Market Wrap
Narratives
Week Ahead
Economically, the US GDP growth rate for Q1 is projected at 2.1%, down from 3.4% in Q4. Both core and headline PCE inflation rates for March are anticipated to be 0.3%, consistent with the previous month. Personal income is expected to have increased by 0.5%, while personal spending growth is predicted to have decelerated to 0.3% from 0.8% in the previous month.
Other indicators to look out for include durable goods orders, flash S&P Global PMI survey results, new and pending home sales, the Chicago Fed National Activity Index, advance estimates of wholesale sales and goods trade balance, and the final reading of the Michigan consumer sentiment. (Source: Longview Economics)
Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 4-qtr Estimate | 🔵 | 252.51 | 252.21 | 243.98 | January 1, 2024 |
Forward 4-qtr PE | ⚪️ | 19.9 | 19.9 | 20.16 | January 1, 2024 |
Nominal Earnings Yield | ⚪️ | 5 | 5 | 5.19 | January 1, 2024 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔵 | 15.5 | 14.52 | 0.98 | 6.75% |
SPX GEX Flip | 🔴 | 5,112.5 | 5,123.41 | -10.91 | -0.21% |
SPX Skew Adjusted GEX | 🔵 | -3,684,806,070 | -4,892,426,884 | 1,207,620,814 | 24.68% |
Equity Put/Call Ratio | 🔴 | 0.65 | 0.68 | -0.03 | -4.41% |
VIX Put/Call Ratio | 🔵 | 0.66 | 0.42 | 0.24 | 57.14% |
SPX/W Put/Call Ratio | ⚪️ | 1.44 | 1.44 | 0 | 0% |
Futures
Bull v Bear
This Week (30d ATM IV 15.65% v 30d HV 10.96%)Bulls will seek to establish price acceptance > WVAL 5038.50 and ideally recapture DTF 1TFU on a closing basis. Upside: WVAH 5120 is beyond +1σ (W) 5116 (+2.24%).Bears will seek to extend WTF 1TFD < WLO 4963.50 and ideally maintain DTF 1FD on a closing basis. Downside: FEB LO 4872.50 (-2.62%) is just beyond -1σ (W) 4896 (-2.14%).
Last Week (5003.75 JUN24 -3.17%)Bulls will seek to recapture Thursday’s local high 5257.50 and positive GEX on a closing basis. Upside: WHI 5285 (+2.27%) isbeyond+1σ (W) 5274 (+2.06%).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%).
Indicators
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Current Year Performance | ⚪️ Normal | 🔴 | 4.14 | 7.41 | -44.13 | 10 | -10 | ||
Average of All Years | ⚫️ Index (N/A) | 🔵 | 2.63 | 2.11 | 24.64 | 0 | 0 | ||
Intermediate Term Optimism Index | ⚪️ Normal | 🔴 | 48 | 56 | -14.29 | 65 | 35 | ||
CRB Optix | ⚪️ Normal | 🔴 | 52 | 53 | -1.89 | 60 | 40 | ||
Bond Optix | 🟢 Pessimism | 🔵 | 34 | 29 | 17.24 | 70 | 40 | ||
HYG Optix | ⚪️ Normal | 🔵 | 41.82 | 29.08 | 43.81 | 80 | 20 | ||
US Dollar Optix | ⚪️ Normal | 🔵 | 49 | 48 | 2.08 | 60 | 40 | ||
BBB - AAA Corporate Bond Spread | ⚫️ Index (N/A) | 🔵 | 0.74 | 0.72 | 2.78 | 0 | 0 | ||
Crude Oil Optix | ⚪️ Normal | 🔴 | 57 | 61 | -6.56 | 60 | 30 | ||
Gold Optix | 🔴 Optimism | 🔵 | 71 | 70 | 1.43 | 70 | 30 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
US Put / Call Option Volume | ⚪️ Normal | 🔵 | 0.98 | 0.79 | 24.05 | 0.7 | 1 | ||
SPY Optix | 🟢 Pessimism | 🔴 | 10.42 | 14.83 | -29.74 | 80 | 20 | ||
Stock Bond Ratio | ⚪️ Normal | 🔴 | 0.96 | 1.44 | -33.33 | 2 | -2 | ||
GEX / Market Cap Ratio | 🟢 Pessimism | 🔴 | 0.01 | 0.05 | -80 | 0.15 | 0.05 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Small Trader Put/Call Premium | ⚪️ Normal | 🔵 | 0.52 | 0.5 | 4 | 0.4 | 0.6 | ||
Risk On/Off Index | 🔴 Optimism | 🔴 | 71.43 | 85.71 | -16.66 | 50 | 0 | ||
MOVE Index | 🟢 Pessimism | 🔴 | 111.26 | 112.82 | -1.38 | 60 | 100 | ||
2y / 10y Yield Curve | ⚫️ Index (N/A) | 🔵 | -36.94 | -37.71 | 2.04 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
VIX Term Structure | ⚪️ Normal | 🔵 | 0.97 | 0.95 | 2.11 | 0.8 | 1 | ||
Component Correlation | 🔴 Optimism | 🔴 | 0.35 | 0.38 | -7.89 | 0.35 | 0.55 | ||
Gamma Exposure (x000) | 🟢 Pessimism | 🔴 | 665,750 | 2,553,520 | 33150 | 4,000,000 | 1,000,000 | ||
Credit Default Swaps | ⚫️ Index (N/A) | 🔵 | 368.7 | 355.7 | 3.65 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
SPY Breadth (% > 50d MA) | ⚪️ Normal | 🔴 | 36.53 | 44.11 | -17.18 | 70 | 30 | ||
SPY Breadth (% > 200d MA) | 🔴 Optimism | 🔴 | 71.29 | 71.83 | -0.75 | 70 | 30 | ||
SPY Net High-Low% | ⚪️ Normal | 🔴 | 0 | 0.6 | -100 | 0.1 | -0.1 | ||
NYSE Advance Decline | ⚫️ Index (N/A) | 🔴 | 697,835 | 699,789 | -0.29 | 0 | 0 |
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- Narratives - Heisenberg Report
- Week Ahead - Trading Economics
- Earnings - FactSet & LESG IBES
- Options - tradingvolatility.net
- Futures - CME Group
- Indicators - Sundial Capital Research