S&P 500 Futures
S&P 500 Futures
Week of Nov 12 2023

Week of Nov 12 2023

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

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It’s been 15 years now since the price of money was market-determined. During that period, things were built that otherwise wouldn’t have been built; investments made that otherwise wouldn’t have been made; and risks borne that otherwise wouldn’t have been accepted — Howard Marks, Oaktree Capital Management
Negative revisions to Q4 EPS during Q3 earnings season appear to be a return to the typical pattern. Looking back nearly two decades, quarterly EPS estimates fall by 6% in the months prior to reporting season, consistent with the current trajectory of revisions to Q4 EPS forecasts -
Negative revisions to Q4 EPS during Q3 earnings season appear to be a return to the typical pattern. Looking back nearly two decades, quarterly EPS estimates fall by 6% in the months prior to reporting season, consistent with the current trajectory of revisions to Q4 EPS forecasts - Goldman Sachs
Historically, year-ahead estimates drop by 1% during the first month of Q3 reporting. The cuts to Q4 2023 EPS estimates since the end of September now suggest sequential margin contraction, again setting a low bar for companies. Consensus now implies 75bps of margin compression from Q3 to Q4 -
Historically, year-ahead estimates drop by 1% during the first month of Q3 reporting. The cuts to Q4 2023 EPS estimates since the end of September now suggest sequential margin contraction, again setting a low bar for companies. Consensus now implies 75bps of margin compression from Q3 to Q4 - Goldman Sachs
We have consistently assigned much lower odds to a US recession than consensus this year (and it’s been the right call so far). That said, the median forecaster still estimates around a 50% probability that a recession will start in the next 12 months. Our subjective probability for a US downturn is now just 15% -
We have consistently assigned much lower odds to a US recession than consensus this year (and it’s been the right call so far). That said, the median forecaster still estimates around a 50% probability that a recession will start in the next 12 months. Our subjective probability for a US downturn is now just 15% - Goldman Sachs

Week Ahead

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In the United States, the most important release will be the October CPI. Consumer prices are seen rising 0.1% from September, which would mark the lowest reading in four months, largely due to a fall in gasoline prices. Excluding fuel and energy however, core CPI likely rose 0.3%, the same as in September, leaving the annual rate steady at 4.1%. Meanwhile, retail sales are seen falling 0.1%, which would mark the first decrease in seven months. Other important indicators to follow include producer prices, industrial production, the Philadelphia Fed Manufacturing Index, the NAHB Housing Market Index, building permits and housing starts. Simultaneously, the earnings season continues with Home Depot, Cisco, Target, Walmart and Applied Materials among the companies due to report quarterly results - Trading Economics
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Calendar (UTC-4)
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- TradingEconomics
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Macro Dashboard
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- @Koyfin

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔴
236.29
237.2
228.39
January 1, 2023
Forward 4-qtr PE
🔵
18.7
18.4
17.2
January 1, 2023
Nominal Earnings Yield
🔴
5.35
5.43
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
11.79
13.38
-1.59
-11.88%
SPX GEX Flip
🔵
4,362.5
4,287.5
75
1.75%
SPX Skew Adjusted GEX
🔵
2,569,756,156
929,485,519
1,640,270,637
176.47%
Equity Put/Call Ratio (CBOE)
🔵
1.03
0.54
0.49
90.74%
VIX Put/Call Ratio (CBOE)
🔵
0.93
0.74
0.19
25.68%
SPX/W Put/Call Ratio (CBOE)
🔴
1.24
1.43
-0.19
-13.29%
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 finished the day at a one month high of 4430.50 Friday, up by 68.25 (1.56%). Overall the session saw 1,757,340 contracts done, with Dec volume coming in at 1,752,002. Across all maturities, open interest finished the day at a one month high of 2,208,093, adding 11,227 (0.51%). Dec open interest rose by 11,407, or 0.53%, to 2,167,147.
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Option volumes were greatest for the Nov E2A 4415 call (10,857) and the Nov E2B 3700 put (46,062). Highest volumes in Dec option trading were seen in the 4600 calls (4,756) and the 4100 puts (6,207). Calls with the most open interest are the Dec 4600 strike (103,722), and for the puts are the Dec EW3 3350 strike (69,279).
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Implied Volatility ended the session sharply down with the 30-day at-the-money off by 1.40%, to close the day at a one month low of 11.60%. Higher by 0.68% to a one month high, historical volatility (as measured by the 30-day) ended at 15.11%. The volatility spread (30-day, IV-HV) closed the day at a one month low of -3.51%, having shed 2.08%.
Higher TF (W → D)
Higher TF (W → D) NEUTRAL - Friday’s spike close suggests unfinished business to the upside, likely to be confirmed this week with a Break of Structure (BOS) > LH 4430.50. The V-recovery from the October low and recapture of LH 4430.50 suggests an interim low is in, concluding the 3Q → 4Q pullback to the prominent multi-year 4150 HVN/VPOC (Higher TF Demand Zone). Moreover last week’s consolidation prior to Friday’s breakout likely formed a sufficient base to support a pullback from an imminent new HH as initiative buyers retarget 4500 with favorable Nov→ Dec seasonal tailwinds and declining rates volatility.
Lower TF (3H → M30)
Lower TF (3H → M30) NEUTRAL - When equity markets are switching back into “risk on” regimes, their initial rally from the lows is often followed by a brief consolidation phase before moving higher. That happened last week and resulted in recapturing: (1) the 50d MA; (2) the 2023 Demand Line; and (3) supportive positive GEX. The bullish change of character will be confirmed with price acceptance and extension above LH 4430.50 → WHI 4435.50. Conversely, an upside breakout failure, albeit less likely, re-introduces scope for sweeping back the 2mo value area, coincidental with the -2σ (W) implied range.

