S&P 500 Futures
S&P 500 Futures
Week of Aug 13 2023

Week of Aug 13 2023

Market Wrap

EOW 32- Benchmarks
EOW 32- Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.1% 4370.4 → 4557.9)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.1% 4370.4 → 4557.9)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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Vol control remains the real bogeyman here from the potential for systematic selling perspective. Yes, there does remain potential to continue adding to what is already 95%ile (three-year) equities exposure in the case we keep generating these tame close- to-close S&P daily changes of less than 50bps; but, where the asymmetry is so massively tilted towards notional selling flows if we can begin realizing those 1% or greater type days which UX1 is implying — Charlie McElligott, Nomura
Close-to-close vol is low, but measures that take intraday vol are much higher; the chop isn’t your imagination.
Close-to-close vol is low, but measures that take intraday vol are much higher; the chop isn’t your imagination. There’s been a notable jump in intraday equities volatility. As a share of overall S&P options volume, 0DTE options were 55% on Wednesday and Thursday (record highs on successive days). This is a clear contributor to the intraday volatility we’re seeing MTD on account of the dealer intraday hedging market impact - Nomura
Deutsche Bank’s measure of aggregate equity positioning just fell a third week.
Deutsche Bank’s measure of aggregate equity positioning just fell a third week. The decline has been driven by a sharp unwind in discretionary investor positioning. Discretionary positioning has now retraced more than half of the steep climb it saw from late-May to mid-July and has returned close to neutral in the 51 percentile. The panic grab into stocks is now over, and we’re quickly retracing the run up catalyzed by Nvidia and the debt limit deal - Deutsche Bank
With Q2 reporting season complete, sales rose by 1% and margins compressed by 92bps - better than feared.
With Q2 reporting season complete, sales rose by 1% and margins compressed by 92bps - better than feared. We are sticking with our S&P EPS forecasts of $224 for this year and $237 next. Our 2023 projection is higher than both bottom-up consensus and the consensus of our top-down peers. We like what we see in terms of cost discipline, falling input costs and moderating wage growth, but the outlook may be more challenging next year - Goldman Sachs

Week Ahead

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In the US, investors will closely focus on the FOMC minutes for additional insights into the Fed's plans for the remainder of the year. However, Chair Powell stated last month that decisions will be made on a meeting-by-meeting basis. Currently, markets are pricing in an 89% probability of the Fed holding interest rates in September, while the odds for a quarter point hike in November stand at about 32%. The earnings season is drawing to a close, but second-quarter results are still forthcoming from Home Depot, Cisco, Walmart, Deere & Co, Target, and Applied Materials. On the data front, projections indicate a 0.4% increase in retail sales and a rebound in industrial production following a decline in June. Other important releases include consumer inflation expectations, building permits, housing starts, NY Empire State Manufacturing Index, Philadelphia Fed Manufacturing Index, and the NAHB housing index - TradingEconomics
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Calendar (UTC-4)
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- TradingEconomics
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US Macro
United States Economic Indicators
United States Economic Indicators

