S&P 500 Futures
S&P 500 Futures
Week of Feb 18 2024

Week of Feb 18 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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Yields reached their highs for the year following the hot US CPI print and the market continues to reduce the amount of cuts expected this year but we see the current dip as a buying opportunity. While the last mile of disinflation will be bumpy, further central bank hikes are unlikely and the medium-term trend should be towards lower yields — Subadra Rajappa (owner of house rates call), SocGen
Our central case remains that equity upside is limited from here, constrained by the fact that investors’ equity allocation globally is approaching the post-Lehman high seen in early 2015. At the same time, we recognize that a further increase in equity allocations to the previous 2007 cycle peak is neither an unlikely scenario nor an unreasonable assumption -
Our central case remains that equity upside is limited from here, constrained by the fact that investors’ equity allocation globally is approaching the post-Lehman high seen in early 2015. At the same time, we recognize that a further increase in equity allocations to the previous 2007 cycle peak is neither an unlikely scenario nor an unreasonable assumption - JPMorgan
The above visual was published on February 13, a few hours before the January CPI release. Just 4% of respondents in the poll expected higher short-term rates over the next 12 months and a mere 7% expected higher inflation. Suffice to say if we haven’t seen the cycle highs for Fed funds, it’s going to come as one helluva surprise for the vast majority of market participants -
The above visual was published on February 13, a few hours before the January CPI release. Just 4% of respondents in the poll expected higher short-term rates over the next 12 months and a mere 7% expected higher inflation. Suffice to say if we haven’t seen the cycle highs for Fed funds, it’s going to come as one helluva surprise for the vast majority of market participants - Bank of America
Stocks were this week’s flows winner, with IG credit a close second. High-grade bonds have seen four months of uninterrupted inflows. If you annualize the YTD figures, you’re left to ponder what’d be a half-trillion year for IG fund inflows, double the record. Tech-focused equity funds are likewise on track for a banner year, not surprising given the narrative driving stocks to fresh records -
Stocks were this week’s flows winner, with IG credit a close second. High-grade bonds have seen four months of uninterrupted inflows. If you annualize the YTD figures, you’re left to ponder what’d be a half-trillion year for IG fund inflows, double the record. Tech-focused equity funds are likewise on track for a banner year, not surprising given the narrative driving stocks to fresh records - Bank of America

Week Ahead

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In the US, the Federal Open Market Committee (FOMC) meeting minutes due on Wednesday will provide insights into the potential timing of future interest rate cuts by the Federal Reserve, supplemented by comments from various Fed officials. Meanwhile, the data front will focus on the preliminary S&P Global PMIs, expected to indicate a slight slowdown in both manufacturing and services sectors. Other significant releases include existing home sales data, the Chicago Fed National Activity Index, and weekly jobless claims. Companies such as Home Depot, Walmart, Etsy, NVIDIA, Moderna, and Berkshire Hathaway are set to announce their quarterly results. (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
🔴
242.57
242.77
243.98
January 1, 2024
Forward 4-qtr PE
🔴
20.6
20.7
20.16
January 1, 2024
Nominal Earnings Yield
🔵
4.85
4.83
5.19
January 1, 2024

