S&P 500 Futures
S&P 500 Futures
Week of Apr 14 2024

Week of Apr 14 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

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Between this and last week’s payrolls upside, you can forget about a June rate cut from the Fed. It’s off the table. It has now become very difficult to envision 75bps of rate cuts this year in the wake of Wednesday’s data. Overall, the CPI figures materially undermine the Fed’s assumption that January/February were simply a bump in the road toward normalization — Ian Lyngen, BMO
Market breadth as measured the 10d MA of new 52-week highs minus new 52-week lows confirmed the rally into late 2023 and early 2024 but has since developed a tactical bearish divergence as new highs have waned relative to new lows. This March-April divergence for the SPX and a YTD divergence on the NASDAQ Comp and NYSE Comp suggest tactical risk for equities -
Market breadth as measured the 10d MA of new 52-week highs minus new 52-week lows confirmed the rally into late 2023 and early 2024 but has since developed a tactical bearish divergence as new highs have waned relative to new lows. This March-April divergence for the SPX and a YTD divergence on the NASDAQ Comp and NYSE Comp suggest tactical risk for equities - Bank of America
ABB (Anything But Bonds) Bull inciting greed for inflation hedges and monopolistic cash flows (new highs gold & Magnificent 7) plus fear of leverage (see REITs, KRE, RTY) & duration (XBI). The no landing probability is rising…rare for tech & commodities both top-of-the-price but consistent with no landing and very reminiscent of 1999 -
ABB (Anything But Bonds) Bull inciting greed for inflation hedges and monopolistic cash flows (new highs gold & Magnificent 7) plus fear of leverage (see REITs, KRE, RTY) & duration (XBI). The no landing probability is rising…rare for tech & commodities both top-of-the-price but consistent with no landing and very reminiscent of 1999 - Bank of America
While we continue to expect the Fed to cut on quarterly basis once it starts, we think the right answer is to reduce the number of cuts, whether it is due to: the increase in the labor force pushing potential growth temporarily higher, higher inflation leading the Fed to keep policy more restrictive on the margin, or large fiscal deficits helping fuel the expansion -
While we continue to expect the Fed to cut on quarterly basis once it starts, we think the right answer is to reduce the number of cuts, whether it is due to: the increase in the labor force pushing potential growth temporarily higher, higher inflation leading the Fed to keep policy more restrictive on the margin, or large fiscal deficits helping fuel the expansion - Bank of America

Week Ahead

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In the United States, retail sales data and speeches from several Federal Reserve policymakers will be closely watched by investors. Additionally, the first quarter earnings season will proceed into its second week. Major financial companies set to report include Goldman Sachs, Bank of America, Morgan Stanley, American Express, Blackstone, and Charles Schwab. Other notable companies releasing earnings include UnitedHealth, Taiwan Semiconductor Manufacturing, Netflix, P&G, J&J, ASML Holding, Abbott, ProLogis, Intuitive Surgical, and Elevance Health. March's retail sales are projected to have grown by 0.3%, following a 0.6% increase in February. The housing sector will also be under scrutiny, with a focus on building permits, housing starts, existing home sales, and the NAHB Housing Market Index. Other data to monitor include industrial production, business inventories, overall capital flows, the NY Empire State Manufacturing Index, and the Philadelphia Fed Manufacturing Index. (Source: 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
🔵
251.81
251.58
243.98
January 1, 2024
Forward 4-qtr PE
🔴
20.3
20.6
20.16
January 1, 2024
Nominal Earnings Yield
🔵
4.91
4.84
5.19
January 1, 2024

