Market Wrap
Narratives
Week Ahead
Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 12-mo Estimate | 🔵 | 226.64 | 220.49 | 230.43 | September 30, 2022 |
Forward 12-mo PE | 🔴 | 18.1 | 18.9 | 15.5 | September 30, 2022 |
Nominal Earnings Yield | 🔵 | 5.52 | 5.37 | 6.43 | September 30, 2022 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | ⚪️ | 16.5 | 16.4 | 0.1 | 0.61% |
SPX GEX Flip | ⚪️ | 4,077.5 | 4,047.5 | 30 | 0.74% |
SPX Skew Adjusted GEX | 🔴 | 3,862,863,589 | 4,801,501,191 | -938,637,602 | -19.55% |
Total Put/Call Ratio (CBOE) | ⚪️ | 1 | 1.04 | -0.04 | -3.85% |
Equity Put/Call Ratio (CBOE) | 🔵 | 0.69 | 0.59 | 0.1 | 16.95% |
VIX Put/Call Ratio (CBOE) | 🔴 | 0.27 | 0.49 | -0.22 | -44.9% |
Futures
Bull v Bear
This Week (30d ATM 16.57% v16.19% p)Bulls will seek to recapture the MAR HI 4142.50 and ideally gain price acceptance > WHI 4171.75 (+0.96%). Upside: 4200 (+1.65%); YTD HI 4208.50 (+1.85%) are within +1σ (W) 4223 (+2.2%).Bears will seek to trigger cessation of Weekly and Daily 1TFU below WLO 4096.50 (-0.86%) on a closing basis. Downside: Recapture Mar Breakout 4082.50 (-1.2%) is within -1σ (W) 4045 (-2.11%).
Last Week (4132.00 JUN23 -0.14%)Bulls will seek to extend 1TFU and maintain price acceptance > Friday’s POC 4117 (-0.49%). Upside: 2022 Midpoint 4155.25 (+0.42%); Q322 PB HI 4175 (+0.9%); 4200 (+1.5%); YTD HI 4208.50 (+1.71%) are within within +1σ (W) 4230.75 (+2.25%).Bears will seek to contain momentum within ≤ Q1 HI 4208.50 (+1.71%) and ideally break the Daily 1TFU configuration < 4088.50 (-1.19%). Downside: WPOC 4080 (-1.4%); 50d MA 4050 (-2.12%) are within -1σ (W) 4049 (-2.14%).
Indicators
Name | Index | Prior | % CHG | Last | Excess | XS Pessimism | UpDn | XS Optimism | Inverse |
---|---|---|---|---|---|---|---|---|---|
Name | XS Optimism | Index | Prior | XS Pessimism | % CHG | Last | Excess | UpDn | Inverse |
---|---|---|---|---|---|---|---|---|---|
Name | Excess | XS Pessimism | Index | Prior | % CHG | Last | UpDn | XS Optimism | Inverse |
---|---|---|---|---|---|---|---|---|---|
Name | Prior | % CHG | Excess | Index | Last | XS Pessimism | UpDn | XS Optimism | Inverse |
---|---|---|---|---|---|---|---|---|---|
Name | Excess | Prior | Index | XS Optimism | XS Pessimism | % CHG | Last | UpDn | Inverse |
---|---|---|---|---|---|---|---|---|---|
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- Narratives - Heisenberg Report & DataTrek Research
- Week Ahead - Trading Economics
- Earnings - FactSet & Trinity Asset Management
- Options - tradingvolatility.net
- Futures - CME Group QuikStrike
- Indicators - Sundial Capital Research