S&P 500 Futures
S&P 500 Futures
Week of Apr 16 2023

Week of Apr 16 2023

Market Wrap

EOW 15 - Benchmarks
EOW 15 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.4% 4038.2 → 4236.8)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.4% 4038.2 → 4236.8)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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Our big picture views are unchanged. The new era of war, geopolitical isolationism, populism, fiscal excess, state intervention, regulation, redistribution in 2020s could mean 3-4% inflation, 3-4% interest rates, 20% debasement of the US dollar and max 3-4% returns from credit and stocks over the medium-term. Asset Allocation: Long 25/25/25/25, cash, gold, commodities, EAFE/EM, small-caps, industrials and banks. Short 60/40, bonds, US dollar, stocks, US, large-cap and tech — Michael Hartnett, BofA
We no longer see a June hike, but not just because of lower CPI.
We no longer see a June hike, but not just because of lower CPI. Instead we are pointing to mounting evidence of credit remaining tight in the aftermath of SVB citing the bar is raised for the FOMC to agree to both hike and signal additional tightening not current implied by the median dots - Goldman Sachs
A large percentage of cash ends up parked in the Fed’s RRP facility which, some argue, is now contributing to instability in the banking sector.
A large percentage of cash ends up parked in the Fed’s RRP facility which, some argue, is now contributing to instability in the banking sector. Money market funds could see an additional $800 billion in inflows, and we feel rising bank deposit betas would only partially impede the flow - Goldman Sachs
There can be wrong signals (like in the late 1990s and 1960s) and during the 1970s the recession probability often peaked at higher levels so it could take longer before a recession occurs.
There can be wrong signals (like in the late 1990s and 1960s) and during the 1970s the recession probability often peaked at higher levels so it could take longer before a recession occurs. Our economists still put the odds of a recession over the next 12 months at just 35% - Goldman Sachs

Week Ahead

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The upcoming week will have softer US economic data, but will be jam-packed with high-profile earnings reports providing insight into corporate America's performance. This will fuel the debate on whether the world's largest economy is heading towards a recession or is already in one. Some of the most prominent companies reporting are Bank of America, Johnson & Johnson, Goldman Sachs, Netflix, IBM, American Express, Blackstone, and Procter & Gamble. Additionally, March figures on new residential construction and building permits will be released, offering further clues into the health of the real estate market. Finally, S&P Global will divulge April's purchasing manager surveys, measuring US manufacturing and services sector activity. Investors will also closely watch the usual weekly data on claims for unemployment insurance for signs of a cooling labor market. Meanwhile, in Canada, March CPI and February retail sales data will be published - 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
🔵
226.64
220.49
230.43
September 30, 2022
Forward 12-mo PE
🔴
18.1
18.9
15.5
September 30, 2022
Nominal Earnings Yield
🔵
5.52
5.37
6.43
September 30, 2022

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
14.6
16.5
-1.9
-11.52%
SPX GEX Flip
⚪️
4,102.5
4,077.5
25
0.61%
SPX Skew Adjusted GEX
🔵
6,917,139,283
3,862,863,589
3,054,275,694
79.07%
Equity Put/Call Ratio (CBOE)
🔴
0.65
0.69
-0.04
-5.8%
VIX Put/Call Ratio (CBOE)
🔵
0.41
0.27
0.14
51.85%
SPX/W Put/Call Ratio (CBOE)
🔴
1.35
1.52
-0.17
-11.18%
OEX Put/Call Ratio (CBOE)
🔴
1.07
2.32
-1.25
-53.88%
SPX Net Skew-Adjusted Gamma by Strike -
SPX Net Skew-Adjusted Gamma by Strike - @tradevolatility
SPX Skew-Adjusted GEX Trend -
SPX Skew-Adjusted GEX Trend - @tradevolatility
VIX Net Skew-Adjusted Gamma by Strike -
VIX Net Skew-Adjusted Gamma by Strike - @tradevolatility
VIX Skew-Adjusted GEX Trend -
VIX Skew-Adjusted GEX Trend - @tradevolatility