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔵
11.36
10.87
0.49
4.51%
SPX GEX Flip
🔵
4,977.5
4,877.5
100
2.05%
SPX Skew Adjusted GEX
🔵
-758,800,286
-4,746,293,052
39,874,927,663
84.01%
Equity Put/Call Ratio (CBOE)
🔵
0.53
0.48
0.05
10.42%
VIX Put/Call Ratio (CBOE)
🔴
0.36
0.37
-0.01
-2.7%
SPX/W Put/Call Ratio (CBOE)
🔵
1.49
1.45
0.04
2.76%
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 lower with the March contract down 26.75 to 5019.75. Overall, 1,534,721 contracts were traded, with 1,527,729 done in March. Total open interest shed 7,249, or 0.31%, with March losing 9,344 (0.41%) to 2,271,661.
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Option volumes were greatest for the Feb E3B 5260 call (13,522) and the Feb E3B 4225 put (49,393). Largest volumes in March option trading were seen in the 5050 calls (4,592) and the 3050 puts (5,764). Calls with the largest open interest are the March EW3 100 strike (13,901), and for the puts are the Feb EW 4800 strike (55,488).
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Implied Volatility closed slightly up with the 30-day at-the-money adding 0.0723%, to finish the session at 11.32%. Gaining 0.22% to a one month high, historical volatility (as measured by the 30-day) finished at 12.25%. The 30-day volatility spread (IV-HV) decreased by 0.14% to close the session at a one month low of -0.93%.
Higher TF (W → D)
Higher TF (W → D) BULLISH - WHI coincided with an approaching retest of the 2021 Demand Line, broken during the 2022 cycle and thereby forming ascending resistance on the higher timeframe trend channel. This level was last tested and rejected during Q322. Selling absorption was readily observable heading into Tuesday’s CPI catalyst, which resulted in a liquidation break sufficient to sweep the entire value area of February. That said, the higher timeframe market structure remains squarely bullish, and trend continuation will be confirmed by the continued ascent of March value. All timeframes (quarterly, monthly, weekly, daily) remain synchronized in the upward direction. Higher timeframe buyers remain in control > WLO of 4936.50 (-2.11%).
Lower TF (3H → M30)
Lower TF (3H → M30) BULLISH - Lower timeframe market structure is on the cusp of signaling a LH that would confirm WLO as a vulnerable/weak LL. That said, a pullback phase would occur within an ascending triangle formation, which is indicative of bullish consolidation - perfectly normal given the recent ascent. The weak position of close however suggests unfinished business to the downside, and a retest of 5000 - coincidental with the midpoint of last week’s range and prominent SPX OI. Notice also the large untested demand zone between 4970 → 4990, the top of which coincides with the defense of constructive positive GEX. The loss of 4970 will signal a change in lower timeframe structure and risk cessation of the bullish WTF 1TFU configuration.

Bull v Bear

This Week (30d ATM IV 11.32% v 30d HV 12.25%)
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Bulls will seek to extend WTF 1TFU and establish price acceptance above the absolute ATH 5066.50 on a closing basis. Upside: 5100 (+1.6%) remains within +1σ (W) 5105 (+1.70%).
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Bears will seek to recapture DTF 1TFD and recapture negative GEX below 4992 (-0.55%) on a closing basis. Downside: WLO 4936.50 is coincidental with -1σ (W) 4937.50 (-1.64%).
Last Week (5019.75 MAR24 -0.48%)
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Bulls will seek to extend WTF 1TFU and establish price acceptance above WHI 5048.50 on a closing basis. Upside: 5100 (+1.11%) is well within +1σ (W) 5121.00 (+1.53%).
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Bears will seek to recapture DTF 1TFD and recapture negative GEX below 4970 (-1.46%) on a closing basis. Downside: WLO 4937.75 (-2.11%) is beyond -1σ (W) 4960 (-1.49%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
⚪️ Normal
🔴
5.54
5.98
-7.36
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
1.06
0.59
79.66
0
0
Intermediate Term Optimism Index
🔴 Optimism
🔵
80
75
6.67
65
35
CRB Optix
⚪️ Normal
🔴
45
46
-2.17
60
40
Bond Optix
🟢 Pessimism
🔴
22
30
-26.67
70
40
HYG Optix
⚪️ Normal
🔴
27.86
58.49
-52.37
80
20
US Dollar Optix
⚪️ Normal
🔴
49
50
-2
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.73
0.75
-2.67
0
0
Crude Oil Optix
⚪️ Normal
🔵
48
45
6.67
60
30
Gold Optix
⚪️ Normal
⚪️
54
54
0
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
US Put / Call Option Volume
⚪️ Normal
🔵
0.72
0.67
7.46
0.7
1
SPY Optix
⚪️ Normal
🔴
40.14
77.1
-47.94
80
20
Stock Bond Ratio
🔴 Optimism
🔴
2.38
2.67
-10.86
2
-2
GEX / Market Cap Ratio
⚪️ Normal
🔵
0.07
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
🔴 Optimism
🔴
0.4
0.47
-14.89
0.4
0.6
Risk On/Off Index
🔴 Optimism
🔴
80.95
85.71
-5.55
50
0
MOVE Index
🟢 Pessimism
🔵
109.2
106.21
2.82
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-36.45
-31.08
-17.28
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
🔵
0.9
0.86
4.65
0.8
1
Component Correlation
⚪️  Normal
🔴
0.41
0.42
-2.38
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔵
3,611,090
3,056,610
0
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
346.69
347.8
-0.32
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔴
60.64
62.82
-3.47
70
30
SPY Breadth (% > 200d MA)
🔴 Optimism
⚪️
70.88
70.88
0
70
30
NYSE TRIN
⚪️ Normal
🔴
0.8
1.75
-54.29
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
697,015
695,180
0.29
0
0
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Sources

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