Market Wrap
Narratives
Week Ahead
Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 4-qtr Estimate | 🔴 | 238.95 | 239.22 | 228.39 | January 1, 2023 |
Forward 4-qtr PE | 🔴 | 17.6 | 18 | 17.2 | January 1, 2023 |
Nominal Earnings Yield | 🔵 | 5.66 | 5.53 | 5.86 | January 1, 2023 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔵 | 17.49 | 14.61 | 2.88 | 19.71% |
SPX GEX Flip | 🔴 | 4,332.5 | 4,362.5 | -30 | -0.69% |
SPX Skew Adjusted GEX | 🔴 | -16,084,681,354 | -351,112,632 | -15,733,568,722 | -4,481.06% |
Equity Put/Call Ratio (CBOE) | 🔵 | 0.76 | 0.7 | 0.06 | 8.57% |
VIX Put/Call Ratio (CBOE) | 🔵 | 0.87 | 0.58 | 0.29 | 50% |
SPX/W Put/Call Ratio (CBOE) | 🔴 | 1.27 | 1.69 | -0.42 | -24.85% |
Futures
Bull v Bear
This Week (30d ATM IV 18.06% v 30d RVOL 12.92%)Bulls will seek to recapture 4300 (+1.21%) on a closing basis. Upside: WVAL 4331 (+2.0%) is within +1σ (W) 4359 (+2.6%). 50d MA 4414 (+3.91%); WHI 4423.25 (4.11%).Bears will seek to establish price acceptance below 4200 (-1.44%). Downside: Q422 Anchored VWAP (and multi-year HVN) 4155.25 (-2.19%) is within -1σ (W) 4143 (-2.48%)
Last Week (4248.50 DEC23 -2.01%)Bulls will seek to recapture 4400 and ideally WHI/50d MA 4431 (+1.68%) on a closing basis. Upside:+1σ (W) 4458 (+2.31%). 4500 isbelow+2σ (W) 4560 (+4.65%).Bears will seek to break below 4300 (-1.31%) on a closing basis. Downside: 200d MA 4265 (-2.12%) is within -1σ (W) 4261 (-2.21%); WLO.1 4235.50 (-2.79%); 4200 (-3.61%).
Indicators
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Current Year Performance | 🔴 Optimism | 🔴 | 10.67 | 13.06 | -18.3 | 10 | -10 | ||
Average of All Years | ⚫️ Index (N/A) | 🔵 | 1.85 | 0.75 | 146.67 | 0 | 0 | ||
Intermediate Term Optimism Index | 🟢 Pessimism | 🔴 | 34 | 39 | -12.82 | 65 | 35 | ||
CRB Optix | ⚪️ Normal | 🔵 | 49 | 48 | 2.08 | 60 | 40 | ||
Bond Optix | 🟢 Pessimism | 🔴 | 22 | 24 | -8.33 | 70 | 40 | ||
HYG Optix | ⚪️ Normal | 🔵 | 36.87 | 32.04 | 15.07 | 80 | 20 | ||
US Dollar Optix | 🔴 Optimism | 🔴 | 60 | 64 | -6.25 | 60 | 40 | ||
BBB - AAA Corporate Bond Spread | ⚫️ Index (N/A) | 🔵 | 1 | 0.97 | 3.09 | 0 | 0 | ||
Crude Oil Optix | 🔴 Optimism | 🔴 | 60 | 61 | -1.64 | 60 | 30 | ||
Gold Optix | ⚪️ Normal | 🔵 | 52 | 46 | 13.04 | 70 | 30 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Equity Put/Call Ratio | 🟢 Pessimism | 🔵 | 0.76 | 0.7 | 8.57 | 0.5 | 0.75 | ||
VIX Put/Call Ratio | 🟢 Pessimism | 🔵 | 0.87 | 0.58 | 50 | 0.35 | 0.75 | ||
Stock Bond Ratio | ⚪️ Normal | 🔵 | 1.72 | 1.42 | 21.13 | 2 | -2 | ||
GEX / Market Cap Ratio | 🟢 Pessimism | 🔴 | 0 | 0.03 | -100 | 0.15 | 0.05 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
VIX Sentiment | ⚪️ Normal | 🔵 | 3.24 | 3.15 | 2.86 | 2.75 | 3.25 | ||
Risk Appetite Index | ⚪️ Normal | 🔴 | 0.43 | 0.47 | -8.51 | 0.8 | 0.2 | ||
MOVE Index | 🟢 Pessimism | 🔵 | 135.45 | 128.33 | 5.55 | 60 | 100 | ||
2y / 10y Yield Curve | ⚫️ Index (N/A) | 🔵 | -16.37 | -44.78 | 63.44 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
VIX Term Structure | ⚪️ Normal | 🔵 | 0.97 | 0.94 | 3.19 | 0.8 | 1 | ||
Component Correlation | ⚪️ Normal | 🔵 | 0.41 | 0.38 | 7.89 | 0.35 | 0.55 | ||
Gamma Exposure (x000) | 🟢 Pessimism | 🔴 | -183,334 | 1,238,460 | -18400 | 4,000,000 | 1,000,000 | ||
Credit Default Swaps | ⚫️ Index (N/A) | 🔵 | 525.96 | 498.72 | 5.46 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
SPY Breadth (% > 50d MA) | 🟢 Pessimism | 🔴 | 16.17 | 26.6 | -39.21 | 70 | 30 | ||
SPY Breadth (% > 200d MA) | ⚪️ Normal | 🔴 | 32.87 | 39.36 | -16.49 | 70 | 30 | ||
NYSE TRIN | ⚪️ Normal | 🔵 | 1.43 | 0.8 | 78.75 | 0.5 | 2 | ||
NYSE Advance Decline | ⚫️ Index (N/A) | 🔴 | 676,257 | 679,386 | -0.44 | 0 | 0 |
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- Narratives - Heisenberg Report
- Week Ahead - Trading Economics
- Earnings - FactSet & Trinity Asset Management
- Options - tradingvolatility.net
- Futures - CME Group
- Indicators - Sundial Capital Research