S&P 500 Futures
S&P 500 Futures
Week of Jan 07 2024

Week of Jan 07 2024

Market Wrap

Weekly Benchmarks -
Weekly Benchmarks - @Koyfin
Weekly Factors vs. S&P 500 -
Weekly Factors vs. S&P 500 - @Koyfin
Weekly Performance -
Weekly Performance - @Koyfin

Narratives

icon
The perception is clearly that the tone of apprehension in ISM is more ‘real time’ and forward-looking than the notoriously lagging labor data. Given this context, fading the concern is less compelling than leaning into the assumption that the first few weeks of the year will err on the side of volatility versus clarity. We anticipate this will also extend to monetary policy expectations as each incoming major data release will contribute to the debate regarding whether the FOMC will cut rates in March. Despite current market pricing, we don’t see anything in the combination of the employment report and ISM that would convince the Fed to cut in Q1 — Ian Lyngen and Ben Jeffery, BMO
2023 was yet another reminder that the direction of US bond yields remains of paramount importance to the performance of asset markets, and without the end-of-year pivot, the outturn would have been far gloomier. A record share of equity market cap needs or wants lower bond yields -
2023 was yet another reminder that the direction of US bond yields remains of paramount importance to the performance of asset markets, and without the end-of-year pivot, the outturn would have been far gloomier. A record share of equity market cap needs or wants lower bond yields - SocGen
It’s also rare for ISM manufacturing to be mired in a prolonged contraction when payrolls are buoyant, and Friday’s NFP headline only made the disconnect above more glaring. If the factory malaise persists through April, that’s be the longest contraction in more than two decades -
It’s also rare for ISM manufacturing to be mired in a prolonged contraction when payrolls are buoyant, and Friday’s NFP headline only made the disconnect above more glaring. If the factory malaise persists through April, that’s be the longest contraction in more than two decades - Bank of America
The local options dealer profile remains somewhat benign. We’d need to push through 4700, which then requires a 4650 break to see more escalatory price action to the downside given the potential for dealers to flip into a short gamma regime just as CTA sell flows get triggered -
The local options dealer profile remains somewhat benign. We’d need to push through 4700, which then requires a 4650 break to see more escalatory price action to the downside given the potential for dealers to flip into a short gamma regime just as CTA sell flows get triggered - Nomura

Week Ahead

icon
In the United States, all eyes are focused on the US inflation data, which will provide further insight into the Federal Reserve's monetary policy outlook. Forecasts indicate that consumer prices likely increased by 0.2% in December, following a 0.1% gain in November. The core rate is expected to have risen by 0.2% as well, showing a slight easing compared to the previous month's 0.3% increase. On an annual basis, the headline inflation rate is projected to rebound to 3.2% from November's five-month low of 3.1%, while the core rate is likely to have eased to 3.9%, the lowest since May 2021. Other important economic data to monitor includes producer prices, foreign trade metrics, the RCM/TIPP Economic Optimism Index, and the monthly budget statement. (Source: Trading Economics)
‣
Calendar (UTC-4)
-
- TradingEconomics
‣
Macro Dashboard
-
- @Koyfin

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔴
232.95
234.6
228.39
January 1, 2023
Forward 4-qtr PE
🔴
20.16
20.3
17.2
January 1, 2023
Nominal Earnings Yield
🔵
5.19
5
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔵
11.6
10.45
1.15
11%
SPX GEX Flip
🔴
4,717.5
4,737.5
-20
-0.42%
SPX Skew Adjusted GEX
🔴
-1,385,426,191
-962,971,169
-422,455,022
-43.87%
Equity Put/Call Ratio (CBOE)
🔵
0.7
0.65
0.05
7.690000000000001%
VIX Put/Call Ratio (CBOE)
🔵
0.83
0.48
0.35
72.92%
SPX/W Put/Call Ratio (CBOE)
🔵
1.38
1.33
0.05
3.7599999999999993%
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

