S&P 500 Futures
S&P 500 Futures
Week of Sep 24 2023

Week of Sep 24 2023

Market Wrap

EOW 38 - Benchmarks
EOW 38 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.0% 4233.6→ 4406.4)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.0% 4233.6→ 4406.4)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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At the end of the day, the key to undermining mechanical market dynamics and their potential to exacerbate a selloff will come down to the willingness of vol sellers, either monetizing hedges or exploiting VRP, to push back on the spot move lower. This has so often been the case throughout the past year-and-a-half chop move in equities, where owning vol and gamma has been nothing but a pain trade due to said willingness to monetize / sell / short ‘rich’ vol, immediately stifling further selloff opportunities — Charlie McElligott, Nomura
The breakout in US yields has nixed the bullish breakout of equity leaders to new highs. The tell in Q4→Q1 will be how the “leaders” react once yields turn lower. If lower yields = resumption of big XHB, SOX upside, it’s (bull) 5000. But if lower yields can’t generate upside, it’s “sell the last rate hike” and back to 4000. -
The breakout in US yields has nixed the bullish breakout of equity leaders to new highs. The tell in Q4→Q1 will be how the “leaders” react once yields turn lower. If lower yields = resumption of big XHB, SOX upside, it’s (bull) 5000. But if lower yields can’t generate upside, it’s “sell the last rate hike” and back to 4000. - Bank of America
In the first half, the surprise was no recession. In the second half the surprise is higher for longer with yields destined to go higher. If lower-for-longer rates and yields caused bubbles and booms in the 2010s and in 2020/21, higher-for-longer means hard landing risks, bubble pops and busts in the first half of 2024 -
In the first half, the surprise was no recession. In the second half the surprise is higher for longer with yields destined to go higher. If lower-for-longer rates and yields caused bubbles and booms in the 2010s and in 2020/21, higher-for-longer means hard landing risks, bubble pops and busts in the first half of 2024 - Bank of America
We expect Brent to be relatively range-bound through 2025 between $80 and $105. If that’s even a semblance of accurate then the bulk of the upside is behind us. That said the combination of low valuations, high shareholder returns, and outlook for firm oil prices suggests energy equities will outperform -
We expect Brent to be relatively range-bound through 2025 between $80 and $105. If that’s even a semblance of accurate then the bulk of the upside is behind us. That said the combination of low valuations, high shareholder returns, and outlook for firm oil prices suggests energy equities will outperform - Goldman Sachs

Week Ahead

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This is a relatively slow weak for economic data. That means that the markets will be mostly entertained by the talking heads of the Federal Open Mouth Committee. The chattering started on Friday, when two Fed officials (Governor Michelle Bowman and Boston Fed President Susan Collins) endorsed Fed Chair Jerome Powell's remark during his presser on Wednesday: "We're committed to achieving and sustaining a stance of monetary policy that's sufficiently restrictive to bring down inflation to 2 percent over time.”
  1. The BIG event of the week will be the release of August's personal income and PCED inflation rate (Fri). We are expecting to see some slowing in consumer spending and another moderate core inflation number for the third month in a row. We know that real retail sales edged down in August.
  2. We also know that energy boosted August's CPI inflation rate and that the final demand PPI for consumption (which does not include rent) was up only 2.0% y/y in August. There was also a very funky big jump in portfolio management fees in July that should be reversed in August.
  3. This week, the last three of September's five Fed regional business surveys will be released: Dallas (Mon), Richmond (Tue), and Kansas City (Thu). They will probably confirm the New York and Philly surveys which remained depressed, but less so than during the spring and early summer months.
  4. September's survey of consumer confidence (Tue) should give us an insight into the labor market. The "jobs plentiful" series should continue to decline, but remain relatively high.
  5. We expect that both bond and stock markets will mark time awaiting September's employment report on October 6. Then again, there is the Wall Street adage to "sell Rosh Hashanah and buy Yom Kippur." - Yardeni Research
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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
🔴
232.63
233.39
228.39
January 1, 2023
Forward 4-qtr PE
🔴
18.5
19
17.2
January 1, 2023
Nominal Earnings Yield
🔵
5.38
5.24
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔵
14.32
11.35
2.97
26.170000000000005%
SPX GEX Flip
🔴
4,437.5
4,477.5
-40
-0.89%
SPX Skew Adjusted GEX
🔴
-14,569,522,294
-2,984,020,932
-11,585,501,362
-388.25%
Equity Put/Call Ratio (CBOE)
🔵
0.85
0.7
0.15
21.43%
VIX Put/Call Ratio (CBOE)
🔵
0.51
0.43
0.08
18.6%
SPX/W Put/Call Ratio (CBOE)
🔵
1.57
1.44
0.13
9.03%
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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Dec E-mini S&P 500 futures closed at a one month low of 4361.00 Friday, off 11.00. Combined volume was 1,738,300, with the Dec contract seeing 1,736,576 traded. Across all maturities, open interest fell 8,738, or 0.41%, with Dec losing 9,130 (0.43%) to 2,122,359.
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Option volumes were greatest for the Sep EW 4400 call (9,398) and the Sep E4B 3550 put (47,222). In Dec options, the most actively traded call was the 4650 strike with 4,467 changing hands, and the 4300 put leads with volume of 3,755. Calls with the most open interest are the Oct EW3 100 strike (27,095), and for the puts are the Sep E4B 3550 strike (47,282).
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E-mini S&P 500 implied volatility closed the session slightly lower as the 30-day at-the-money fell by 0.21% to end at 14.57%. Gaining 0.0094% to a one month high, historical volatility (as measured by the 30-day) ended the day at 12.20%.
Higher TF (W → D)
Higher TF (W → D) NEUTRAL - A bearish Break of Structure (BOS) < HL 4434.25 (+1.6%) has emerged from strong selling follow-through presaged by W38’s closing bearish engulfing reversal bar (highlighted last week). Moreover we have now entered the ongoingly observed air pocket between Q223 → Q223 Value Areas (convergent with the year’s weakest seasonal period from 18-SEP → 08-OCT). The weak position of close, lack of excess, and lack of supporting market structure introduces vulnerability for continuation of the now established countertrend. A break and hold of LL 4350 on a closing basis appears likely and will confirm a Higher TF bearish change of condition; and introduces scope for closing the June 4305.75 Departure Gap (-1.27%).
Lower TF (3H → M30)
Lower TF (3H → M30) BEARISH - Last week’s LL 4462.25 BOS continued with negligible retrace (a sign of one-way flow), and confirmed a Lower TF bearish structure. Much like the prior week, we observe both a lack of angulation between the price action and Lower TF MAs (Pane 1) and lack of excess (buying tail) into Friday’s close (Pane 2) indicating the Lower TF remains poised for downside continuation. Our first indication of trend pause will be cessation of DTF 1TFD and recapture of 4400 (+0.89%). The prior 4414.25 → 4476.25 3H Demand Zone has been absorbed and thus becomes Lower TF resistance. The top of this zone also coincides with the recapture of a positive gamma regime > 4478 (+2.68%).

