S&P 500 Futures
S&P 500 Futures
Week of Jan 01 2023

Week of Jan 01 2023

Market Wrap

EOW 52 - Benchmarks
EOW 52 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 3.4% 3709.0 → 3970.0)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 3.4% 3709.0 → 3970.0)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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Real disposable income fell from the spring of 2021 through the summer of 2022 as inflation outran wage growth and special transfer payments included in pandemic relief packages expired. We see real income turning positive in 2023, and ultimately rising 3.5%, supported by positive real wage growth, large cost-of-living adjustments on transfer payments including Social Security and food stamps, a jump in interest income, and a decline in the effective tax rate as a spike driven by capital gains and bracket creep reverses. An optimistic view on consumption, relative or otherwise, means harboring a hawkish view on the likely trajectory of monetary policy. However, we expect some of the spending impulse to be restrained by a higher savings rate. Higher interest rates have reduced household wealth by lowering home and equity prices. And, lower and middle-income families that tapped excess savings to support their spending this year as transfer payments expired will have less to draw on next year. While gains from interest income and tax rate normalization will accrue mostly to high-income households and have less impact on spending, the turnaround in real income is nonetheless a key reason that we have a relatively optimistic 2023 consumer outlook - David Mericle and Alec Phillips, Goldman Sachs
The Fed doesn’t know where neutral is.
The Fed doesn’t know where neutral is. Policymakers expect core inflation to end 2023 at 3.5%, well above target. The Fed believes “sufficiently restrictive” is probably somewhere between 5% and 5.25%, and policymakers have been adamant that once they figure out where sufficiently restrictive is, policy will probably need to loiter there for at least six months - Goldman Sachs
We expect more resilience in underlying demand next year than consensus
We expect more resilience in underlying demand next year than consensus because our analysis indicates that policy restraint has played a very large role in slowing demand growth this year but will fade quickly next year. We suspect the peak drag from tighter financial conditions on GDP growth is likely occurring right now, but see it as waning over the next six quarters - Goldman Sachs
Our most out-of-consensus forecast for 2023 is our call that the
Our most out-of-consensus forecast for 2023 is our call that the US will avoid a recession and instead continue progressing toward a soft landing. Our disagreement with consensus arises from our more optimistic view on whether a recession is necessary to tame inflation. As long as the Fed can keep growth below-potential for an extended period, the distortions in the labor market can normalize with the end result being cooler wage growth and thereby cooler inflation - Goldman Sachs

Week Ahead

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The first week of 2023 will be dominated in the US by non-farm payrolls report, and the Federal Reserve December meeting minutes. In December, the economy likely added 200k jobs, with unemployment sticking to 3.7% and annual wage growth remaining strong at 5%. Meanwhile. The FOMC meeting minutes should provide further clues on how long the policymakers plan to keep interest rates elevated and if any big adjustments would be necessary. Also, investors will follow closely ISM PMI: the manufacturing PMI is likely to remain in the contractionary territory while the non-manufacturing gauge may show services growth slowed in December. Other important releases include trade balance, JOLTs Job Openings, and factory orders 7- TradingEconomics
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Economic (UTC-5)
- TradingEconomics
- TradingEconomics
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Earnings
- TradingTerminal
- TradingTerminal

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 12-mo Estimate
🔴
222.91
223.31
223.25
December 31, 2021
Forward 12-mo PE
🔵
17.22
17.2
22
December 31, 2021
Nominal Earnings Yield
⚪️
5.81
5.81
4.77
December 31, 2021

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
Implied Volatility
🔵
20.5
19.17
1.33
6.94%
Call Skew
🔴
-2.9
-2.7
-0.2
-7.41%
GEX Flip
⚪️
3,897.5
3,897.5
0
0%
Total GEX
🔴
-10,003,463,670
-9,346,963,113
-656,550,557
-7.02%
Skew Adjusted GEX
🔴
-1,963,679,919
-1,834,808,859
-128,871,060
-7.02%
Put/Call Ratio
⚪️
1.89
1.9
-0.01
-0.53%
Gamma by Strike - @tradevolatility
Gamma by Strike - @tradevolatility
Gamma Change - @tradevolatility
Gamma Change - @tradevolatility
SPX Skew - @tradevolatility
SPX Skew - @tradevolatility
Open Interest for SPX - @tradevolatility
Open Interest for SPX - @tradevolatility

