S&P 500 Futures
S&P 500 Futures
Week of Jul 16 2023

Week of Jul 16 2023

Market Wrap

EOW 28- Benchmarks
EOW 28- Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 1.8% 4424.6→ 4586.8)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 1.8% 4424.6→ 4586.8)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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We see US corporate pricing power near 3% and edging lower. Compensation pressures are heavier. Like consumer price inflation, wage and compensation pressures have peaked. However, compensation gains continue to run at 4-5%. The Employment Cost Index for Q2 is scheduled for release later this month. With compensation materially outstripping corporate pricing power, profit margins are being squeezed. Companies facing stiff compensation pressures and limited ability to pass along these rising costs will be forced to cut back on hiring. We know the last employment report was another healthy one. We were predicting a strong report. The dynamics, however, are turning. Employment costs should soon stretch beyond companies’ ability to pay — Stephen Gallagher, SocGen
The correlation between central bank liquidity and the Nasdaq disconnects on CPI and AI, plus SVB illustrates that central banks are quicker to add than withdraw liquidity.
The correlation between central bank liquidity and the Nasdaq disconnects on CPI and AI, plus SVB illustrates that central banks are quicker to add than withdraw liquidity. Yet the liquidity drain is set to continue. Between them, the Fed and ECB will drain more than $100 billion per month and US Treasury issuance will nullify oodles of MMF cash - Bank of America
Beyond the waning liquidity impulse there is risk of headline CPI inflecting higher.
Beyond the waning liquidity impulse there is risk of headline CPI inflecting higher. There is also indication that consumers are beginning to struggle; pandemic buffers are dwindling and retail sales and BAC credit card spend are now negative. Goldilocks rules risk assets for now, but the situation could look different within a few months - Bank of America
Our RAI has pulled ahead of the services-only PMI; risk appetite now exceeds one measure of the activity impulse in the strongest sector of the global economy.
Our RAI has pulled ahead of the services-only PMI; risk appetite now exceeds one measure of the activity impulse in the strongest sector of the global economy. An elevated RAI is not a bearish signal per se but the asymmetry to add (right-tail) risk is reduced and the market can be more vulnerable in the event of disappointments - Goldman Sachs

Week Ahead

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The upcoming week is highlighted by earnings reports from several prominent companies, including Bank of America, Morgan Stanley, Goldman Sachs, IBM, Netflix, Tesla, Johnson & Johnson, Philip Morris International, and American Express. In terms of macro data, retail sales in the United States are expected to continue growing at a moderate pace of 0.4% in June. However, industrial production is projected to contract by 0.1%, marking the second consecutive month of decline. Additionally, there are expectations of a decline in June's building permits and housing starts, as well as in existing home sales. Other economic data to watch for include homebuilder sentiment, business inventories, overall capital flows, and regional activity indexes such as the NY Empire State Manufacturing Index and the Philadelphia Fed Manufacturing Index - TradingEconomics
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Calendar (UTC-4)
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- TradingEconomics
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Major Economies
-TradingEconomics
-TradingEconomics

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔴
229.97
230.26
228.39
January 1, 2023
Forward 4-qtr PE
🔵
19.6
19.1
17.2
January 1, 2023
Nominal Earnings Yield
🔴
5.11
5.23
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
10.85
12.1
-1.25
-10.33%
SPX GEX Flip
🔵
4,427.5
4,397.5
30
0.68%
SPX Skew Adjusted GEX
🔵
6,165,453,506
566,034,362
5,599,419,144
989.24%
Equity Put/Call Ratio (CBOE)
🔴
0.48
0.52
-0.04
-7.7%
VIX Put/Call Ratio (CBOE)
🔵
0.55
0.32
0.23
71.88%
SPX/W Put/Call Ratio (CBOE)
🔵
1.48
1.31
0.17
12.98%
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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Friday's E-mini S&P 500 market was slightly lower with the Sep contract off by 6.75 to 4536.75. Across all maturities, the session saw a light 1,382,974 contracts change hands, with Sep volume coming in at 1,381,069. Combined open interest dropped 10,560, or 0.47%, to 2,259,405. Sep shed 10,452 (0.46%), finishing at 2,238,932.
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Option trading centered around the July EW4 4650 calls with 20,949 traded and the July E3C 3625 puts with volume of 33,989. Greatest volumes in July option trading were seen in the 4550 calls (6,600) and the 4050 puts (8,483). Calls with the highest open interest are the July EW4 4650 strike (28,225), and for the puts are the July E3A 3720 strike (54,771).
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As measured by the 30-day at-the-money, implied volatility was moderately down, off by 0.26% to end the session at a one week low of 10.76%. The 30-day historical volatility settled lower by 0.13% to a twelve year low of 9.87%.
Longer TF (W → D)
Longer TF (W → D) BULLISH - During W28, a retest of the JUN POC preceded recapture of WTF 1TFU, catalyzed by a better-than-expected June CPI. One-way flow in low volume and liquidity conditions has enabled greater ease of movement and continued buyer dominance across all timeframes. The absence of a Lower High (LH) since the mid-May breakout confirms the current trend's resilience. However, price action is moderating with the initial tests of a prominent larger timeframe supply zone, evidenced by a (modest) bearish divergence on Friday.
Shorter TF (3H → M30)
Shorter TF (3H → M30) NEUTRAL - A Change of Character on the M30 was signaled during a (consecutive) weak Friday close, and with notably greater selling pressure: NYSE TRIN (1.72 v 0.85p) and UVOL (18.5% v 73.3%p). Commencement of a pullback, facilitated by a shorter timeframe counter-trend, would be indicated by cessation of DTF 1TFU and higher timeframe momentum tapering (thus far evident only on shorter timeframes). That said, there is not much on the upcoming week’s docket in the US with the potential to force a material rethink before the July FOMC.

