S&P 500 Futures
S&P 500 Futures
Week of Aug 20 2023

Week of Aug 20 2023

Market Wrap

EOW 33 - Benchmarks
EOW 33 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.4% 4265.1 → 4474.9)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.4% 4265.1 → 4474.9)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

icon
It’s possible that the poor seasonal will be brought forward into August. We also observe a short-term supply and demand mismatch between the VWAP corporate bid and systematic strat selling at the market creating an asymmetric flow-of-funds skew to the downside as we test key technical levels. Meanwhile, the proliferation of 0DTE options has made each day its own ecosystem - Scott Rubner, Goldman Sachs
This is no longer a buy-the-dip market. The S&P breached a short-term CTA sell trigger threshold for the first time in nearly three months, marking a clear shift in sentiment.
This is no longer a buy-the-dip market. The S&P breached a short-term CTA sell trigger threshold for the first time in nearly three months, marking a clear shift in sentiment. Equities are now trading in a vacuum where technical flows predominate. Thin August markets are also factoring; top-of-book depth has deteriorated by more than half over the past two weeks - Goldman Sachs
Discretionary investors have de-risked into August’s equity selloff, but systematic strategies positioning has barely declined and remains in overweight territory.
Discretionary investors have de-risked into August’s equity selloff, but systematic strategies positioning has barely declined and remains in overweight territory. Given the increases in vol, rising cross-asset correlations and weakening trend signals, systematic strategies are also likely to start cutting exposure. That said, 95% of S&P 500 companies are out of their blackout windows; the corporate bid will likely be back in play - Deutsche Bank
Normalization is not a particularly urgent motivation for cutting, and for that reason we also see a significant risk that the FOMC will instead hold steady.
Normalization is not a particularly urgent motivation for cutting, and for that reason we also see a significant risk that the FOMC will instead hold steady. The FOMC might not cut because inflation might not fall enough or, even if it does, because solid growth, a tight labor market and a further easing of financial conditions might make cutting seem like an unnecessary risk - Goldman Sachs

Week Ahead

icon
It's a very light week for US economic indicators. But the BIG event will occur on @August 25, 2023 when Fed Chair Jerome Powell will speak at the Fed's annual Jackson Hole Conference. He will undoubtedly say that the inflation rate remains too high above the Fed's 2.0% target. However, he will probably acknowledge that the CPI inflation rate has moderated significantly since last summer, especially excluding the shelter component, which is likely to fall in coming months (chart). He is also likely to reiterate that the target is meant to be achieved by 2025 not this year or even next year. The big question is whether Powell will try to calm the bond market. The 10-year Treasury yield is back to last year's high of 4.25%. If it keeps moving higher, defaults will increase especially in commercial real estate mortgages. Powell could say that if inflation continues to moderate, the Fed might have to lower the federal funds rate next year so that monetary policy doesn't get even more restrictive. Meanwhile, the 30-year mortgage rate rose to 7.71% on Thursday. Mortgage applications to purchase a home are continuing to fall, suggesting that the sum of existing @August 22, 2023 plus new @August 23, 2023 single-family home sales fell during July. We are expecting that August's Richmond @August 22, 2023 and Kansas City @August 24, 2023 regional business surveys will confirm last week's NY and Philly surveys suggesting that manufacturing may be bottoming - Yardeni Research
‣
Calendar (UTC-4)
-
- TradingEconomics
‣
US Macro
United States Economic Indicators
United States Economic Indicators

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔵
231.73
231.67
228.39
January 1, 2023
Forward 4-qtr PE
🔴
18.8
19.3
17.2
January 1, 2023
Nominal Earnings Yield
🔵
5.3
5.19
5.86
January 1, 2023

