S&P 500 Futures
S&P 500 Futures
Week of Apr 02 2023

Week of Apr 02 2023

Market Wrap

EOW 13 - Benchmarks
EOW 13 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.7% 3998.0 → 4219.9)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.7% 3998.0 → 4219.9)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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The first quarter was eventful, that much goes without saying. Moreover, the fresh round of stresses in the system have served as a reminder that the full weight of the global tightening executed in 2022 has yet to flow through to the real economy. In light of the presumed six to nine month lagged impact of policy moves, the second quarter represents the beginning of the window during which investors will assess the fallout from hikes with a nod to the September 2022 move above neutral as the beginning of the countdown to impact. We'll argue that the regional banking turmoil was yet another unforeseen consequence of Powell's hurried hiking campaign. We doubt it will be the last — Ian Lyngen and Ben Jeffery, BMO
What we came to know as normal is actually the opposite of normal. Historically, the equity-bond correlation is positive. Measured on a 10-year rolling basis, it was almost 
What we came to know as normal is actually the opposite of normal. Historically, the equity-bond correlation is positive. Measured on a 10-year rolling basis, it was almost always positive until 2000. Assuming inflation stays high and geopolitics remains unruly, it’s more likely that stocks and bonds will move together - Goldman Sachs
Consensus is the Fed cutting by more than 150bps after May (long big tech and a virtually assured recession; short small-cap and banks and sell commodities).
Consensus is the Fed cutting by more than 150bps after May (long big tech and a virtually assured recession; short small-cap and banks and sell commodities). The pain trade is that a recession (both economic and EPS) gets delayed yet again by stimulus and a resilient US labor market (the market likely reprices lower but with cyclicals outperforming) - BofA
Nominal GDP is up up 35% from the COVID lows marking the fastest recovery since the end of WWII.
Nominal GDP is up up 35% from the COVID lows marking the fastest recovery since the end of WWII. In Q1, the US economy likely grew by 6% on a nominal basis; hot nominal growth is why there’s no EPS recession. Inflation and growth in the 2020s are also aided and abetted by $5.2 trillion in fiscal stimulus and $4.8 trillion in Fed QE - BofA

Week Ahead

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The upcoming week in the US will be full of releases, including the Labor Department's March jobs report, which will offer clues on the Federal Reserve's rate-hike path. It's likely that the US economy added 240k jobs, which is fewer than the 311K added in February, with unemployment remaining at 3.6%. Average hourly earnings probably increased 0.3% month-over-month, which is an acceleration from the prior 0.2% rise. Additionally, the Labor Department will release February data on job openings, quits, hires, and layoffs. Meanwhile, the Institute for Supply Management will publish March surveys of purchasing managers, measuring economic activity in the US manufacturing and services sectors. Economists expect this data to indicate further contraction in factory activity and a softer expansion in the services sector. Market participants will also closely monitor the Commerce Department's trade balance report - TradingEconomics
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Economic (UTC-4)
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- TradingEconomics
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Earnings
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- TradingTerminal

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 12-mo Estimate
🔴
220.49
221.34
230.43
September 30, 2022
Forward 12-mo PE
🔵
18.6
17.9
15.5
September 30, 2022
Nominal Earnings Yield
🔴
5.37
5.57
6.43
September 30, 2022

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
16.4
18.98
-2.58
-13.59%
SPX GEX Flip
⚪️
4,047.5
3,997.5
50
1.25%
SPX Skew Adjusted GEX
🔵
4,801,501,191
-6,091,924,330
10,893,425,521
178.82%
Total Put/Call Ratio (CBOE)
🔴
1.04
1.1
-0.06
-5.45%
Equity Put/Call Ratio (CBOE)
🔴
0.59
0.73
-0.14
-19.18%
VIX Put/Call Ratio (CBOE)
⚪️
0.49
0.5
-0.01
-2%
SPX Net Skew-Adjusted Gamma by Strike - @tradevolatility
SPX Net Skew-Adjusted Gamma by Strike - @tradevolatility
SPX Skew-Adjusted GEX Trend - @tradevolatility
SPX Skew-Adjusted GEX Trend - @tradevolatility
VIX Net Skew-Adjusted Gamma by Strike - @tradevolatility
VIX Net Skew-Adjusted Gamma by Strike - @tradevolatility
VIX Skew-Adjusted GEX Trend - @tradevolatility
VIX Skew-Adjusted GEX Trend - @tradevolatility

