S&P 500 Futures
S&P 500 Futures
Week of Jun 25 2023

Week of Jun 25 2023

Market Wrap

EOW 25 - Benchmarks
EOW 25 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 1.8% 4270.1 → 4426.6)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 1.8% 4270.1 → 4426.6)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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In equities, absent preemptive Fed easing - versus Fed dots that imply two more hikes by year-end - we expect a more challenging macro backdrop for stocks in the second half, with softening consumer trends at a time when equities have re-rated sharply. The risk of another unknown unknown resurfacing appears high — Marko Kolanovic, JPMorgan
If flows are a proxy for enthusiasm, excitement around 2023’s tech-driven equity rally waned over the last week: it was the largest outflow in 10 weeks.
If flows are a proxy for enthusiasm, excitement around 2023’s tech-driven equity rally waned over the last week: it was the largest outflow in 10 weeks. $1 in every $6 of global market cap is now concentrated in the so-called “Magnificent 7” which are up some 65% YTD compared to barely 3% for the rest of the S&P 500 - Bank of America
During the past three weeks, investors have crowded into calls and have reduced their hedges.
During the past three weeks, investors have crowded into calls and have reduced their hedges. We find these measures of put-call skew are contrarian indicators for forward market performance (particularly single stock skew), and they clearly show investors have bought upside asymmetry in stocks and indexes - Goldman Sachs
Following nine other episodes of sharply narrowing breadth since 1980, the S&P 500 typically traded sideways during subsequent months.
Following nine other episodes of sharply narrowing breadth since 1980, the S&P 500 typically traded sideways during subsequent months. But the real worry is that in addition to below-average returns, drawdowns have also been larger than average in these experiences. Nearly three times as large on a six-month horizon in fact - Goldman Sachs

Week Ahead

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In the United States, the personal income and outlays report is expected to show a slowdown in consumer spending growth to 0.2%, while income grew steadily at 0.4%. Meanwhile, the PCE price index, which serves as the Federal Reserve's preferred inflation measure, is likely to show a slight easing of price pressures in May. Additionally, durable goods orders are anticipated to decline for the first time in 3 months in May.

Several other key data points warrant attention, including new and pending home sales, S&P/Case-Shiller home prices, Chicago PMI, Dallas Fed Manufacturing Index, advance estimates of the goods trade balance and wholesale inventories, and the final readings of first-quarter GDP and June's Michigan consumer sentiment. Investors will also closely monitor the release of the Federal Reserve's stress test results on Wednesday to gauge banks' resilience - TradingEconomics

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Calendar (UTC-4)
-
- TradingEconomics
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Major Economies
-TradingEconomics
-TradingEconomics

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔴
224.33
225.06
228.39
January 1, 2023
Forward 4-qtr PE
🔴
19.4
19.6
17.2
January 1, 2023
Nominal Earnings Yield
🔵
5.16
5.1
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
10.97
11.28
-0.31
-2.75%
SPX GEX Flip
🔵
4,317.5
4,292.5
25
0.58%
SPX Skew Adjusted GEX
🔴
5,530,295,773
5,664,564,062
-134,268,289
-2.37%
Equity Put/Call Ratio (CBOE)
🔵
0.64
0.46
0.18
39.13%
VIX Put/Call Ratio (CBOE)
🔴
0.19
0.68
-0.49
-72.06%
SPX/W Put/Call Ratio (CBOE)
🔴
1.34
1.45
-0.11
-7.59%
Net Skew-Adjusted Gamma by Strike -
Net 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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Sep E-mini S&P 500 futures closed at a one week low of 4389.00 Friday, off 34.75. Across all maturities, a light 1,385,425 contracts were traded, with 1,455,059 done in the Sep maturity.
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Option trading centered around the June E4A 100 calls with 26,000 changing hands and the June E4B 3730 puts with volume of 28,000. Largest volumes in June option trading were seen in the 4450 calls (5,667) and the 4300 puts (9,556).
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As measured by the 30-day at-the-money, implied volatility finished slightly higher, up by 0.0869% to end at 10.68%. The 30-day historical volatility closed the day higher by 0.31% to a one week high of 11.85%.
Longer TF (W → D)
Longer TF (W → D) BULLISH - After a huge upside rally, a pullback phase materialized in W25, but remained modestly confined to an Inside Week structure. This suggests the beginning of a customary post-trend balance that, once formed, will afford the time necessary to resolve the still outstanding divergence between price and Q223 value. Structural backing and filling risk to the supportive 4287 JUN VPOC is within -2σ (W) 4253.50 (-3.09%).
Shorter TF (3H → M30)
Shorter TF (3H → M30) NEUTRAL - A shorter timeframe counter-trend facilitated the larger timeframe pullback, highlighted in the above (2-week engulfing) swing structure: 4383.5 → 4493.75. The 4438.75 midpoint demarcates premium vs. discount pricing; and directional bias will likely emerge from the Inside Week resolution. Shorter timeframe sellers remain in control < 4427 (+0.87%) coincident to the WVAH.

