S&P 500 Futures
S&P 500 Futures
Week of Jun 04 2023 (Roll)

Week of Jun 04 2023 (Roll)

Market Wrap

EOW 22 - Benchmarks
EOW 22 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 1.9% 4200.9 → 4363.6)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 1.9% 4200.9 → 4363.6)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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We have witnessed a clear “Vol Up, Spot Up” theme in tech / A.I. / Nasdaq over the past week, as both 1) NDX tech upside was “grabbed-into” on the performance chase into the lone theme driving YTD equities performance, but 2) with the spot rally being so substantial that we then finally saw some massive downside hedging go through mid-week as well. That said, the aforementioned benchmark vol crunch with S&P iVol / rVol / Skew / vol of vol destroyed as all these left-tails keep dying, markets keep crashing up while only “grinding” lower, and it’s impacting thematic behaviors in the vol space — Charlie McElligott, Nomura
Nobody is beating the Nasdaq 100. And you can buy the index for next to nothing in fees.
Nobody is beating the Nasdaq 100. And you can buy the index for next to nothing in fees. The biggest question we get now is ‘What will make it go down, there’s no catalyst?’ Such questions often precede an intermediate top. Once consensus gives up on recession, count on it - Goldman Sachs
The ratio of the NDX to the Russell is now at a record high.
The ratio of the NDX to the Russell is now at a record high. Monopolistic tech is winning with pricing power and squeezing smaller suppliers. The market is bored of waiting for rates to cause recession, taking us back to biggest companies, biggest margins, and biggest PE’s - Bank of America
Liquidity will become a headwind in fairly short order
Liquidity will become a headwind in fairly short order due in large part to T-bill issuance following the debt ceiling deal. This is the biggest reason we are not capitulating into risk despite the recent price action. The liquidity drain could approach $1.5 trillion between now and fall - Bank of America

Week Ahead

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After the United States Senate successfully passed bipartisan legislation to raise the government's debt ceiling, preventing a potentially disastrous default, attention now turns to the upcoming macroeconomic calendar. Fresh figures are awaited for services PMI, foreign trade, factory orders, and inventory data. The ISM survey for May is expected to reveal a strengthening in service sector growth, reaching its highest level in three months. Investors will be particularly interested in the gauge that measures price pressures, as there are concerns about service-led inflation, which could influence central bankers to adopt a tightening bias. Additionally, the final estimate of the Markit survey is likely to confirm that business activity growth reached its highest point in over a year in May. Meanwhile, the trade deficit is expected to have widened in April due to a decline in exports and an increase in imports. On the other hand, factory orders are anticipated to rise for the second consecutive month during the same period - TradingEconomics
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Calendar (UTC-4)
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- TradingEconomics
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Major Economies
-TradingEconomics
-TradingEconomics

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 12-mo Estimate
🔵
225.5
224.71
228.39
January 1, 2023
Forward 12-mo PE
🔵
19
18.7
17.2
January 1, 2023
Nominal Earnings Yield
🔴
5.27
5.34
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
11.66
13.83
-2.17
-15.68%
SPX GEX Flip
🔵
4,182.5
4,157.5
25
0.6%
SPX Skew Adjusted GEX
🔴
12,182,489,362
13,985,819,230
-1,803,329,868
-12.89%
Equity Put/Call Ratio (CBOE)
🔴
0.52
0.53
-0.01
-1.89%
VIX Put/Call Ratio (CBOE)
🔴
0.28
0.36
-0.08
-22.22%
SPX/W Put/Call Ratio (CBOE)
🔴
1.21
1.38
-0.17
-12.32%
OEX Put/Call Ratio (CBOE)
🔴
3.39
3.83
-0.44
-11.49%
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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June E-mini S&P 500 futures closed at a one month high of 4288.00 Friday, up by 60.00 (1.42%). Overall volume was 1,983,813, with June seeing 1,955,603 done. Total open interest gained 34,112 (1.39%) to end the session with 2,493,407 outstanding. The June maturity rose 1.13%, or 34,112, to finish at 2,416,138.
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Option volumes were greatest for the June 4400 call (14,360) and the June E1B 3600 put (69,875). Calls with the largest open interest are the June EW3 100 strike (42,561), and for the puts are the June E1B 3600 strike (76,144).
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As measured by the 30-day at-the-money, implied volatility was moderately down, dropping 0.74% to end the session at a one week low of 11.49%. Up by 0.52% to a one month high, historical volatility (as measured by the 30-day) settled at 14.95%. The volatility spread (30-day, IV-HV) finished the session at a one month low of -3.46%, having decreased 1.26%.
Longer TF (W → D)
Longer TF (W → D) NEUTRAL - The odds favored retest of 4300 materialized during W22 on a closing basis, which in turn, increases the odds of retesting the top of the larger timeframe Q322 HI 4327.50 → 2022 LO 3502 quarterly structure, within the +1σ expected weekly range. Scope for breakout failure risk < MAY Pullback LO 4114 (-4.06%) is beyond -2σ (W).
Shorter TF (3H → M30)
Shorter TF (3H → M30) BULLISH - Surging call volumes on Friday once again turned weekly options into ODTE. The (THU→FRI) +100 handle advance has yet to enter a pullback phase, and the strong position of close increases the odds of continuation. Bulls will seek price acceptance > 4300, whereas bears will seek to defend the Q322 HI 4327.50 (+0.92%), within +1σ (W) expected.