Bull v Bear

This Week (30d ATM IV 11.60% v 30d RVOL 15.11%)
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Bulls will seek to extend upside > WHI and confirm a BOS > 4430.50 on a closing basis. Upside: 4443.50 gap closure and 4500 is within+1σ (W) 4505 (+1.69%).
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Bears will seek to cause cessation of DTF 1TFU. Downside: Negative GEX < 4381.50 and recapturing the 50d MA is within -1σ (W) 4342 (-1.64%).
Last Week (4430.50 DEC23 +2.38%)
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Bulls will seek to extend upside > WHI on a closing basis. Upside: LH 4430.50 gap closure is within +1σ (W) 4436.5 (+1.78%). 4500 and JHEQX NOV short call (+2.63%).
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Bears will seek to cause cessation of DTF 1TFU. Downside: Negative GEX < 4325.00 is within -1σ (W) 4301 (-1.71%). 200d MA 4274.00 (-2.33%); WVPOC.1 4264 (-2.55%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔵
15.16
13.85
9.46
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
3.48
2.63
32.32
0
0
Intermediate Term Optimism Index
⚪️ Normal
🔴
43
53
-18.87
65
35
CRB Optix
⚪️ Normal
🔴
45
48
-6.25
60
40
Bond Optix
🟢 Pessimism
🔴
40
43
-6.98
70
40
HYG Optix
⚪️ Normal
🔴
68.26
95.28
-28.36
80
20
US Dollar Optix
⚪️ Normal
🔵
59
56
5.36
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
1
1.03
-2.91
0
0
Crude Oil Optix
⚪️ Normal
🔴
49
51
-3.92
60
30
Gold Optix
⚪️ Normal
🔴
50
57
-12.28
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
🟢 Pessimism
🔵
1.03
0.82
25.61
0.5
0.75
VIX Put/Call Ratio
🟢 Pessimism
🔵
0.94
0.53
77.36
0.35
0.75
Stock Bond Ratio
⚪️ Normal
🔵
1.27
0.8
58.75
2
-2
GEX / Market Cap Ratio
⚪️ Normal
🔵
0.09
-0.02
550
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
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Sentiment
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Sentiment
🔴 Optimism
🔴
2.75
3.12
-11.86
2.75
3.25
Risk Appetite Index
⚪️ Normal
🔵
0.55
0.42
30.95
0.8
0.2
MOVE Index
🟢 Pessimism
🔴
116.79
129.16
-9.58
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-41.26
-16.96
-143.28
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔴
0.86
0.96
-10.42
0.8
1
Component Correlation
⚪️  Normal
🔵
0.43
0.39
10.26
0.35
0.55
Gamma Exposure (x000)
🔴  Optimism
🔵
4,139,280
-9,430,420
144.44
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
436.12
527.25
-17.28
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔵
49.5
10.38
376.88
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔵
41.88
24.65
69.9
70
30
NYSE TRIN
⚪️ Normal
🔵
1.2
0.96
25
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
678,808
673,437
0.74
0
0
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Sources

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