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 1.8% 4499.7→ 4664.6)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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World of Overshoots: Lowest rates in 5,000 years to fastest nominal GDP recovery since WW2. Asset price overshoots are the new normal. Worst US Treasury returns since 1788 in 2022 (-17%), oil price was negative $37/bbl in April of 2020, then $123/bbl in March 2022 then collapsed to $67/bbl over the following 12 months. Bitcoin was $5,000 in January of 2020 to $68,000 in November 2021 to $16,000 in November 2022 to $29,000 today. S&P 500 from 3,300 to 2,200 to 4,800 to 3,500 to 4,600 thus far in the 2020s. AI is simply the new overshoot — Michael Hartnett, BofA
Since our data began in 2008, it has never cost less to protect against an S&P drawdown in the next 12 months, as high rates align with low implied vol and correlation to offer a historic entry point for hedges.
Since our data began in 2008, it has never cost less to protect against an S&P drawdown in the next 12 months, as high rates align with low implied vol and correlation to offer a historic entry point for hedges. Hedges shouldn’t be as cheap as they are in an environment of 3-4% inflation, a real threat of recession, extreme macro volatility and high S&P valuations despite high interest rates and a shaky Fed put - Bank of America
Multiple expansion discounts ‘Fed done’ and Fed cuts in 2024 (now baked in) have driven this year’s valuation-driven rally.
Multiple expansion discounts ‘Fed done’ and Fed cuts in 2024 (now baked in) have driven this year’s valuation-driven rally. The ‘trading risk’ over the next 4-6 weeks is tighter financial conditions. But over the next 4-6 months, the ‘bear risk’ is simply that the US economy is weaker than expected. That’d be an unwelcome development for a market that believes in a new ‘steady state’ of permanently high nominal GDP and EPS upside - Bank of America
Growth in Q2 was stronger than expected, firms are building factories at the fastest pace in decades and consumers, feeling much better about things, are still spending.
Growth in Q2 was stronger than expected, firms are building factories at the fastest pace in decades and consumers, feeling much better about things, are still spending. At the same time, the pace of compensation cost increases is receding and inflation is too. The Goldilocks narrative is enjoying a summer renaissance. The US did succumb to an earnings recession, but it’s been shallow, and Q2 earnings are better than feared - Bank of America

Week Ahead

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Investors in the US will be closely monitoring the jobs report, ISM PMI surveys, and JOLTs' job openings. It is expected that non-farm payrolls increased by 200,000 in July, which would be the lowest figure since a decline was recorded in December 2020, indicating the potential effects of the unprecedented policy tightening delivered by the Fed in recent months. Additionally, the second-quarter earnings season will be in full swing, featuring reports from companies such as Apple Inc, Amazon, Advanced Micro Devices, Shopify, Alibaba Group, Uber Technologies, Merck & Co, Pfizer, Gilead Sciences, Moderna, Caterpillar Inc, Starbucks Corp, The Kraft Heinz Co, Etsy, PayPal Holdings, and Airbnb. Investors will also find interest in following the ADP employment change, second-quarter labor productivity and labor costs, factory orders, and regional industry indexes such as the Chicago PMI and Dallas Fed Manufacturing Index - TradingEconomics
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Calendar (UTC-4)
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- TradingEconomics
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US Macro
United States Economic Indicators
United States Economic Indicators

