S&P 500 Futures
S&P 500 Futures
Week of Nov 19 2023

Week of Nov 19 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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5% to 4% bond yields → easier financial conditions → bullish risk. 4% to 3% yields → recession → bearish risk — Michael Hartnett, Bank of America
The fiscal deficit increased significantly in the 12 months ended July 31 providing a major boost to the economic data, especially in the third quarter. That fiscal impulse also eliminated the risk of a hard landing this year and the pricing out of recession likely led to the overshoot on valuation this summer -
The fiscal deficit increased significantly in the 12 months ended July 31 providing a major boost to the economic data, especially in the third quarter. That fiscal impulse also eliminated the risk of a hard landing this year and the pricing out of recession likely led to the overshoot on valuation this summer - Morgan Stanley
Margins have stabilized, but substantial expansion from the current elevated level is unlikely due to diminishing tailwinds for S&P 500 profitability. Earnings growth should be around 5%, the same as the projected price increase for the index (4700 at year-end 2024). Valuations are seen steady at ~18x -
Margins have stabilized, but substantial expansion from the current elevated level is unlikely due to diminishing tailwinds for S&P 500 profitability. Earnings growth should be around 5%, the same as the projected price increase for the index (4700 at year-end 2024). Valuations are seen steady at ~18x - Goldman Sachs
The massive outperformance of mega-cap technology stocks has been a defining feature of the equity market in 2023, but their dominance largely reflected a reversal of meaningful under- performance in 2022. They returned -39% in 2022 versus with a -11% return for the remaining 493 constituents -
The massive outperformance of mega-cap technology stocks has been a defining feature of the equity market in 2023, but their dominance largely reflected a reversal of meaningful under- performance in 2022. They returned -39% in 2022 versus with a -11% return for the remaining 493 constituents - Goldman Sachs

Week Ahead

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In the United States, investors will focus on the release of the FOMC meeting minutes on Tuesday for insights into future monetary policy directions. Fed policymakers have been weighing the risks of taking both excessive and insufficient action while keeping an eye on the deceleration in inflationary pressures and indications of a loosening labor market. On the economic calendar, the US will witness the release of durable goods orders and the flash S&P Global PMI survey. It's expected that new orders for manufactured durable goods decreased by 3% in October, partially reversing a 4.7% surge from the previous month. Simultaneously, November's PMIs are likely to reveal moderate growth in service business activity and a marginal contraction in the manufacturing sector. Other noteworthy data includes existing home sales, the Chicago Fed National Activity Index, and the final reading of the Michigan consumer sentiment. US markets will be closed on Thursday and will have early closure on Friday due to the Thanksgiving Day holidays. Still, earnings reports will be released for several big companies including: Agilent, Zoom, Nvidia, Lowe’s, Analog, Dell, Autodesk, HP, Dollar Tree, Best Buy, and Deere & Company. Moving on to Canada, updated data on the inflation rate, retail sales, and new home prices will also be in the spotlight - 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
🔴
235.95
236.29
228.39
January 1, 2023
Forward 4-qtr PE
🔵
19.1
18.3
17.2
January 1, 2023
Nominal Earnings Yield
🔴
5.23
5.35
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
11.14
11.79
-0.65
-5.51%
SPX GEX Flip
🔵
4,442.5
4,362.5
80
1.83%
SPX Skew Adjusted GEX
🔴
-1,963,747,224
2,569,756,156
-4,533,503,380
-176.42%
Equity Put/Call Ratio (CBOE)
🔴
0.54
1.03
-0.49
-47.57%
VIX Put/Call Ratio (CBOE)
🔴
0.41
0.93
-0.52
-55.91%
SPX/W Put/Call Ratio (CBOE)
🔵
1.46
1.24
0.22
17.74%
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 closed at a one month high of 4527.50 Friday, up by 4.25. Overall, a light 1,335,623 contracts changed hands, with 1,331,912 traded in Dec. Combined open interest finished at a one month high of 2,235,406, adding 9,736 (0.44%). Dec open interest increased by 9,530, or 0.44%, to 2,186,436.
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Option trading centered around the Nov E3A 4700 calls with 15,130 done and the Nov E3B 3675 puts with volume of 29,202. In Dec options, the most actively traded call was the 4600 strike with 4,891 done, and the 4300 put leads with volume of 3,508. Option open interest is greatest for the Dec 4600 calls at 103,582, and the Dec EW3 3350 puts at 69,275.
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Implied Volatility closed moderately down with the 30-day at-the-money losing 0.25%, to finish the day at a one month low of 11.09%. The 30-day historical volatility finished the session lower by 0.0598% to 15.18%. As it fell by 0.1914% to a one month low, the spread between the 30-day constant maturity implied and the 30-day historical volatilities finished the day at -4.09%.
Higher TF (W → D)
Higher TF (W → D) BULLISH - The odds-favored bullish Change of Character (ChoCh) > LH 4430.50 was confirmed on last week’s CPI catalyst. Moreover, the ensuing consolidation well above Tuesday’s impulse coincides with the base of unmitigated Higher TF supply (red-shaded). Ensuing consolidation will be indicative of a flagging formation, whereas a pullback will facilitate backing and filling into what should be a sufficient base of support. WHI 4541.25 will likely be confirmed as a new HH, and re-targeted (as weak) on confirmation of a supportive HL in the context of favorable Nov→ Dec seasonal tailwinds and declining rates volatility.
Lower TF (3H → M30)
Lower TF (3H → M30) BULLISH - The Lower TF reveals value divergence and migration relative to the Higher TF. Pane 1 highlights a clear breakout above the trailing 2-mo value area, yet to be confirmed by Higher TF, but sufficiently confirmed by Lower TF value migration on both WTF and DTF. That said, the air pocket between W45 → W46 value areas is structurally weak and susceptible to an interim pullback, likely to attract a responsive bid. Notice also that the supportive (price adjusted) GEX flip also resides in the below inefficiency zone. Buyers remain in control > the unmitigated LL 4420.25 → WHI.1 4435.50 Lower TF demand zone (Pane 2).

