S&P 500 Futures
S&P 500 Futures
Week of Dec 03 2023 (Roll)

Week of Dec 03 2023 (Roll)

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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Are the underlying equities exposures and vol positioning conditions capable of creating a ‘crash event’? In my view, the answer is NO. From the perspective of positioning and vol dynamics, the mechanical conditions for a disorderly equities selloff are simply not yet in place, because we simply don’t see aggressive-enough positioning / exposure despite the recent rally back within 5% of all-time highs in SPX — Charlie McElligott, Nomura
In recent episodes, equity markets have recouped losses in about a month and rallied further afterwards, suggesting geopolitical news might actually provide a buy opportunity. This change in the equity pattern could be due to faster information flow and expectations adjustment, or simply higher confidence that conflicts will remain relatively contained -
In recent episodes, equity markets have recouped losses in about a month and rallied further afterwards, suggesting geopolitical news might actually provide a buy opportunity. This change in the equity pattern could be due to faster information flow and expectations adjustment, or simply higher confidence that conflicts will remain relatively contained - Goldman Sachs
It’s a function of incessant index vol-selling across the usual suspects: income and yield enhancement strategies, systematic VRP harvesting, structured products as well as crowded dispersion books. Together, they are creating a dynamic where dealers are getting stuffed on bleeding gamma/vega, which forces them to join the parade and short front-end vols themselves to stop the PNL bleed -
It’s a function of incessant index vol-selling across the usual suspects: income and yield enhancement strategies, systematic VRP harvesting, structured products as well as crowded dispersion books. Together, they are creating a dynamic where dealers are getting stuffed on bleeding gamma/vega, which forces them to join the parade and short front-end vols themselves to stop the PNL bleed - Nomura
1981 → 16% all-time yield high → start of the 40yr Great Bond Bull. 2020 → 0.5% all-time yield low = start of the Great Bond Bear. In the near-term, macro developments can push yields lower (to 4% in a soft landing or even 3% in a hard landing), but over the medium- to long-term, politics and geopolitics guarantee it will be a cyclical bond bull within a secular bond bear -
1981 → 16% all-time yield high → start of the 40yr Great Bond Bull. 2020 → 0.5% all-time yield low = start of the Great Bond Bear. In the near-term, macro developments can push yields lower (to 4% in a soft landing or even 3% in a hard landing), but over the medium- to long-term, politics and geopolitics guarantee it will be a cyclical bond bull within a secular bond bear - Bank of America

Week Ahead

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Next week, in the United States, attention will be focused on several key economic indicators. These include the US jobs report, JOLTs job openings, ISM Services PMI survey, and the preliminary estimate of Michigan consumer sentiment.

Projections suggest that nonfarm payrolls likely increased by 170,000 in November, showing an acceleration from the previous month's 150,000 advance. At the same time, the jobless rate is anticipated to remain unchanged at a 22-month high of 3.9%, while wage growth is expected to slow to 4%, marking its lowest level since June 2021.

