S&P 500 Futures
S&P 500 Futures
Week of Dec 10 2023

Week of Dec 10 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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Volatility levels tend to follow the levels of interest rates with a lag, since monetary policy impacts leverage, liquidity provision and the functioning of arbitrage channels in financial markets, in addition to its impact on economic growth/corporate margins/credit conditions/etc. With short-term rates at 15-year highs and implied volatility well below its long-term average, volatility levels appear disconnected from interest rates — Marko Kolanovic
Excess household liquidity trends indicate that for 80% of consumers (who account for nearly 2/3 of consumption) excess savings from the COVID era are already gone, and by mid-2024 it is likely that only the top 1% of consumers by income will be better off than before the pandemic -
Excess household liquidity trends indicate that for 80% of consumers (who account for nearly 2/3 of consumption) excess savings from the COVID era are already gone, and by mid-2024 it is likely that only the top 1% of consumers by income will be better off than before the pandemic - JPMorgan
Bear sentiment is flipping to speculative animal spirits. The current reading is merely neutral but the jump from 2.7 last week to 3.8 was the largest since February of 2012 owed to a six-week tsunami of inflows to high yield credit as well as emerging market stock inflows. Sentiments is no longer contrarian positive for risk assets -
Bear sentiment is flipping to speculative animal spirits. The current reading is merely neutral but the jump from 2.7 last week to 3.8 was the largest since February of 2012 owed to a six-week tsunami of inflows to high yield credit as well as emerging market stock inflows. Sentiments is no longer contrarian positive for risk assets - Bank of America
The movement in 10-year Treasury yields over the last six months is largely attributable to changes in the bond market’s view on what the Fed will do next year. Perceived pivots hurt bonds and stocks between July and October and helped considerably since then. The 130bps of cuts priced through year-end 2024 is a high bar -
The movement in 10-year Treasury yields over the last six months is largely attributable to changes in the bond market’s view on what the Fed will do next year. Perceived pivots hurt bonds and stocks between July and October and helped considerably since then. The 130bps of cuts priced through year-end 2024 is a high bar - Morgan Stanley

Week Ahead

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The upcoming week will be focused on the FOMC meeting and Fed Chair Jerome Powell's press conference. Powell is expected to indicate that the Fed is done raising the federal funds rate and acknowledge progress in bringing down inflation. The markets have likely already priced in Powell's remarks and the Summary of Economic Projections. Other key data to watch include consumers' inflationary expectations, CPI, PPI, retail sales, and industrial production, which are expected to confirm a moderating inflation trend and support a bullish outlook for stocks and bonds - Yardeni Research
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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
🔴
236.26
236.41
228.39
January 1, 2023
Forward 4-qtr PE
🔵
19.5
19
17.2
January 1, 2023
Nominal Earnings Yield
🔴
5.13
5.15
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔵
11.01
10.6
0.41
0.42%
SPX GEX Flip
🔵
4,557.5
4,512.5
45
1%
SPX Skew Adjusted GEX
🔴
-3,840,835,577
-3,137,760,275
-703,075,302
-22.41%
Equity Put/Call Ratio (CBOE)
🔵
0.56
0.51
0.05
9.8%
VIX Put/Call Ratio (CBOE)
🔵
0.61
0.3
0.31
103.34%
SPX/W Put/Call Ratio (CBOE)
🔵
1.25
1.2
0.05
4.17%
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 ended at a one month high of 4607.50 Friday, higher by 18.00. Across all maturities, volume came in at a one month high of 3,621,725, with Dec seeing a heavy 2,289,425 traded. Total open interest ended at a one month high of 2,452,283, adding 54,793, or 2.29%. Dec open interest shed 405,569 (19.33%), to 1,692,975.
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The Dec E2C 3825 put saw the most action with 49,623 contracts done. High volumes in Dec option trading were seen in the 4650 calls (5,255) and the 4600 puts (13,362). Calls with the highest open interest are the Dec 4600 strike (82,343), and for the puts are the Dec EW3 3300 strike (69,389).
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Implied Volatility ended the day moderately down with the 30-day at-the-money lower by 0.72%, to close the session at a one week low of 10.42%. Down by 0.29% to a one month low, historical volatility (as measured by the 30-day) ended the day at 10.81%.
Higher TF (W → D)
Higher TF (W → D) BULLISH - Back-adjusted (ESH24) illustrate continued resistance at the base of the 2022 Supply Line and unmitigated Supply Zone → Q323 HI 4734.50 (+1.59%). DTF buying momentum is waning, indicative of consolidation and absorption. This week’s FOMC announcement will likely catalyze a break (up or down) from the current multi-week congestion zone. Establishing price acceptance above Q323 HI positions the market to retest the Q222 LH 4860.25, the final LH protecting (EZH24) ATH 5028.25. Conversely a loss of WLO.1 4695.75 (-1.38%) creates scope for a pullback into extensive structural weakness below (circled on Pane 2) ripe for repair.
Lower TF (3H → M30)
Lower TF (3H → M30) BULLISH - Daily, Weekly, Monthly remain synchronized in a bullish 1TFU configuration. Pullbacks remain shallow on dismantled vol and continuation of the positive GEX regime. A prominent HVN has formed as value has consolidated over the past 3-weeks. The bullish view is basing just below resistance; the bearish view sees a topping formation at risk of washing out. Price action continues to hint towards angulated departure from our multi-timeframe momentum model. This is the precondition for an eventual countertrend entry signal, preferably on the 3H timeframe with confirming vol and correlations.