Bull v Bear

This Week (30d ATM IV 11.49% v RVOL 14.95% p)
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Bulls will seek to break 4300 on a closing basis and continue to build price acceptance above. Upside: > Q322 HI 4327.50 (+0.92%) is within +1σ (W) 4365.50 (+1.81%).
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Bears will seek to recapture Friday’s 4243 BOS and ideally the swing midpoint 4236 (-1.21%) on a closing basis. Downside: < 4200 is beyond -1σ (W) expected 4216 (-1.68%).
Last Week (4288.00 JUN23 +1.74%)
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Bulls will seek to break WHI.1 4227.25 on a closing basis and continue to build price acceptance above. Upside: > Q421 LO BOS 4260 (+1.11%) is within +1σ (W) 4303.50 (+2.14%).
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Bears will seek to break PLO < 4146 and ideally recapture the 6M VPOC 4138.25 (-1.8%) on a closing basis. Downside: < WLO 4120 is beyond -1σ (W) expected 4126.50 (-2.06%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔵
11.8
9.97
18.36
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
2.98
2.43
22.63
0
0
Intermediate Term Optimism Index
🔴 Optimism
🔵
65
52
25
65
35
CRB Optix
⚪️ Normal
🔵
46
45
2.22
60
40
Bond Optix
🟢 Pessimism
🔵
24
18
33.33
70
40
HYG Optix
⚪️ Normal
🔵
78.48
52.48
49.54
80
20
US Dollar Optix
⚪️ Normal
🔴
53
54
-1.85
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
⚪️
1.03
1.03
0
0
0
Crude Oil Optix
⚪️ Normal
🔴
37
39
-5.13
60
30
Gold Optix
⚪️ Normal
🔵
53
52
1.92
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
⚪️ Normal
🔴
0.52
0.53
-1.89
0.5
0.75
VIX Put/Call Ratio
🔴 Optimism
🔴
0.28
0.36
-22.22
0.35
0.75
LOBO Put/Call Ratio
⚪️ Normal
🔴
0.85
0.88
-3.41
0.65
1.1
Options Speculation Index
🔴 Optimism
🔴
1.19
1.21
-1.65
1.15
0.9
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
S&P 500 Futures Hedgers Position v Large Spec Net
S&P 500 Futures Hedgers Position v Large Spec Net
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
🔴
2.74
2.94
-6.8
2.75
3.25
Risk Appetite Index
🔴 Optimism
🔵
0.88
0.83
6.02
0.8
0.2
MOVE Index
🟢 Pessimism
🔴
120.95
145.37
-16.8
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-81.45
-76.57
-6.37
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔴
0.81
0.88
-7.95
0.8
1
Component Correlation
⚪️  Normal
🔵
0.52
0.51
1.96
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔵
3,824,150
2,482,940
50
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
450.46
475.09
-5.18
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔵
52.09
35.79
45.54
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔵
53.29
44.11
20.81
70
30
NYSE TRIN
⚪️ Normal
🔵
1.18
0.88
34.09
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
681,927
679,160
0.29
0
0
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