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔵
14.35
13.42
0.93
6.93%
SPX GEX Flip
🔴
4,472.5
4,502.5
-30
-0.67%
SPX Skew Adjusted GEX
🔴
-25,358,279,281
-12,869,841,511
-12,488,437,770
-97.04%
Equity Put/Call Ratio (CBOE)
🔴
0.76
0.8
-0.04
-5%
VIX Put/Call Ratio (CBOE)
🔵
0.77
0.39
0.38
97.44%
SPX/W Put/Call Ratio (CBOE)
🔵
1.62
1.43
0.19
13.29%
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

icon
Sep E-mini S&P 500 futures finished the session at a one month low of 4382.75 Friday, dropping 1.75. Across all maturities, the session saw 1,752,145 contracts change hands, with Sep volume coming in at 1,746,289. Overall open interest decreased 7,093, or 0.31%, with Sep lower by 6,591 (0.30%) to 2,217,252.
icon
Option volumes were highest for the August E3A 4400 call (7,954) and the August E3A 3725 put (121,942). For Sep options, the 4600 calls were the most active with 5,071 done, and the high volume put was the 4300 strike with 8,139 contracts changing hands. Option open interest is largest for the Sep 4700 calls at 16,683, and the August E3A 3725 puts at 122,768.
icon
As measured by the 30-day at-the-money, implied volatility closed moderately down, losing 0.83% to finish at 14.45%. The 30-day historical volatility ended the day lower by 0.0248% to 9.82%.
Higher TF (W → D)
Higher TF (W → D) NEUTRAL - The multi-week pullback has retraced and closed below the July range triggering cessation of MTF 1TFU, and signaling a pause in the secular uptrend. That said, price was rejected below the JUN PB LO 4368.50, resulting in a bullish divergence on Friday. But considering skewed systematic(s) positioning and absence of a fractal low, directional odds favors downside continuation with sellers in control below 4470 (notwithstanding oversold conditions). Bounces are likely to be sold.
Lower TF (3H → M30)
Lower TF (3H → M30) BEARISH - Lower timeframe counter-trends facilitate higher timeframe pullbacks - this structure has been in effect for the past three weeks. W33 featured notable extension of the WTF 1TFD configuration and mitigation of the remaining demand zone (4368.50 → 4400), which defends the Q123 4208.50 breakout. The weak position of W33 close favors Lower TF trend continuation and will likely result in backing and filling the 4305.75 Departure Gap and retesting 4300; within the -1σ (W) expected range.

Bull v Bear

This Week (30d ATM IV 14.45% v 30d RVOL 9.82%)
icon
Bulls will seek to recapture 4436.75 LH on a closing basis. Upside: WVAH 4463.25 (+1.83%). 50d MA 4484 (2.3%) is marginally above +1σ (W) 4473 (+2.06%).
icon
Bears will seek to further extend 1TFD < WLO 4350(-0.75%) and target the 4305.75 Departure Gap. Downside: < 4300 (-1.89%) is within -1σ (W) 4296 (-1.98%).
Last Week (4382.75 SEP23 -2.24%)
icon
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%).
icon
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%)..

Indicators

‣
Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
🔴 Optimism
🔴
13.92
16.14
-13.75
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
3.24
2.87
12.89
0
0
Intermediate Term Optimism Index
⚪️ Normal
🔴
44
66
-33.33
65
35
CRB Optix
⚪️ Normal
🔴
47
49
-4.08
60
40
Bond Optix
🟢 Pessimism
🔴
19
22
-13.64
70
40
HYG Optix
⚪️ Normal
🔴
32.48
53.74
-39.56
80
20
US Dollar Optix
⚪️ Normal
🔵
50
45
11.11
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔵
0.94
0.92
2.17
0
0
Crude Oil Optix
⚪️ Normal
🔴
52
54
-3.7
60
30
Gold Optix
⚪️ Normal
🔴
41
46
-10.87
70
30
‣
Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio
🟢 Pessimism
🔵
0.76
0.7
8.57
0.5
0.75
VIX Put/Call Ratio
🟢 Pessimism
🔴
0.77
1.05
-26.67
0.35
0.75
Stock Bond Ratio
⚪️ Normal
🔴
1.51
1.8
-16.11
2
-2
GEX / Market Cap Ratio
🟢 Pessimism
🔴
0.01
0.04
-75
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
‣
Sentiment
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Sentiment
⚪️ Normal
🔴
2.97
2.99
-0.67
2.75
3.25
Risk Appetite Index
🔴 Optimism
🔴
0.84
0.87
-3.45
0.8
0.2
MOVE Index
🟢 Pessimism
🔵
120.51
112.13
7.47
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔵
-69.22
-74.46
7.04
0
0
‣
Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔵
0.9
0.87
3.45
0.8
1
Component Correlation
⚪️  Normal
⚪️
0.39
0.39
0
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔵
2,497,770
1,731,290
100
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔵
454.81
430.19
5.72
0
0
‣
Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔴
34.66
57.77
-40
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔴
54.2
64
-15.31
70
30
NYSE TRIN
⚪️ Normal
🔵
0.88
0.71
23.94
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔴
685,365
690,090
-0.72
0
0
‣
Disclaimer