Bull v Bear

This Week (30d ATM IV 10.42% v 30d RVOL 10.81%)
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Bulls will seek to extend upside and price acceptance > WHI on a closing basis. Upside: Q323 HI 4734.50 is just beyond +1σ (W) 4728.50 (+1.46%). ESH24 Q222 LH 4860.25 is beyond +2σ (W) 4797 (+2.93%).
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Bears will seek to cause cessation of WTF 1TFU and ideally recapture negative GEX < 4598.50 and within -1σ (W) 4538 (-1.42%). Downside Vol Trigger 4550 (-2.37%) is within -2σ (W) 4528 (-2.84%).
Last Week (4607.50 DEC23 +0.14%)
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Bulls will seek to extend upside and price acceptance > WHI on a closing basis. Upside: Q323 HI 4634.50 (0.73%) is within +1σ (W) 4670 (+1.51%). ATH 4808.25 (+4.51%) > +2σ (W) 4731 (+3.00%).
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Bears will seek to cause cessation of DTF 1TFU and a pullback phase. Downside: WVAL 4543 (-1.07%); WLO 4536.75 (-1.22%) are within -1σ (W) 4534 (-1.45%). GEX Flip 4520.50 (-1.74%) is just beyond.

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔵
20.4
20.15
1.24
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
7.65
7.33
4.37
0
0
Intermediate Term Optimism Index
🔴 Optimism
🔴
79
80
-1.25
65
35
CRB Optix
⚪️ Normal
🔴
45
48
-6.25
60
40
Bond Optix
⚪️ Normal
🔵
46
43
6.98
70
40
HYG Optix
⚪️ Normal
🔴
48.43
87.6
-44.71
80
20
US Dollar Optix
⚪️ Normal
🔵
56
51
9.8
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.87
0.91
-4.4
0
0
Crude Oil Optix
⚪️ Normal
🔴
40
43
-6.98
60
30
Gold Optix
⚪️ Normal
🔴
59
66
-10.61
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
US Put / Call Option Volume
⚪️ Normal
🔵
0.78
0.72
8.33
0.7
1
SPY Optix
⚪️ Normal
🔴
62.37
72.83
-14.36
80
20
Stock Bond Ratio
⚪️ Normal
🔴
0.07
0.59
-88.14
2
-2
GEX / Market Cap Ratio
⚪️ Normal
🔵
0.12
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
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Sentiment
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Small Trader Put/Call Premium
⚪️ Normal
🔵
0.56
0.51
9.8
0.4
0.6
Risk On/Off Index
🔴 Optimism
⚪️
71.43
71.43
0
50
0
MOVE Index
🟢 Pessimism
🔵
121.65
111.51
9.09
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-49.52
-34.49
-43.58
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
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔴
0.81
0.82
-1.22
0.8
1
Component Correlation
⚪️  Normal
🔴
0.46
0.47
-2.13
0.35
0.55
Gamma Exposure (x000)
🔴  Optimism
🔵
5,690,580
4,924,650
25
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔵
401.91
395.81
1.54
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
🔴 Optimism
🔴
82.87
85.6
-3.19
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔴
66.87
67.07
-0.3
70
30
NYSE TRIN
⚪️ Normal
🔴
0.62
0.91
-31.87
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
687,249
687,152
0
0
0
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