Bull v Bear

This Week (30d ATM IV 11..09% v 30d RVOL 15.18%)
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Bulls will seek to extend upside > WHI and confirm a BOS > WHI 4541.25 on a closing basis. Upside: 4458 gap closure and 4600 is within +1σ (W) 4602 (+1.65%).
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Bears will seek to cause cessation of DTF 1TFU. Downside: Negative GEX < 4454.00 coincides with -1σ (W) 4455 (-1.62%); 4430.50 breakout backtest (-2.14%).
Last Week (4527.50 DEC23 +2.14%)
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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%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔵
17.4
15.16
14.78
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
3.83
3.48
10.06
0
0
Intermediate Term Optimism Index
🔴 Optimism
🔵
66
43
53.49
65
35
CRB Optix
⚪️ Normal
🔵
48
45
6.67
60
40
Bond Optix
🟢 Pessimism
🔴
34
40
-15
70
40
HYG Optix
⚪️ Normal
🔵
77.66
68.26
13.77
80
20
US Dollar Optix
⚪️ Normal
🔴
54
59
-8.47
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.97
1
-3
0
0
Crude Oil Optix
⚪️ Normal
🔴
46
49
-6.12
60
30
Gold Optix
⚪️ Normal
🔵
54
50
8
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Options Speculation Index
🔴 Optimism
🔵
1.19
1.1
8.18
1.15
0.9
ROBO Put/Call Ratio
⚪️ Normal
🔴
0.68
0.79
-13.92
0.5
0.75
Stock Bond Ratio
⚪️ Normal
🔴
1.15
1.27
-9.45
2
-2
GEX / Market Cap Ratio
⚪️ Normal
🔵
0.1
0.09
11.11
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
🔴
0.53
0.66
-19.7
0.4
0.6
Risk On/Off Index
🔴 Optimism
🔵
52.38
38.1
37.48
50
0
MOVE Index
🟢 Pessimism
🔴
113.11
116.79
-3.15
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-45.22
-41.26
-9.6
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
🔵
0.87
0.86
1.16
0.8
1
Component Correlation
⚪️  Normal
🔵
0.46
0.43
6.98
0.35
0.55
Gamma Exposure (x000)
🔴  Optimism
🔵
4,511,810
4,139,280
0
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
415.17
436.12
-4.8
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
🔴 Optimism
🔵
72.06
49.5
45.58
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔵
54.51
41.88
30.16
70
30
NYSE TRIN
⚪️ Normal
🔴
0.89
1.2
-25.83
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
681,963
678,808
0.44
0
0
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Sources

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