Bull v Bear

This Week (30d ATM IV 10.68% v 30d RVOL 11.85%)
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Bulls will seek to recapture and maintain DTF 1TFU > 4427 on a closing basis. Upside: > 4485.50 Supply Zone (+2.2%) is marginally above the +1σ (W) 4459 (+1.59%).
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Bears will seek to increase momentum < WLO 4381.50 on a closing basis. Downside: 4330 HVN (-1.34%) is within the -1σ (W) expected range 4321 (-1.55%).
Last Week (4389.00 SEP23 -1.48%)
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Bulls will seek to recapture Friday’s POC 4475, and ideally establish price acceptance > 4500 (+1.04%). Upside: > 4550 (+2.16%) is above +1σ (W) 4525.50 (+1.61%).
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Bears will seek to recapture Thursday’s 4439.50 BOS, and ideally 4400 (-1.21%) on a closing basis. Downside: < WLO 4348.75 (-2.36%) is below -1σ (W) expected 4384 (-1.57%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔴
13.35
14.74
-9.43
10
-10
Average of All Years
⚫️ Index (N/A)
🔴
2.58
2.68
-3.73
0
0
Intermediate Term Optimism Index
🔴 Optimism
🔴
71
80
-11.25
65
35
CRB Optix
⚪️ Normal
🔴
48
50
-4
60
40
Bond Optix
🟢 Pessimism
🔵
32
28
14.29
70
40
HYG Optix
⚪️ Normal
🔴
23.02
44.15
-47.86
80
20
US Dollar Optix
⚪️ Normal
🔵
48
45
6.67
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.97
0.98
-1.02
0
0
Crude Oil Optix
⚪️ Normal
🔴
35
36
-2.78
60
30
Gold Optix
⚪️ Normal
🔴
50
54
-7.41
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
⚪️ Normal
🔵
0.64
0.46
39.13
0.5
0.75
VIX Put/Call Ratio
🔴 Optimism
🔴
0.19
0.68
-72.06
0.35
0.75
Stock Bond Ratio
⚪️ Normal
🔴
1.34
2.07
-35.27
2
-2
GEX / Market Cap Ratio
⚪️ Normal
🔴
0.06
0.08
-25
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 4-weeks (Futures & Options)
S&P 500 E-Mini COT Trailing 4-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 4-weeks (Futures & Options)
Nasdaq E-Mini COT Trailing 4-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
VIX Sentiment
🔴 Optimism
🔴
2.75
2.79
-1.43
2.75
3.25
Risk Appetite Index
🔴 Optimism
🔴
0.93
0.95
-2.11
0.8
0.2
MOVE Index
🟢 Pessimism
🔵
105.74
104.43
1.25
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-101.5
-95.49
-6.29
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
🔴  Optimism
🔴
0.8
0.81
-1.23
0.8
1
Component Correlation
⚪️  Normal
⚪️
0.5
0.5
0
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔴
2,764,120
3,776,450
-33.33
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔵
463.49
435.92
6.32
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔴
53.68
70.78
-24.16
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔴
55.89
66.07
-15.41
70
30
NYSE TRIN
⚪️ Normal
🔵
1.85
0.79
134.18
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔴
681,107
684,260
-0.44
0
0
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Sources

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