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔵
230.44
229.94
228.39
January 1, 2023
Forward 4-qtr PE
🔵
19.9
19.7
17.2
January 1, 2023
Nominal Earnings Yield
🔴
5.03
5.07
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
10.93
11.05
-0.12
-1.09%
SPX GEX Flip
🔵
4,532.5
4,402.5
130
2.95%
SPX Skew Adjusted GEX
🔵
6,561,566,668
4,405,868,784
2,155,697,884
48.93%
Equity Put/Call Ratio (CBOE)
🔵
0.71
0.56
0.15
26.77%
VIX Put/Call Ratio (CBOE)
🔵
0.3
0.19
0.11
57.89%
SPX/W Put/Call Ratio (CBOE)
🔴
1.13
1.43
-0.3
-20.98%
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 contract high of 4606.50 Friday, higher by 42.25. Overall, 1,576,081 contracts were traded, with 1,573,973 done in Sep. Total open interest gained 11,438 (0.52%), with Sep adding 7,600, or 0.35%, to 2,201,487.
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Option volumes were highest for the July EW 4730 call (11,244) and the July EW 4025 put (20,397). For Sep options, the 4600 calls were the most actively traded with 2,687 changing hands, and the highest volume put was the 4400 strike with 3,534 contracts done. Options with the most open interest are the Sep 4700 call with 17,965, and the July EW 3850 put with 26,394.
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As measured by the 30-day at-the-money, implied volatility was moderately lower, off 0.98% to close the day at a one week low of 10.65%. The 30-day historical volatility closed the day down by 0.24% to 9.16%. The 25-delta Risk Reversal was sharply higher with the 30-day up by 0.82%, closing the session at a one week high of -2.40%.
Higher TF (W → D)
Higher TF (W → D) BULLISH - July value will close outside and above June, which confirms the higher timeframe trend and price acceptance at YTD highs. This week’s pullback was bought, and marked the 9th consecutive week of 1TFU (the longest streak YTD and unmatched since the Covid LO reversal). Barring an unexpected shock, the Q222 HI (4631) is the remaining HTF supply zone defending the ATH 4808.25 (+4.38%), now just +1.3% above the -2σ (W) expected range.
Lower TF (3H → M30)
Lower TF (3H → M30) NEUTRAL - W30 featured two key rejections before reverting back into a 2-week balance: a test above the Q222 HI 4631 and a test below the prior week VAL. The resolution of this balance will fuel the next directional move, with odds favoring higher timeframe trend continuation. Initiative sellers had their chance, but were overcome by higher-timeframe responsive buyers at (our now mitigated green-shaded) demand zones.

Bull v Bear

This Week (30d ATM IV 10.65% v 30d RVOL 9.16%)
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Bulls will seek to recapture DTF 1TFU (> 4615.50), and ideally the WHI > 4634.50 on a closing basis. Upside: 4700 (2.03%) is marginally beyond +1σ (W) 4679.50 expected (+1.58%).
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Bears will seek to break the 1TFU configuration < WLO 4553.75 (-1.15%) on a closing basis. Downside: < WLO.1 4528 (-1.7%) is marginally beyond -1σ (W) 4536 expected (-1.53%).
Last Week (4606.50 SEP23 +0.91%)
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Bulls will seek to defend the 4550 Demand Zone, and ideally recapture DTF 1TFU > 4590 on a closing basis. Upside: > WHI 4609.25 (+0.97%) is within +1σ (W) 4638.50 (+1.62%).
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Bears will seek extend DTF 1TFD, and ideally break WLO 4528 (-0.81%) on a closing basis. Downside: < 4500 (-1.42%) is just within the -1σ (W) 4493 expected range (-1.57%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔵
18.63
17.62
5.73
10
-10
Average of All Years
⚫️ Index (N/A)
🔴
3.01
3.49
-13.75
0
0
Intermediate Term Optimism Index
🔴 Optimism
⚪️
84
84
0
65
35
CRB Optix
⚪️ Normal
🔵
54
53
1.89
60
40
Bond Optix
🟢 Pessimism
🔴
25
43
-41.86
70
40
HYG Optix
⚪️ Normal
🔴
62.5
72.75
-14.09
80
20
US Dollar Optix
⚪️ Normal
🔵
43
42
2.38
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.87
0.9
-3.33
0
0
Crude Oil Optix
⚪️ Normal
🔵
53
47
12.77
60
30
Gold Optix
⚪️ Normal
🔴
55
58
-5.17
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
⚪️ Normal
🔵
0.71
0.61
16.39
0.5
0.75
VIX Put/Call Ratio
🔴 Optimism
🔴
0.3
0.4
-25
0.35
0.75
Stock Bond Ratio
⚪️ Normal
🔵
1.97
1.64
20.12
2
-2
GEX / Market Cap Ratio
⚪️ Normal
🔵
0.1
0.08
25
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
🔴
2.77
2.82
-1.77
2.75
3.25
Risk Appetite Index
🔴 Optimism
🔵
0.92
0.91
1.1
0.8
0.2
MOVE Index
🟢 Pessimism
🔵
109.76
106.66
2.91
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔵
-93.21
-101.52
8.19
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔵
0.84
0.83
1.2
0.8
1
Component Correlation
⚪️  Normal
🔴
0.39
0.41
-4.88
0.35
0.55
Gamma Exposure (x000)
🔴  Optimism
🔵
4,630,460
3,722,800
33.33
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
408.33
419.62
-2.69
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
🔴 Optimism
🔴
81.08
87.45
-7.28
70
30
SPY Breadth (% > 200d MA)
🔴 Optimism
🔴
73
75.2
-2.93
70
30
NYSE TRIN
⚪️ Normal
🔴
0.85
0.89
-4.49
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
692,294
691,063
0.14
0
0
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