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔵
231.67
230.84
228.39
January 1, 2023
Forward 4-qtr PE
🔴
19.3
19.4
17.2
January 1, 2023
Nominal Earnings Yield
🔵
5.19
5.15
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
13.42
13.71
-0.29
-2.12%
SPX GEX Flip
🔴
4,502.5
4,517.5
-15
-0.33%
SPX Skew Adjusted GEX
🔵
-12,869,841,511
-15,231,076,864
2,361,235,353
15.5%
Equity Put/Call Ratio (CBOE)
🔵
0.8
0.66
0.14
21.21%
VIX Put/Call Ratio (CBOE)
🔴
0.39
0.69
-0.3
-43.48%
SPX/W Put/Call Ratio (CBOE)
🔴
1.43
1.45
-0.02
-1.38%
Skew-Adjusted Gamma by Strike -
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 the session at a one month low of 4480.75 Friday, off by 5.00. Across all maturities, 1,512,915 contracts changed hands, with 1,511,048 traded in the Sep maturity. Combined open interest fell 35, or 0.0016%, with Sep down 141 (0.0064%) to 2,198,398.
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The August E2A 3850 put saw the most changing hands with 26,885 contracts traded. In Sep options, the high volume call was in the 4650 strike with 2,285 changing hands, and the 4400 put leads with volume of 3,273. Options with the highest open interest are the Sep 4700 call with 18,642, and the August E2A 3725 put with 46,638.
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As measured by the 30-day at-the-money, implied volatility settled lower, dropping by 0.59% to end the session at 12.50%. Historical volatility (30-day) settled at 9.12%, lower by 0.63%, to a one week low.
Higher TF (W → D)
Higher TF (W → D) BULLISH - A fractal high has been printed on the YTD HI 4634.50 as expected, and W32 closed outside and below the developing Q3 VA, confirming a larger timeframe pullback phase. As recently noted, the spread between Q2 → Q3 value is notable, and will more than likely fill and repair to form a durable base for secular trend continuation. Will the pullback gain momentum or will the long awaited retest of the 50d MA (4468) be sufficient to attract responsive higher timeframe buyers?
Lower TF (3H → M30)
Lower TF (3H → M30) BEARISH - Lower timeframe counter-trends facilitate higher timeframe pullbacks - this structure now in effect. W32 featured modest extension of the WTF 1TFD configuration and mitigated the first of two demand zones (4450 → 4475), resulting in a fractal WLO 4459 on the 3H. Early retracement of this zone risks WLO and creates scope to retest the second and more prominent 4410 → 4425 unmitigated demand zone within -1σ (W) expected. Lower timeframe sellers remain in control < 4500.00.

Bull v Bear

This Week (30d ATM IV 12.50% v 30d RVOL 9.12%)
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Bulls will seek to recapture 4500, and ideally WVAH 4514.50 on a closing basis. Upside: GEX Flip 4526 (1%); WHI 4544.75 (1.42%) are within+1σ (W) 4560 (+1.77%).
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Bears will seek to further extend 1TFD < WLO 4459 (-0.49%) and 50d MA on a closing basis. Downside: Put Wall 4416 (-1.45%) is within -1σ (W) 4404 (-1.71%).
Last Week (4480.75 SEP23 -0.38%)
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Bulls will seek to defend the June 4493.75 breakout and ideally recapture DTF 1TFU (> 4560.75). Upside: 4600 (2.27%) is marginally beyond +1σ (W) 4590 expected (+2.05%).
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Bears will seek to break back into the June range and target the rising 50d MA 4436 (-1.38%). Downside: 2mo VAL 4373.75 (-2.76%) is within -2σ (W) 4322 (-3.91%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔴
16.14
16.34
-1.22
10
-10
Average of All Years
⚫️ Index (N/A)
🔴
2.87
3.42
-16.08
0
0
Intermediate Term Optimism Index
🔴 Optimism
🔴
66
71
-7.04
65
35
CRB Optix
⚪️ Normal
🔴
49
52
-5.77
60
40
Bond Optix
🟢 Pessimism
🔴
22
23
-4.35
70
40
HYG Optix
⚪️ Normal
🔵
53.74
51.02
5.33
80
20
US Dollar Optix
⚪️ Normal
🔵
45
43
4.65
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔵
0.92
0.91
1.1
0
0
Crude Oil Optix
⚪️ Normal
🔴
54
55
-1.82
60
30
Gold Optix
⚪️ Normal
🔴
46
52
-11.54
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
⚪️ Normal
🔵
0.7
0.66
6.06
0.5
0.75
VIX Put/Call Ratio
🟢 Pessimism
🔵
1.05
0.69
52.17
0.35
0.75
Stock Bond Ratio
⚪️ Normal
🔴
1.8
1.87
-3.74
2
-2
GEX / Market Cap Ratio
🟢 Pessimism
🔴
0.04
0.05
-20
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
⚪️ Normal
🔴
2.99
3.02
-0.99
2.75
3.25
Risk Appetite Index
🔴 Optimism
🔴
0.87
0.89
-2.25
0.8
0.2
MOVE Index
🟢 Pessimism
🔴
112.13
115.91
-3.26
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-74.46
-73.66
-1.09
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔴
0.87
0.92
-5.43
0.8
1
Component Correlation
⚪️  Normal
⚪️
0.39
0.39
0
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔴
1,731,290
2,398,290
-50
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
430.19
435.65
-1.25
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔴
57.77
60.96
-5.23
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔴
64
64.2
-0.31
70
30
NYSE TRIN
⚪️ Normal
🔴
0.71
1.83
-61.2
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔴
690,090
690,574
0
0
0
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Sources

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