Market Wrap
Sentiment
Week Ahead
The March PMI survey is predicted to show a slight decrease in manufacturing sector growth following the strongest expansion since July 2022 recorded in February. Additionally, the growth rate in the service sector is expected to decelerate slightly for the second month in a row.
In terms of housing, starts are likely to rebound to 1.447 million from January's five-month low, and building permits should rise to 1.5 million, their highest level since last August. Conversely, existing home sales are projected to drop to 3.94 million in February from 4.0 million the previous month. Other important data releases to watch out for include Q4 current account, homebuilder sentiment, and the Philadelphia Fed Manufacturing Index. (Source: Trading Economics)
Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 4-qtr Estimate | 🔵 | 243.31 | 243.29 | 243.98 | January 1, 2024 |
Forward 4-qtr PE | ⚪️ | 21 | 21 | 20.16 | January 1, 2024 |
Nominal Earnings Yield | 🔵 | 4.76 | 4.72 | 5.19 | January 1, 2024 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔵 | 12.16 | 12.14 | 0.02 | 0.16% |
SPX GEX Flip | 🔴 | 5,122.5 | 5,123.7 | -1.2 | -0.02% |
SPX Skew Adjusted GEX | 🔵 | 223,826,368 | -1,212,983,924 | 1,436,810,292 | 118.45% |
Equity Put/Call Ratio | 🔵 | 0.61 | 0.56 | 0.05 | 8.93% |
VIX Put/Call Ratio | 🔴 | 0.19 | 0.48 | -0.29 | -60.43% |
SPX/W Put/Call Ratio | 🔵 | 1.42 | 1.4 | 0.02 | 1.43% |
Futures
Bull v Bear
This Week (30d ATM IV 12.17% v 30d HV 12.25%)Bulls will seek to defend 5142 MVPOC and ideally bid back above MVAH 5242.50 (+1.15%). Upside: WHI 5253.50 (+1.37%) is within +1σ (W) 5272.00 (+1.72%).Bears will seek to recapture WTF 1TFD and ideally offer below MVAL 5131 (-0.99%). Downside: 3wk TR LO 5123 (-1.15%) is within -1σ (W) 5098 (-1.64%).
Last Week (5182.75 JUN24 -0.19%)Bulls will seek to defend 5172 and ideally recapture 5220.75 on a closing basis. Upside: WHI 5257.75 (+1.25%) is within +1σ (W) 5282.00 (+1.72%).Bears will seek to recapture DTF 1TFD and ideally < Swing MID 5172 on a closing basis. Downside: WLO.1 5123.00 (-1.34%) is within -1σ (W) 5105.50 (-1.68%).
Indicators
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Current Year Performance | ⚪️ Normal | 🔴 | 7.28 | 7.42 | -1.89 | 10 | -10 | ||
Average of All Years | ⚫️ Index (N/A) | 🔵 | 1.18 | 0.71 | 66.2 | 0 | 0 | ||
Intermediate Term Optimism Index | 🔴 Optimism | 🔴 | 76 | 80 | -5 | 65 | 35 | ||
CRB Optix | ⚪️ Normal | 🔵 | 51 | 49 | 4.08 | 60 | 40 | ||
Bond Optix | 🟢 Pessimism | 🔴 | 33 | 45 | -26.67 | 70 | 40 | ||
HYG Optix | ⚪️ Normal | 🔴 | 39.03 | 54.84 | -28.83 | 80 | 20 | ||
US Dollar Optix | ⚪️ Normal | 🔵 | 43 | 35 | 22.86 | 60 | 40 | ||
BBB - AAA Corporate Bond Spread | ⚫️ Index (N/A) | 🔴 | 0.75 | 0.76 | -1.32 | 0 | 0 | ||
Crude Oil Optix | ⚪️ Normal | 🔵 | 53 | 50 | 6 | 60 | 30 | ||
Gold Optix | ⚪️ Normal | 🔴 | 65 | 70 | -7.14 | 70 | 30 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
US Put / Call Option Volume | ⚪️ Normal | ⚪️ | 0.76 | 0.76 | 0 | 0.7 | 1 | ||
SPY Optix | ⚪️ Normal | 🔴 | 27.87 | 37.04 | -24.76 | 80 | 20 | ||
Stock Bond Ratio | ⚪️ Normal | 🔵 | 1.71 | 1.33 | 28.57 | 2 | -2 | ||
GEX / Market Cap Ratio | ⚪️ Normal | 🔴 | 0.06 | 0.08 | -25 | 0.15 | 0.05 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Small Trader Put/Call Premium | 🔴 Optimism | 🔴 | 0.35 | 0.45 | -22.22 | 0.4 | 0.6 | ||
Risk On/Off Index | 🔴 Optimism | ⚪️ | 90.48 | 90.48 | 0 | 50 | 0 | ||
MOVE Index | ⚪️ Normal | 🔴 | 97.82 | 100.88 | -3.03 | 60 | 100 | ||
2y / 10y Yield Curve | ⚫️ Index (N/A) | 🔴 | -42.34 | -40.28 | -5.11 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
VIX Term Structure | ⚪️ Normal | 🔴 | 0.88 | 0.9 | -2.22 | 0.8 | 1 | ||
Component Correlation | 🔴 Optimism | 🔴 | 0.34 | 0.38 | -10.53 | 0.35 | 0.55 | ||
Gamma Exposure (x000) | ⚪️ Normal | 🔴 | 3,342,170 | 4,104,730 | -25 | 4,000,000 | 1,000,000 | ||
Credit Default Swaps | ⚫️ Index (N/A) | 🔵 | 333.01 | 329.35 | 1.11 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
SPY Breadth (% > 50d MA) | 🔴 Optimism | 🔴 | 70.58 | 77.53 | -8.96 | 70 | 30 | ||
SPY Breadth (% > 200d MA) | 🔴 Optimism | 🔴 | 77.96 | 79.56 | -2.01 | 70 | 30 | ||
NYSE TRIN | ⚪️ Normal | 🔴 | 1.07 | 1.32 | -18.94 | 0.5 | 2 | ||
NYSE Advance Decline | ⚫️ Index (N/A) | 🔴 | 700,372 | 700,979 | 0 | 0 | 0 |
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- Narratives - Heisenberg Report
- Week Ahead - Trading Economics
- Earnings - FactSet & LESG IBES
- Options - tradingvolatility.net
- Futures - CME Group
- Indicators - Sundial Capital Research