The ISM survey is expected to reveal a slight acceleration in service sector growth in November. Other important data to monitor include the ADP employment change, foreign trade, factory orders, the economic optimism index, and the final readings for both third-quarter productivity and November's S&P Global Services PMI - 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
🔵
236.41
235.82
228.39
January 1, 2023
Forward 4-qtr PE
🔴
19
19.3
17.2
January 1, 2023
Nominal Earnings Yield
🔴
5.15
5.17
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔵
10.6
10.16
0.44
4.33%
SPX GEX Flip
🔵
4,512.5
4,497.5
15
0.33%
SPX Skew Adjusted GEX
🔴
-3,137,760,275
-2,534,779,228
-602,981,047
-23.79%
Equity Put/Call Ratio (CBOE)
🔴
0.51
0.91
-0.4
-43.96%
VIX Put/Call Ratio (CBOE)
🔴
0.3
0.46
-0.16
-34.78%
SPX/W Put/Call Ratio (CBOE)
🔴
1.2
1.83
-0.63
-34.43%
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 the day at a one month high of 4600.75 Friday, up 24.00. Overall, 1,941,408 contracts were traded, with 1,914,151 done in Dec. Combined open interest finished the session at a one month high of 2,313,884, up by 4,052 (0.18%). Dec open interest decreased 6,968, or 0.31%, to 2,233,396.
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Option volumes were largest for the Dec E1A 4725 call (12,938) and the Dec E1C 3810 put (56,225). For Dec options, the 4700 calls were the most active with 6,183 changing hands, and the highest volume put was the 4450 strike with 3,664 contracts done. Option open interest is largest for the Dec 4600 calls at 99,297, and the Dec EW3 3300 puts at 69,391.
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Implied Volatility closed slightly lower with the 30-day at-the-money down by 0.0085%, to finish at 10.54%. Historical volatility (30-day) ended at 12.83%, down 0.80%, to a one month low. The 25-delta Risk Reversal was sharply up with the 30-day adding 0.48%, closing the day at a one month high of -1.91%.
Higher TF (W → D)
Higher TF (W → D) BULLISH - Notice that this year’s pullback low exactly coincides with the 3-yr trailing 4150 VPOC; price action has now retraced to the top of the value area. Buyers are now positioned to take out of Q323 HI 4634.50 (+0.73%), the final LH protecting the 2022 ATH 4808.25 (+4.51%). Conversely sellers can justifiably begin positioning above fair value (but so far they’re not). When the market eventually turns, however, a rapid washout of laggard longs is foreseeable. Meanwhile, we will carry forward the extensive structural weakness below (circled on Pane 2), but also respect that markets can (and do) stay overbought in strong uptrends - especially given recent Fed guidance having tacitly confirmed that hikes are finished.
Lower TF (3H → M30)
Lower TF (3H → M30) BULLISH - Daily, Weekly, Monthly (and soon an outside Quarterly reversal) remain synchronized 1TFU. Pullbacks have been shallow, indicative of Higher TF funds both active and systematic buying higher and continuation of the positive (albeit narrowing) GEX regime. Equity implied volatility remains dismantled to levels not seen since 2019. Lower TF upward value migration continues to facilitate gradual ascension of Higher TF value, as the market continues to grind higher. That said, price action has begun to exhibit 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 10.54% v 30d RVOL 12.83%)
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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.
Last Week (4600.75 DEC23 +0.71%)
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Bulls will seek to extend upside and price acceptance > WHI on a closing basis. Upside: 4600 (+0.70%) and YTD HI 4634.50 are within +1σ (W) 4636 (+1.48%).
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Bears will seek to cause cessation of DTF 1TFU on a closing basis. Downside: WLO 4520 (-1.06%) and GEX Flip 4506.50 are within -1σ (W) 4502.50 (-1.44%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔵
20.15
19.23
4.78
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
7.33
6.2
18.23
0
0
Intermediate Term Optimism Index
🔴 Optimism
🔵
80
71
12.68
65
35
CRB Optix
⚪️ Normal
🔵
48
47
2.13
60
40
Bond Optix
⚪️ Normal
🔵
43
40
7.5
70
40
HYG Optix
🔴 Optimism
🔵
87.6
63.71
37.5
80
20
US Dollar Optix
⚪️ Normal
🔴
51
52
-1.92
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.91
0.94
-3.19
0
0
Crude Oil Optix
⚪️ Normal
🔴
43
45
-4.44
60
30
Gold Optix
⚪️ Normal
🔵
66
57
15.79
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
US Put / Call Option Volume
⚪️ Normal
🔴
0.72
0.84
-14.29
0.7
1
SPY Optix
⚪️ Normal
🔵
72.83
69.25
5.17
80
20
Stock Bond Ratio
⚪️ Normal
🔴
0.59
1.43
-58.74
2
-2
GEX / Market Cap Ratio
⚪️ Normal
⚪️
0.1
0.1
0
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
🔴
0.51
0.53
-3.77
0.4
0.6
Risk On/Off Index
🔴 Optimism
🔵
71.43
52.38
36.37
50
0
MOVE Index
🟢 Pessimism
🔵
111.51
107.43
3.8
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔵
-34.49
-48.62
29.06
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
⚪️
0.82
0.82
0
0.8
1
Component Correlation
⚪️  Normal
🔵
0.47
0.46
2.17
0.35
0.55
Gamma Exposure (x000)
🔴  Optimism
🔵
4,924,650
4,575,340
0
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
395.81
403.96
-2.02
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
🔴 Optimism
🔵
85.6
76.55
11.82
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔵
67.07
58.35
14.94
70
30
NYSE TRIN
⚪️ Normal
🔴
0.91
1.12
-18.75
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
687,152
683,887
0.59
0
0
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