Bull v Bear

This Week (30d ATM IV 14.57% v 30d RVOL 12.20%)
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Bulls will seek to recapture > DTF 1TFU 4399 and 4400 (+0.89%) on closing basis. Upside: DTF BOS 4434.25 (+1.68%); DTF GAP 4443.50 (+1.69%) are within +1σ (W) 4450 (+2.06%).
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Bears will seek to break LL 4350 and ideally close the 4305.75 Departure Gap (-1.27%). Downside: 200d MA 4230 (-3%); Q123 HH BoS (breakout) 4208.50 (-3.50%) are beyond -1σ (W) 4275.00 (-1.97%).
Last Week (4361.00 DEC23 -3.70%)
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Bulls will seek to defend the 4414.25 → 4476.25 Demand Zone, and ideally recapture WVAH 4540 on a closing basis. Upside: WHI 4566 (+1.51%); 4600 is above +1σ (W) 4572 (+1.65%).
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Bears will seek to quickly break WTF 1TFU and ideally recapture WLO.1 4438.25 on a closing basis. Downside: U23 Roll SETL 4461.75 (-0.81%); LL 4414.25 is beyond -1σ (W) 4426.50 (-1.59%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔴
12.84
15.8
-18.73
10
-10
Average of All Years
⚫️ Index (N/A)
🔴
2.53
2.68
-5.6
0
0
Intermediate Term Optimism Index
⚪️ Normal
🔴
40
56
-28.57
65
35
CRB Optix
⚪️ Normal
🔴
51
53
-3.77
60
40
Bond Optix
🟢 Pessimism
🔵
23
20
15
70
40
HYG Optix
⚪️ Normal
🔵
38.48
28.05
37.18
80
20
US Dollar Optix
🔴 Optimism
🔵
61
55
10.91
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.91
0.92
-1.09
0
0
Crude Oil Optix
🔴 Optimism
🔴
63
66
-4.55
60
30
Gold Optix
⚪️ Normal
⚪️
50
50
0
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
🟢 Pessimism
🔵
0.85
0.7
21.43
0.5
0.75
VIX Put/Call Ratio
⚪️ Normal
🔵
0.52
0.43
20.93
0.35
0.75
Stock Bond Ratio
⚪️ Normal
🔴
1.03
1.38
-25.36
2
-2
GEX / Market Cap Ratio
🟢 Pessimism
🔴
0
0.03
-100
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
🔵
2.81
2.69
4.46
2.75
3.25
Risk Appetite Index
⚪️ Normal
🔴
0.66
0.98
-32.65
0.8
0.2
MOVE Index
🟢 Pessimism
🔵
101.11
96.61
4.66
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔵
-68.03
-70.44
3.42
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔵
0.95
0.86
10.47
0.8
1
Component Correlation
⚪️  Normal
🔵
0.38
0.36
5.56
0.35
0.55
Gamma Exposure (x000)
🟢  Pessimism
🔴
-1,984,940
1,551,360
-200
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔵
444.93
424.17
4.89
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
🟢 Pessimism
🔴
18.89
34.39
-45.07
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔴
44.09
54.71
-19.41
70
30
NYSE TRIN
⚪️ Normal
🔵
1.09
0.86
26.74
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔴
682,961
686,532
-0.58
0
0
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Sources

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