icon
Friday's E-mini S&P 500 market was higher with the March contract up by 5.25 to 4734.75. Total volume was 1,775,165, with March seeing 1,767,245 change hands. Combined open interest shed 11,341 (0.51%) to 2,231,153. March dropped 12,041, or 0.54%, finishing at 2,211,632.
icon
The Jan E2B 4075 put saw the most changing hands with 40,846 contracts done. For Jan options, the 4800 calls were the most active with 2,503 traded, and the high volume put was the 4675 strike with 6,136 contracts changing hands. Options with the most open interest are the March 5000 call with 15,627, and the Jan E2A 4050 put with 70,514.
icon
E-mini S&P 500 implied volatility ended the day down as the 30-day at-the-money decreased 0.47% to close at 11.54%. The 30-day historical volatility settled down 0.0326% to 9.00%.
Higher TF (W → D)
Higher TF (W → D) NEUTRAL - The breakdown below the upper distribution of December’s P-shaped profile confirmed a higher timeframe pullback as the first of two structural gaps began backing & filling repair (above circled). WLO exactly coincided with the bottom of this LVN. Had selling pressure been more serious, such technical levels would never hold. That said, the weak position of close and market structure suggests unfinished business below. 4600 (-2.85%) is within -2σ of weekly implied range.
Lower TF (3H → M30)
Lower TF (3H → M30) BEARISH - Higher timeframe pullbacks are facilitated by shorter timeframe trends. Notice that price was immediately rejected below the 4720.50 midpoint of the swing structure. The WLO bullish divergence bar was just beyond the threshold of triggering a trend reversal signal owed to insufficient angulation relative to momentum - but close. Shorter timeframe market structure remains bearish, and the first cause for pause will be cessation of the daily 1TFD configuration.

Bull v Bear

This Week (30d ATM IV 11.54% v 30d HV 9.00%)
icon
Bulls will seek to recapture DTF 1TFU > 4760.25 on a closing basis. Upside: 4800 is within +1σ (W) 4810 (+1.59%); WHI 4828 (+1.97%); 4841 2023 ETH HI is within +2σ (W) 4865 (+3.17%).
icon
Bears will seek to extend DTF 1TFD and ideally close below WLO 4702 (-0.69%). Downside: 4688 Put Wall is within -1σ (W) 4662 (-1.54%); 4600 is within -2σ (W) 4589 (-3.08%).
Last Week (4734.75 MAR24 -1.18%)
icon
Bulls will seek to recapture DTF 1TFU > 4835 and ideally the futures adjusted ATH 4864 on a closing basis. Upside: No resistance > 4864 → +1σ (W) 4891 (+1.47%).
icon
Bears will seek to extend DTF 1TFD and ideally cause cessation of WTF 1TFU < 4796.75 on a closing basis. Downside: GEX Flip 4783 (-0.77%) is within -1σ (W) 4751 (-1.43%).

Indicators

‣
Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
⚪️ Normal
🔴
-0.96
24.73
-103.88
10
-10
Average of All Years
⚫️ Index (N/A)
🔴
-0.09
9.28
-100.97
0
0
Intermediate Term Optimism Index
🔴 Optimism
🔴
71
79
-10.13
65
35
CRB Optix
⚪️ Normal
🔴
44
45
-2.22
60
40
Bond Optix
🟢 Pessimism
🔴
28
40
-30
70
40
HYG Optix
⚪️ Normal
🔵
39.67
38.85
2.11
80
20
US Dollar Optix
⚪️ Normal
🔵
45
40
12.5
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
⚪️
0.77
0.77
0
0
0
Crude Oil Optix
⚪️ Normal
🔵
44
42
4.76
60
30
Gold Optix
⚪️ Normal
🔴
61
64
-4.69
70
30
‣
Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
US Put / Call Option Volume
⚪️ Normal
🔵
0.93
0.77
20.78
0.7
1
SPY Optix
⚪️ Normal
🔴
40.62
47.69
-14.82
80
20
Stock Bond Ratio
⚪️ Normal
🔵
-0.2
-0.53
62.26
2
-2
GEX / Market Cap Ratio
⚪️ Normal
🔴
0.08
0.1
-20
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 13-weeks (Futures & Options)
S&P 500 E-Mini COT Trailing 13-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 13-weeks (Futures & Options)
Nasdaq E-Mini COT Trailing 13-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
‣
Sentiment
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Small Trader Put/Call Premium
⚪️ Normal
⚪️
0.42
0.42
0
0.4
0.6
Risk On/Off Index
🔴 Optimism
🔵
85.71
76.19
12.5
50
0
MOVE Index
🟢 Pessimism
🔵
116.19
114.62
1.37
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔵
-33.71
-37.29
9.6
0
0
VIX Sentiment v CSFB Fear Barometer
VIX Sentiment v CSFB Fear Barometer
Risk On/Off Indicator Rollups
Risk On/Off Indicator Rollups
MOVE Index v 2/10 Yield Curve
MOVE Index v 2/10 Yield Curve
Risk On/Off Indicator Rollups
Risk On/Off Indicator Rollups
‣
Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔵
0.86
0.82
4.88
0.8
1
Component Correlation
⚪️  Normal
⚪️
0.47
0.47
0
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔴
3,809,160
5,166,520
-40
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔵
371.42
356.36
4.23
0
0
‣
Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
🔴 Optimism
🔴
87.85
89.84
-2.22
70
30
SPY Breadth (% > 200d MA)
🔴 Optimism
🔴
77.51
78.51
-1.27
70
30
NYSE TRIN
⚪️ Normal
🔴
0.73
1.11
-34.23
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔴
692,124
693,347
-0.14
0
0
‣
Disclaimer