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔵
14.52
13.36
1.16
8.68%
SPX GEX Flip
🔴
5,123.41
5,207.5
-84.09
-1.61%
SPX Skew Adjusted GEX
🔴
-4,892,426,884
-407,214,929
-4,485,211,955
-1,101.44%
Equity Put/Call Ratio
🔴
0.68
0.71
-0.03
-4.23%
VIX Put/Call Ratio
🔴
0.42
1.13
-0.71
-62.83%
SPX/W Put/Call Ratio
🔴
1.44
1.66
-0.22
-13.25%
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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June E-mini S&P 500 futures finished the session at a one month low of 5167.50 Friday, losing 75.75 (1.44%). Total volume was a heavy 2,008,499, with the June maturity seeing 2,005,106 traded. Across all maturities, open interest added 13,338, or 0.64%, with June up 12,828 (0.62%) to 2,072,666.
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Option volumes were largest for the April E3A 5350 call (11,453) and the April E3A 4300 put (38,668). Greatest volumes in April option trading were seen in the 5250 calls (6,630) and the 5000 puts (12,587). Option open interest is highest for the May EW3 5400 calls at 53,340, and the April E3A 4300 puts at 84,338.
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As measured by the 30-day at-the-money, implied volatility finished the day sharply up, gaining 1.53% to close the session at a one month high of 14.44%. The 30-day historical volatility ended the session gaining 0.62% to a one week high of 11.10%. As measured by the 30-day, the 25-delta Risk Reversal finished the session sharply down, lower by 0.83% to end the day at a one month low of -3.70%.
Higher TF (W → D)
Higher TF (W → D) NEUTRAL - The lower timeframe correction has done its job; it has facilitated higher timeframe trend pause, sufficient for an arguably overdue retest of ascending 50d MA. The now confirmed breakout failure (above the March VA) and shift in momentum has created scope for a sweepback of the value area → targeting VAL 5095 (-1.4%), the coming week’s bearish scenario. Conversely, responsiveness at the now convergent 50d MA would be indicative of completing the correction if follow through is sufficient to recapture Thursday’s local high 5257.50 → 5266 FVG (+1.91%) on a closing basis.
Lower TF (3H → M30)
Lower TF (3H → M30) BEARISH - The lower timeframe correction expanded its range, as sellers grabbed liquidity just above the 5250 midpoint of the 5308 → 5191.50 swing structure (Pane 1), and gathered momentum sufficient to confirm a Break of Structure (< 5173.50 on a closing basis. The resulting 5257.50 → 5150 leg will serve as the coming week’s reference range. Holding Friday’s closing bullish FVG at 5160.25 creates scope for rotating → 5200 (+0.63%) where sellers would be expected to respond. Acceptance > 5200 on confirming momentum opens the gate to retest Thursday’s local high 5257.50 and positive GEX flip point (+1.73%).

Bull v Bear

This Week (30d ATM IV 14.44% v 30d HV 11.01%)
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Bulls will seek to recapture Thursday’s local high 5257.50 and positive GEX on a closing basis. Upside: WHI 5285 (+2.27%) is beyond +1σ (W) 5274 (+2.06%).
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Bears will seek to extend the correction < WLO 5150 and 50d MA on a closing basis. Downside: MAR VAL 5095.25 (-1.4%) is within -1σ (W) 5061.00 (-2.06%).
Last Week (5167.50 JUN24 -1.63%)
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Bulls will seek to recapture DTF 1TFU and ideally the 5308.50 HH on a closing basis. Upside: WHI & ATH 5333.50 (+1.53%) is within +1σ (W) 5353.00 (+1.90%).
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Bears will seek to expand the negative GEX < 5257 and ideally extend DTF 1TFD on a closing basis. Downside: < Poor WLO 5191.50 (-1.17%) is within -1σ (W) 5156.00 (-1.85%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
⚪️ Normal
🔴
7.41
9.11
-18.66
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
2.11
2.01
4.98
0
0
Intermediate Term Optimism Index
⚪️ Normal
🔴
56
69
-18.84
65
35
CRB Optix
⚪️ Normal
🔴
53
54
-1.85
60
40
Bond Optix
🟢 Pessimism
🔴
29
33
-12.12
70
40
HYG Optix
⚪️ Normal
🔵
29.08
26.18
11.08
80
20
US Dollar Optix
⚪️ Normal
🔵
48
42
14.29
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
⚪️
0.72
0.72
0
0
0
Crude Oil Optix
🔴 Optimism
🔴
61
65
-6.15
60
30
Gold Optix
🔴 Optimism
🔴
70
73
-4.11
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
US Put / Call Option Volume
⚪️ Normal
🔴
0.79
0.95
-16.84
0.7
1
SPY Optix
🟢 Pessimism
🔴
14.83
54
-72.54
80
20
Stock Bond Ratio
⚪️ Normal
🔴
1.44
1.71
-15.79
2
-2
GEX / Market Cap Ratio
🟢 Pessimism
🔴
0.05
0.06
-16.67
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
🔵
0.5
0.39
28.21
0.4
0.6
Risk On/Off Index
🔴 Optimism
🔴
85.71
95.24
-10.01
50
0
MOVE Index
🟢 Pessimism
🔵
112.82
94.31
19.63
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-37.71
-35.1
-7.44
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
🔵
0.95
0.93
2.15
0.8
1
Component Correlation
⚪️  Normal
🔵
0.38
0.37
2.7
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔴
2,553,520
3,504,910
-33.33
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔵
355.7
339.15
4.88
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔴
44.11
73.05
-39.62
70
30
SPY Breadth (% > 200d MA)
🔴 Optimism
🔴
71.83
79.07
-9.16
70
30
NYSE TRIN
🟢 Pessimism
🔵
2.43
0.8
203.75
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔴
699,789
702,849
-0.43
0
0
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Sources

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