Market Wrap
Narratives
Week Ahead
- The jobs plentiful series also suggests less upward pressure on wages, as measured by average hourly earnings, which will be released along with August's employment report (Fri).
- Also confirming the resilience and strength of the labor market has been initial unemployment claims (Thu) in recent weeks.
- September's M-PMI (Mon) likely remained below 50.0 according to the general business composite average of the regional business surveys conducted by 5 of the 12 Federal Reserve district banks. However, it might have continued to move higher again, suggesting that the rolling recession for goods producers and distributors may be bottoming.
- September auto sales probably weakened for the second month in a row as tighter lending conditions are weighing on auto sales.
- How will the stock and bond markets respond to September's relatively strong labor market? Not very well if investors conclude that this increases the odds off another hike in the federal funds rate. However, we are counting on lower-than-expected wage inflation to calm those fears - Yardeni Research
Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 4-qtr Estimate | 🔵 | 232.95 | 232.63 | 228.39 | January 1, 2023 |
Forward 4-qtr PE | 🔴 | 18.4 | 18.5 | 17.2 | January 1, 2023 |
Nominal Earnings Yield | 🔵 | 5.6 | 5.38 | 5.86 | January 1, 2023 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔵 | 15.5 | 14.32 | 1.18 | 8.24% |
SPX GEX Flip | 🔴 | 4,402.5 | 4,437.5 | -35 | -0.79% |
SPX Skew Adjusted GEX | 🔵 | -10,181,376,713 | -14,569,522,294 | 4,388,145,581 | 30.12% |
Equity Put/Call Ratio (CBOE) | 🔴 | 0.73 | 0.85 | -0.12 | -14.12% |
VIX Put/Call Ratio (CBOE) | 🔵 | 0.91 | 0.51 | 0.4 | 78.43% |
SPX/W Put/Call Ratio (CBOE) | 🔴 | 1.35 | 1.57 | -0.22 | -14.01% |
Futures
Bull v Bear
This Week (30d ATM IV 15.16% v 30d RVOL 12.35%)Bulls will seek to recapture > WVAH 4317.25 and ideally WHI 4383.50 (+1.34%) on closing basis. Upside: Recapture 4400 (+1.72%) is within +1σ (W) 4416 (+2.00%). 50d MA 4478 (+3.5%) < +2σ (W) 4507.Bears will seek to break < WVAL 4307.25 and ideally WLO 4277.00 (-1.12%) on a closing basis. Downside: 200d MA 4241 is within -1σ (W) 4238.50 (-2.01%). Q322 PB HI 4175 (-3.5%) > -2σ (W) 4152.
Last Week (4325.50 DEC23 -1.02%)Bulls will seek to recapture > DTF 1TFU 4399 and 4400 (+0.89%) on closing basis. Upside: DTF BOS 4434.25 (+1.68%); DTF GAP 4443.50 (+1.69%) arewithin+1σ (W) 4450 (+2.06%).Bears will seek to break LL 4350 and ideally close the 4305.75 Departure Gap (-1.27%). Downside: 200d MA 4230 (-3%); Q123 HH BoS (breakout) 4208.50 (-3.50%) are beyond -1σ (W) 4275.00 (-1.97%).
Indicators
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Current Year Performance | 🔴 Optimism | 🔴 | 12.11 | 12.84 | -5.69 | 10 | -10 | ||
Average of All Years | ⚫️ Index (N/A) | 🔴 | 2.02 | 2.53 | -20.16 | 0 | 0 | ||
Intermediate Term Optimism Index | ⚪️ Normal | 🔴 | 39 | 40 | -2.5 | 65 | 35 | ||
CRB Optix | ⚪️ Normal | 🔴 | 47 | 51 | -7.84 | 60 | 40 | ||
Bond Optix | 🟢 Pessimism | 🔴 | 20 | 23 | -13.04 | 70 | 40 | ||
HYG Optix | ⚪️ Normal | 🔴 | 24.1 | 38.48 | -37.37 | 80 | 20 | ||
US Dollar Optix | 🔴 Optimism | 🔵 | 63 | 61 | 3.28 | 60 | 40 | ||
BBB - AAA Corporate Bond Spread | ⚫️ Index (N/A) | 🔵 | 0.94 | 0.91 | 3.3 | 0 | 0 | ||
Crude Oil Optix | 🔴 Optimism | ⚪️ | 63 | 63 | 0 | 60 | 30 | ||
Gold Optix | ⚪️ Normal | 🔴 | 39 | 50 | -22 | 70 | 30 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
Equity Put/Call Ratio | ⚪️ Normal | 🔴 | 0.73 | 0.85 | -14.12 | 0.5 | 0.75 | ||
VIX Put/Call Ratio | 🟢 Pessimism | 🔵 | 0.91 | 0.52 | 75 | 0.35 | 0.75 | ||
Stock Bond Ratio | ⚪️ Normal | 🔵 | 1.36 | 1.03 | 32.04 | 2 | -2 | ||
GEX / Market Cap Ratio | 🟢 Pessimism | ⚪️ | 0 | 0 | NaN | 0.15 | 0.05 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
VIX Sentiment | ⚪️ Normal | 🔵 | 2.9 | 2.81 | 3.2 | 2.75 | 3.25 | ||
Risk Appetite Index | ⚪️ Normal | 🔴 | 0.48 | 0.66 | -27.27 | 0.8 | 0.2 | ||
MOVE Index | 🟢 Pessimism | 🔵 | 113.55 | 101.11 | 12.3 | 60 | 100 | ||
2y / 10y Yield Curve | ⚫️ Index (N/A) | 🔵 | -47.66 | -68.03 | 29.94 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
VIX Term Structure | ⚪️ Normal | ⚪️ | 0.95 | 0.95 | 0 | 0.8 | 1 | ||
Component Correlation | ⚪️ Normal | 🔴 | 0.37 | 0.38 | -2.63 | 0.35 | 0.55 | ||
Gamma Exposure (x000) | 🟢 Pessimism | 🔵 | 112,627 | -1,984,940 | 11300 | 4,000,000 | 1,000,000 | ||
Credit Default Swaps | ⚫️ Index (N/A) | 🔵 | 480.56 | 444.93 | 8.01 | 0 | 0 |
Name | Excess | UpDn | Last | Prior | % CHG | XS Optimism | XS Pessimism | Inverse | Index |
---|---|---|---|---|---|---|---|---|---|
SPY Breadth (% > 50d MA) | 🟢 Pessimism | 🔴 | 15.54 | 18.89 | -17.73 | 70 | 30 | ||
SPY Breadth (% > 200d MA) | ⚪️ Normal | 🔴 | 40.76 | 44.09 | -7.55 | 70 | 30 | ||
NYSE TRIN | ⚪️ Normal | 🔴 | 0.97 | 1.09 | -11.01 | 0.5 | 2 | ||
NYSE Advance Decline | ⚫️ Index (N/A) | 🔴 | 681,689 | 682,961 | -0.15 | 0 | 0 |
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- Narratives - Heisenberg Report
- Week Ahead - Trading Economics
- Earnings - FactSet & Trinity Asset Management
- Options - tradingvolatility.net
- Futures - CME Group
- Indicators - Sundial Capital Research