ALL CONTENT WITHIN THIS SITE IS SOLELY GENERATED AS OPINION FOR THE INTERNAL USE OF QUESTRA ADVISORS LLC ("QALLC").

NO PART OF THIS SITE SHOULD BE CONSIDERED AN OFFER TO BUY OR SELL ANY SORT OF SECURITY OR FINANCIAL PRODUCT. NO PART OF THIS SITE SHOULD BE CONSTRUED AS ADVISE OR A RECOMMENDATION FOR ANY SORT OF FINANCIAL TRANSACTION OR INVESTMENT ALLOCATION. FURTHERMORE, NO PART OF THIS SITE SHOULD BE CONSTRUED AS "RESEARCH" AS DESCRIBED BY FINRA/NYSE 472.

QALLC TRADES WITH ITS OWN CAPITAL; IT IS NOT A REGISTERED INVESTMENT ADVISOR, AND NOTHING IN QALLCs COMMENTARY IS INTENDED, AND IT SHOULD NOT BE CONSTRUED, TO BE INVESTMENT ADVICE. QALLCs COMMENTARY IS FOR INFORMATIONAL AND ENTERTAINMENT USE ONLY. ANY MENTION OF QALLCs COMMENTARY OF A PARTICULAR SECURITY, INDEX, DERIVATIVE, OR OTHER INSTRUMENT IS NEITHER A RECOMMENDATION BY QALLC TO BUY, SELL OR HOLD THAT SECURITY, INDEX, DERIVATIVE, OR OTHER INSTRUMENT, NOR DOES IT CONSTITUTE AN OPINION OF QALLC AS TO THE SUITABILITY OF THAT SECURITY, INDEX, DERIVATIVE, OR OTHER INSTRUMENT FOR ANY PARTICULAR PURPOSE. QALLC IS NOT IN THE BUSINESS OF GIVING INVESTMENT ADVICE OR ADVICE REGARDING THE SUITABILITY FOR ANY PURPOSE OF ANY SECURITY, INDEX, DERIVATIVE, OTHER INSTRUMENT OR TRADING STRATEGY, AND NOTHING IN QALLCs COMMENTARY SHOULD BE SO USED OR RELIED UPON.

QALLC HEREBY EXPRESSLY DISCLAIMS ANY AND ALL REPRESENTATIONS AND WARRANTIES THAT: (a) THE CONTENT OF ITS WEEKLY REPORTS ARE CORRECT, ACCURATE, COMPLETE, OR RELIABLE; (b) ANY OF ITS WEEKLY REPORTS WILL BE AVAILABLE AT ANY PARTICULAR TIME OR PLACE, OR IN ANY PARTICULAR MEDIUM; AND (c) THAT ANY OMISSION OR ERROR IN ANY OF ITS WEEKLY REPORTS WILL BE CORRECTED.

‣
Sources

© Questra Advisors LLC (All Rights Reserved) | 333 City Blvd. West, Suite 1700 | Orange CA | 92868 | +1 949 207 3121