Bull v Bear

This Week (30d ATM IV 10.76% v 30d RVOL 9.87%)
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Bulls will seek to extend > WHI 4560.50 (+0.52%) and ideally 4600 (+1.39%) on a closing basis. Upside: Q222 LH 4631 (+2.08%) is marginally beyond the +1σ (W) 4609 (+1.59%).
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Bears will seek recapture DTF 1TFD and retrace < the trailing 4w VAH 4484.75 (-1.16%) on a closing basis. Downside: WLO 4411.25 is just within the -2σ (W) expected range (-3.06%).
Last Week (4536.75 SEP23 +2.32%)
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Bulls will seek to defend WLO.1 4368.50 (-1.48%) on further weakness. Upside: > WHI 4494 (+1.35%) and ideally 4500 on a closing basis are within the +1σ (W) 4512.50 (+1.77%).
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Bears will seek to break WLO.1 on a closing basis. Downside: < JUN VAL 4350 (-1.89%), marginally beyond the -1σ (W) expected range (-1.70%), begins repair of the Departure Gap.

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔵
16.93
14.53
16.52
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
2.89
2.64
9.47
0
0
Intermediate Term Optimism Index
🔴 Optimism
🔵
83
74
12.16
65
35
CRB Optix
⚪️ Normal
🔵
51
48
6.25
60
40
Bond Optix
🟢 Pessimism
🔵
33
19
73.68
70
40
HYG Optix
⚪️ Normal
🔵
47.22
34.17
38.19
80
20
US Dollar Optix
🟢 Pessimism
🔴
39
45
-13.33
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.9
0.92
-2.17
0
0
Crude Oil Optix
⚪️ Normal
🔵
43
40
7.5
60
30
Gold Optix
⚪️ Normal
🔵
56
52
7.69
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
🔴 Optimism
🔴
0.48
0.52
-7.69
0.5
0.75
VIX Put/Call Ratio
⚪️ Normal
🔵
0.55
0.32
71.88
0.35
0.75
Stock Bond Ratio
⚪️ Normal
🔴
1.84
2.13
-13.62
2
-2
GEX / Market Cap Ratio
⚪️ Normal
🔵
0.11
0.07
57.14
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
🔴
2.82
2.86
-1.4
2.75
3.25
Risk Appetite Index
🔴 Optimism
⚪️
0.95
0.95
0
0.8
0.2
MOVE Index
🟢 Pessimism
🔴
112.48
130.41
-13.75
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-94.19
-89.05
-5.77
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔴
0.83
0.86
-3.49
0.8
1
Component Correlation
⚪️  Normal
🔴
0.45
0.47
-4.26
0.35
0.55
Gamma Exposure (x000)
🔴  Optimism
🔵
5,268,010
3,200,180
66.67
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
429.89
453.04
-5.11
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
🔴 Optimism
🔵
83.86
73.76
13.69
70
30
SPY Breadth (% > 200d MA)
🔴 Optimism
🔵
70
64.67
8.24
70
30
NYSE TRIN
⚪️ Normal
🔵
1.72
0.85
102.35
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
688,937
685,173
0.44
0
0
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Sources

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