Futures

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June E-mini S&P 500 futures settled at 4163.75 Friday, dropping 9.00, in slightly lower trade across the board. Total volume was 1,886,340, with the June maturity seeing 1,882,896 change hands. Overall open interest fell 8,809, or 0.39%, to end the session with 2,260,003 outstanding. The June maturity shed 0.44% (8,809) to finish at 2,238,561.
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Option trading centered around the April EW3 4200 calls with 5,398 done and the April EW3 3100 puts with volume of 18,521. Option open interest is largest for the April EW3 100 calls at 30,656, and the June 3800 puts at 35,410.
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Implied Volatility finished the day lower with the 30-day at-the-money off by 0.62%, to end the session at a one month low of 14.78%. The 30-day historical volatility ended up by 0.0224% to 16.04%.
Larger
Larger TF (COVID LO → Present) NEUTRAL - Last week featured a second consecutive retest (total of 4) of the Q322 PB HI 4175 (the high of TR 3820 → 4175) on improved volume, breadth, and stabilized liquidity. The stronger position of the close suggests weakening seller’s resistance. If price is accepted above 4175, the gate towards Q2 PB HI 4300 (+3.27%) is opened. Conversely, a confirmed rejection creates scope for continued range-bound price action on the LTF between 3820 and 4175 (+/- 4.5%). Initiative buyers remain in control above the Q1 VAH 4093 (-1.70%) pivot point.
Intermediate
Intermediate TF (2022 → Present) NEUTRAL - We are currently observing a second ITF uptrend within a multi-month balance, with confirmed price acceptance above the VAH (~WLO.1 4096.50 -1.62%, above circled). Positive GEX has become concentrated at 4200, leading into the upcoming April OpEx, which suggests this is the most likely path. Additionally, 4200 (+0.87%) coincides with the trailing multi-year VAH 4204, which increases the odds of attracting larger timeframe resistance. Meanwhile, the ITF auction remains constructive above the March HI of 4142.50 (-0.51%).
Short TF (2023 → Present)
Short TF (2023 → Present) BULLISH - The shorter timeframe uptrend channel is currently supported by a positive gamma exposure (GEX) regime. This timeframe further extended the "WTF 1TFU" configuration (WHI > WHI.1) for a fourth consecutive week. On Friday, responsive buyers were attracted to the retest of the March HI 4142.50 and HVN; the trend remains intact above this level. The path of least resistance continues to suggest a retest of the year-to-date (February) high of 4208.50 (+1.07%), now within +1σ of the expected weekly range.
30m RTH (March → Present)
30m RTH (March → Present) BULLISH - The multi-week profiles above highlight trading ranges of interest isolated to regular trading hours. Notice that the TR W14 → W15 value confirms price acceptance above TR W12 → W14. The recognition of short-term value is further highlighted by WLO 4098.75 (-1.56%), which exactly coincides with TR W14 → W15 VAL (as indicated by the circle). While there is an opportunity for structural repair below the current TR, buyers remain in control across all timeframes for now.

Bull v Bear

This Week (30d ATM 14.78% v16.57% p)
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Bulls will seek to recapture and ideally gain price acceptance > WHI 4200 (+0.87%). Upside: YTD HI 4208.50 (+1.07%); GEX Call Wall 4227 (1.52%) are within +1σ (W) 4249 (+2.05%).
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Bears will seek to trigger cessation of Daily 1TFU below Friday’s RTH LO 4124.50 (-0.94%). Downside: GEX Flip 4109 (-1.31%); WLO.1 4096.50 (-1.62%) are within -1σ (W) 4082 (-1.96%).
Last Week (4163.75 JUN23 +0.77%)
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Bulls will seek to recapture the MAR HI 4142.50 and ideally gain price acceptance > WHI 4171.75 (+0.96%). Upside: 4200 (+1.65%); YTD HI 4208.50 (+1.85%) are within +1σ (W) 4223 (+2.2%).
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Bears will seek to trigger cessation of Weekly and Daily 1TFU below WLO 4096.50 (-0.86%) on a closing basis. Downside: Recapture Mar Breakout 4082.50 (-1.2%) is within -1σ (W) 4045 (-2.11%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
⚪️ Normal
🔵
8.24
7.44
10.75
10
-10
Average of All Years
⚫️ Index (N/A)
🔵
0.97
0.83
16.87
0
0
Intermediate Term Optimism Index
🔴 Optimism
🔵
65
61
6.56
65
35
CRB Optix
⚪️ Normal
🔵
52
50
4
60
40
Bond Optix
🟢 Pessimism
🔵
32
31
3.23
70
40
HYG Optix
⚪️ Normal
🔴
54.38
72.44
-24.93
80
20
US Dollar Optix
⚪️ Normal
🔴
43
44
-2.27
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔵
0.98
0.96
2.08
0.1
0.5
Crude Oil Optix
⚪️ Normal
🔵
51
49
4.08
60
30
Gold Optix
⚪️ Normal
🔴
58
60
-3.33
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Equity Put/Call Ratio De-Trended
🔴 Optimism
🔴
-0.15
-0.12
-25
-0.15
0.15
VIX Put/Call Ratio
⚪️ Normal
🔵
0.41
0.28
46.43
0.35
0.75
Hedge Fund Exp - Equities
⚪️ Normal
🔴
0.038
0.16
-76.25
0.2
0
Hedge Fund Exp - Dollar
⚪️ Normal
🔴
-0.17
0.34
-150
0.3
-0.3
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Sentiment
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Sentiment
🔴 Optimism
🔴
2.71
2.72
-0.37
2.75
3.25
Risk Appetite Index
⚪️ Normal
🔵
0.52
0.51
1.96
0.8
0.2
MOVE Index
🟢 Pessimism
🔴
118.84
139.2
-14.63
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-59.24
-59.02
-0.37
0
0
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
🔴
0.85
0.88
-3.41
0.8
1
Component Correlation
🟢  Pessimism
🔴
0.55
0.57
-3.51
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔵
3,243,800
2,719,420
50
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
458.94
489.64
-6.27
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔵
54.67
44.33
23.33
70
30
SPY Breadth (% > 200d MA)
⚪️ Normal
🔵
60.28
56.89
5.96
70
30
NYSE TRIN
⚪️ Normal
🔴
0.79
0.8
-1.25
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
684,219
681,828
0.44
0
0
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Sources

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