Futures

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E-mini S&P 500 futures were lower Friday with the March contract finishing the session at 3861.00, down 10.75. Across all maturities, a light 1,404,431 contracts were traded, with 1,401,810 done in the March maturity. Overall open interest gained 18,160 (0.91%), with March gaining 17,070, or 0.86%, to 2,002,559.
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Option volumes were greatest for the Jan E1B 3950 call (4,809) and the Jan E1B 3250 put (32,637). High volumes in Jan option trading were seen in the 4000 calls (1,326) and the 3400 puts (2,735). Calls with the largest open interest are the Jan EW3 100 strike (22,062), and for the puts are the March 3600 strike (34,820).
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Implied Volatility ended the day slightly down with the 30-day at-the-money dropping 0.28%, to finish the session at a one week low of 19.96%. Dropping by 0.0048%, historical volatility (as measured by the 30-day) finished the day at 19.25%.
Larger
Larger TF (PRE-COVID HI → Present) BEARISH - EOY 2022 offered more evidence of ongoing consolidation between the '22 Supply Line (red) and the '20 Demand Line (cyan). Price continues to be rejected below the Demand Line. Quick loss of this level in 2023 will negate the plausible bull flag formation and open the gate for retesting the Q422 / 2022 LO 3533.50 (-8.48%). Both YTF and QTF remain synchronized 1TFD.
Intermediate
Intermediate TF (2022 → Present ) NEUTRAL - Responsive vs. initiative price action between the JUL and JUN LO ( 3787.25 → 3772.00) will establish the threshold for retesting the 2022 YTD LO in 2023. The DEC LO (WLO.1) 3788.50 (-1.88%) was defended last week, thereby maintaining a 1TFU configuration on the MTF.
Short TF (Trailing 8-weeks)
Short TF (Trailing 8-weeks) NEUTRAL - 2022 has closed with a 2-week balance formation, the resolution of which will drive the next directional move. Consecutive weekly rejections of 3900 (+1.00%) are tempered by a defense of WLO.1 ~ Q422 VAL 3785.00 (-1.97%). GEX remains negative and remains aligned to the 50-day MA 3886 (+0.46%). WTF & DTF are now synchronized 1TFD.
TPO ETH v RTH (THU → FRI) NEUTRAL -
TPO ETH v RTH (THU → FRI) NEUTRAL - WHI 3900.50 is weak (ETH print), and WLO 3804.50 lacks excess notwithstanding Friday’s outstanding short covering rally and closing spike. The spike and its base form the opening bull-bear reference zone (BBZ): 3854 → 3869. The strong position of close is suggestive of continuation, offset by the vacuum-effect that results from short-covering. Welcome 2023!

Bull v Bear

This Week (30d ATM 19.96% v 19.55% p)
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Bulls will seek to maintain bid above Friday’s closing spike and target the (pair of) weak WHI 3900.50 (+1.02%) → WHI.1 (+1.5%). Upside: 50d MA and GEX Flip Point 3885.75 (+0.64%); OCT HI 3955.75 are both within +1σ (W).
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Bears will seek to offer below (the poor and weak) WLO 3804.50 (-1.45%) → WLO.1 3788.50 (-1.88%), respectively. Downside: JUL LO 3772.00 (-2.31%); -20% ATH 3748.00 (-2.93%); NOV LO 3735.75 (-3.24%) are within -2σ (W).
Last Week (3861.00 MAR23 -0.23%)
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Bulls will seek to quickly bid > the weak THU & FRI HI and initially target the liquidation singles between (BBZ) 3872 → 3892.50, above which the weak WHI 3918.75 (+1.27%) will be targeted. Upside: WVPOC.1 3927.25 (+1.49%); recapture of OCT HI 3955.75 (+2.22%) both within +1σ (W).
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Bears will seek to offer below back into THU VA, and create scope for a sweeping the prior week VA 3826.75 (-1.11%), below which the WLO (& DEC LO) 3788.50 (-2.10%) will be targeted. Downside: W45 VAL 3781.00 (-2.41%); WLO 3788.50 (-2.10%); NOV LO 3735.75 (-3.46%) are within -2σ (W).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
Current Year Performance
🟢  Pessimism
⚪️
-19.35
-19.23
-0.62
15
-10
Average of All Years
⚫️  Index (N/A)
🔵
6.59
5.46
20.7
0
0
Intermediate Term Optimism Index
⚪️  Normal
⚪️
42
42
0
65
35
CRB Optix
⚪️  Normal
⚪️
47
47
0
60
40
Bond Optix
🟢  Pessimism
🔴
25
31
-19.35
70
40
HYG Optix
⚪️  Normal
🔴
30.84
45.01
-31.48
80
20
US Dollar Optix
⚪️  Normal
⚪️
48
50
-4
60
40
TED Spread
⚪️  Normal
🔴
0.41
0.44
-6.82
0.25
0.7
Crude Oil Optix
⚪️  Normal
🔴
40
43
-6.98
60
30
Gold Optix
⚪️  Normal
⚪️
40
40
0
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
Small Trader Call Buying
⚪️  Normal
🔴
0.34
0.36
-5.56
0.4
0.3
Large Trader Put Buying
🔴  Optimism
🔵
0.35
0.33
6.06
0.225
0.3
LOBO Put/Call Ratio
🟢  Pessimism
🔵
1.44
1.17
23.08
0.65
1.1
Large Trader Call Buying
🟢  Pessimism
🔴
0.25
0.28
-10.71
0.35
0.25
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Sentiment
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
VIX Sentiment
🔴  Optimism
⚪️
2.62
2.62
0
2.75
3.25
CSFB Fear Barometer
🟢  Pessimism
⚪️
12.8
12.69
0.87
33
23
Short-Term Risk
⚪️  Normal
🔴
6
7
-14.29
8
2
Intermediate Term Risk
⚪️  Normal
⚪️
4
4
0
7
3
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
VIX Term Structure
⚪️  Normal
⚪️
0.89
0.86
3.49
0.8
1
Component Correlation
🟢  Pessimism
⚪️
0.69
0.68
1.47
0.35
0.55
Gamma Exposure (x000)
🟢  Pessimism
🔵
237,405
13,199
1723.08
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
⚪️
483.98
476.16
1.64
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverse
SPY Breadth (% > 50d MA)
⚪️  Normal
🔴
47.61
55.67
-14.48
70
30
SPY Breadth (% > 200d MA)
⚪️  Normal
⚪️
50.3
51.79
-2.88
70
30
NYSE TRIN
⚪️  Normal
🔵
1.09
0.87
25.29
0.5
2
NYSE Advance Decline
⚫️  Index (N/A)
⚪️
672,036
672,468
0
0
0
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