Futures

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June E-mini S&P 500 futures closed the day at a one month high of 4137.75 Friday, up by 57.75 (1.42%). Across all maturities, 1,697,308 contracts were traded, with 1,695,840 done in the June maturity. Overall open interest added 34,310, or 1.57%, to 2,222,259. June rose 34,146 (1.57%), finishing at 2,210,160.
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Option volumes were highest for the April E1A 4200 call (8,604) and the April E1B 3400 put (41,739). For April options, the 4200 calls were the most actively traded with 2,225 done, and the high volume put was the 3900 strike with 12,196 contracts changing hands. Options with the most open interest are the June EW3 100 call with 25,095, and the April E1B 3400 put with 41,768.
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E-mini S&P 500 implied volatility ended the day moderately down as the 30-day at-the-money decreased 0.36% to finish at 16.19%, a one month low. Historical volatility (30-day) ended the session at 18.16%, higher by 0.46%, to a one month high. As it fell by 0.83% to a one month low, the spread between the 30-day constant maturity implied and the 30-day historical volatilities closed at -1.97%.
Larger
Larger TF (COVID LO → Present) NEUTRAL - The larger timeframe (LTF) has been within a range of 3820 to 4175 (+/- 4.5%) during Q1. However, the strong closing position suggests a higher chance of continuing the upward trend into Q2 and ending the monthly downward trend. The odds now favor a third retest of the Q322 PB HI 4175 (+0.9%), leading to the possibility of reaching the February/Q1 HI 4208.50 (+1.71%). Buyers have taken control again above the Q1 VAH 4089.25 (-1.17%) pivot point.
Intermediate
Intermediate TF (2022 → Present) NEUTRAL - A multi-month balance (highlighted) is still within the broader long-term trading range between the August high of 4327.50 and the 2022 low of 3502.00. Significant turning points have happened when conditions are extremely overbought (Pane 3), suggesting that the risk-reward for long positions may be decreasing. However, seasonality data shows that April is usually a strong month. Despite this, it is likely that a retest of last week's 4082.50 (-1.34%) breakout level will happen at some point.
Short TF (2023 → Present)
Short TF (2023 → Present) BULLISH - The short-term trend has continued in line with the breakout above the March Supply Line, supported by increased Wave Volume (Pane 2) and rising weekly value. The strong position of the close suggests that the upward trend on the weekly timeframe is likely to continue. Buyers should ideally support a pullback to the WVAH 4107 (-0.73%) to avoid a potential breakout failure if sellers regain control of the Supply Line. However, the path of least resistance seems to be a retest of the February high at 4208.50 (+1.71%), which is slightly within the +1σ (W) and follows an observable uptrend channel.
30m RTH (March)
30m RTH (March) BULLISH - 0DTE options volume has coincided with more distinguishing Regular Trading Hours (RTH) price action in futures during 2023. We'll now show Daily Timeframe (DTF) profiles with 30-minute bars alongside the underlying asset (SPX). Observe the three consecutive gaps from Wednesday → Friday: when prices pulled back, responsive buyers stepped in exactly at the levels of previous day highs (as shown by the circles), creating a series of weak lows. Historically poor structure resulting from extreme one-way flow is non-durable, and likely to be tested when sellers eventually emerge.

Bull v Bear

This Week (30d ATM 16.19% v19.22% p)
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Bulls will seek to extend 1TFU and maintain price acceptance > Friday’s POC 4117 (-0.49%). Upside: 2022 Midpoint 4155.25 (+0.42%); Q322 PB HI 4175 (+0.9%); 4200 (+1.5%); YTD HI 4208.50 (+1.71%) are within within +1σ (W) 4230.75 (+2.25%).
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Bears will seek to contain momentum within ≤ Q1 HI 4208.50 (+1.71%) and ideally begin with cessation of DTF 1TFU < 4088.50 (-1.19%). Downside: WPOC 4080 (-1.4%); 50d MA 4050 (-2.12%) are within -1σ (W) 4049 (-2.14%).
Last Week (4137.75 JUN23 +3.41%)
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Bulls will seek to maintain bid momentum and ideally establish price acceptance above the 50d MA 4026 (+0.62%). Upside: WHI 4073.75 (+1.81%); MAR HI 4082.50 (+2.03%) and 4100 (+2.47%) are within +1σ (W) 4105.75 (+2.61%).
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Bears will seek to absorb and ideally recapture the WVWAP 3978.00 (-0.58%). Downside: Recapture < OCT HI 3955.75 (-1.14%); 200d MA 3942.00 (-1.48%); YTD VAL 3909.00 (-1.36%) are within -1σ (W) 3902 (-2.48%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
⚪️ Normal
🔵
7.54
4.09
84.35
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
0.53
-0.39
235.9
0
0
Intermediate Term Optimism Index
⚪️ Normal
🔵
63
39
61.54
65
35
CRB Optix
⚪️ Normal
🔵
50
45
11.11
60
40
Bond Optix
🟢 Pessimism
🔴
36
47
-23.4
70
40
HYG Optix
🔴 Optimism
🔵
94.61
39.15
141.66
80
20
US Dollar Optix
⚪️ Normal
🔴
44
46
-4.35
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.97
1.01
-3.96
0.1
0.5
Crude Oil Optix
⚪️ Normal
🔵
41
34
20.59
60
30
Gold Optix
⚪️ Normal
🔵
55
54
1.85
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio De-Trended
🔴 Optimism
🔴
-0.15
-0.12
-25
-0.15
0.15
VIX Put/Call Ratio
⚪️ Normal
⚪️
0.49
0.49
0
0.35
0.75
Hedge Fund Exp - Equities
⚪️ Normal
🔴
0.125
0.132
-5.3
0.2
0
Hedge Fund Exp - Dollar
🔴 Optimism
⚪️
0.35
0.35
0
0.3
-0.3
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Sentiment
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Sentiment
🔴 Optimism
🔴
2.73
2.96
-7.77
2.75
3.25
Risk Appetite Index
⚪️ Normal
🔵
0.3
0.25
20
0.8
0.2
MOVE Index
🟢 Pessimism
🔴
135.93
173.66
-21.73
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-56.17
-39.86
-40.92
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔴
0.88
0.91
-3.3
0.8
1
Component Correlation
🟢  Pessimism
⚪️
0.58
0.58
0
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔵
3,013,620
1,069,610
200
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
463.39
517.68
-10.49
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔵
50.3
23.26
116.25
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔵
59.88
43.11
38.9
70
30
NYSE TRIN
⚪️ Normal
🔵
1.09
0.98
11.22
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
683,455
676,487
1.04
0
0
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