ALL CONTENT WITHIN THIS SITE IS SOLELY GENERATED AS OPINION FOR THE INTERNAL USE OF QUESTRA ADVISORS LLC ("QALLC").

NO PART OF THIS SITE SHOULD BE CONSIDERED AN OFFER TO BUY OR SELL ANY SORT OF SECURITY OR FINANCIAL PRODUCT. NO PART OF THIS SITE SHOULD BE CONSTRUED AS ADVISE OR A RECOMMENDATION FOR ANY SORT OF FINANCIAL TRANSACTION OR INVESTMENT ALLOCATION. FURTHERMORE, NO PART OF THIS SITE SHOULD BE CONSTRUED AS "RESEARCH" AS DESCRIBED BY FINRA/NYSE 472.

QALLC TRADES WITH ITS OWN CAPITAL; IT IS NOT A REGISTERED INVESTMENT ADVISOR, AND NOTHING IN QALLCs COMMENTARY IS INTENDED, AND IT SHOULD NOT BE CONSTRUED, TO BE INVESTMENT ADVICE. QALLCs COMMENTARY IS FOR INFORMATIONAL AND ENTERTAINMENT USE ONLY. ANY MENTION OF QALLCs COMMENTARY OF A PARTICULAR SECURITY, INDEX, DERIVATIVE, OR OTHER INSTRUMENT IS NEITHER A RECOMMENDATION BY QALLC TO BUY, SELL OR HOLD THAT SECURITY, INDEX, DERIVATIVE, OR OTHER INSTRUMENT, NOR DOES IT CONSTITUTE AN OPINION OF QALLC AS TO THE SUITABILITY OF THAT SECURITY, INDEX, DERIVATIVE, OR OTHER INSTRUMENT FOR ANY PARTICULAR PURPOSE. QALLC IS NOT IN THE BUSINESS OF GIVING INVESTMENT ADVICE OR ADVICE REGARDING THE SUITABILITY FOR ANY PURPOSE OF ANY SECURITY, INDEX, DERIVATIVE, OTHER INSTRUMENT OR TRADING STRATEGY, AND NOTHING IN QALLCs COMMENTARY SHOULD BE SO USED OR RELIED UPON.

QALLC HEREBY EXPRESSLY DISCLAIMS ANY AND ALL REPRESENTATIONS AND WARRANTIES THAT: (a) THE CONTENT OF ITS WEEKLY REPORTS ARE CORRECT, ACCURATE, COMPLETE, OR RELIABLE; (b) ANY OF ITS WEEKLY REPORTS WILL BE AVAILABLE AT ANY PARTICULAR TIME OR PLACE, OR IN ANY PARTICULAR MEDIUM; AND (c) THAT ANY OMISSION OR ERROR IN ANY OF ITS WEEKLY REPORTS WILL BE CORRECTED.

‣
Sources

© Questra Advisors LLC (All Rights Reserved) | 333 City Blvd. West, Suite 1700 | Orange CA | 92868 | +1 949 207 3121