S&P 500 Futures
S&P 500 Futures
Week of Feb 12 2003

Week of Feb 12 2003

Market Wrap

EOW 06 - Benchmarks
EOW 06 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 3.1% 3963.7 → 4217.3)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 3.1% 3963.7 → 4217.3)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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Markets have begrudgingly accepted that it might not be as simple as the consensus macro narrative coming into 2023 suggested it would be. Accordingly, the distribution of Fed rate-path outcomes has gone from an assumed view of ‘narrowing options’ over previous months to again now something with optionality for a higher ultimate destination and held longer. That’s ominous because the reintroduction of uncertainty around the rate path is a recipe for cross-asset vol to again percolate. We now have some tangible pockets of dealer short convexity developing (large VIX upside trades and sizable premium spent on puts in apparent recession plays) - Charlie McElligott, Nomura
A ‘hawkish’ data dump across CPI and retail sales risks opening up a move back below the acceleration point of 3,975,
A ‘hawkish’ data dump across CPI and retail sales risks opening up a move back below the acceleration point of 3,975, where not only would we lose some large gamma support, but as we see it, would also be where as of today, our CTA Trend model would project the S&P to flip from its current +40% Long back through both the -30% Short signal to -100% Short again - Nomura
The upcoming CPI report is vital. If the core print is 0.2% → 0.3%, then CPI is on track to be sub-4% by summer, would would mean the pain trade up continues.
The upcoming CPI report is vital. If the core print is 0.2% → 0.3%, then CPI is on track to be sub-4% by summer, would would mean the pain trade up continues. Conversely, a MoM print hotter than 0.4% could push 10y US yields back towards 4%. Since October, Fed liquidity surprised up by $350 billion; but has contracted sharply since January 18 - Goldman Sachs
Although resilient macro data has outweighed a mediocre Q4 earnings season at the start of 2023, the S&P 500 has become less macro- and more micro-driven in recent months - creating alpha generation through higher dispersion.
Although resilient macro data has outweighed a mediocre Q4 earnings season at the start of 2023, the S&P 500 has become less macro- and more micro-driven in recent months - creating alpha generation through higher dispersion. The 19pp drop in average S&P realized correlation was enough to drive dispersion above its three-decade, non-recession average - Goldman Sachs

Week Ahead

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Next week will be critical for economic data, as market participants will be keeping an eye on the January CPI and PPI index from the Labor Department. Headline inflation is likely to have risen 0.5% month-on-month in January, the most since June 2022, yet still resulting in the annual rate slowing to 6.2% from 6.5%. Core CPI is expected to grow 0.4% over the previous month, bringing the annual rate to 5.5%.
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Economic (UTC-5)
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- TradingEconomics
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Earnings
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- TradingTerminal

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 12-mo Estimate
🔴
223.28
225.02
230.43
September 30, 2022
Forward 12-mo PE
🔵
18.5
18
15.5
September 30, 2022
Nominal Earnings Yield
🔴
5.4
5.53
6.43
September 30, 2022

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
Implied Volatility
🔵
18.5
16.2
2.3
14.2%
Call Skew
🔴
-4.5
-4.1
-0.4
-9.76%
GEX Flip
⚪️
4,077.5
4,047.5
30
0.74%
Total GEX
🔴
2,702,556,941
16,571,518,846
-13,868,961,905
-83.69%
Skew Adjusted GEX
🔴
1,224,258,294
4,744,425,846
-3,520,167,552
-74.2%
Put/Call Ratio
⚪️
1.93
1.91
0.02
1.05%
Net Skew-Adjusted Gamma by Strike for ALL Expirations - @tradevolatility
Net Skew-Adjusted Gamma by Strike for ALL Expirations - @tradevolatility
Net Skew-Adjusted Gamma Change for ALL Expirations - @tradevolatility
Net Skew-Adjusted Gamma Change for ALL Expirations - @tradevolatility
Net Skew-Adjusted Gamma by Strike for
Net Skew-Adjusted Gamma by Strike for @February 13, 2023 - @tradevolatility
Net Skew-Adjusted Gamma by Strike for
Net Skew-Adjusted Gamma by Strike for @February 17, 2023- @tradevolatility

Futures

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March E-mini S&P 500 futures settled at 4099.75 on Friday, increasing by 8.00 points. Trading activity was higher across all maturities, with 1,747,775 contracts traded in total, of which 1,744,956 were in the March maturity. Open interest decreased by 8,099 (0.39%) to 2,048,024. The March contract fell 8,701 points, or 0.43%, closing at 2,017,324.
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In February, the E2B 3400 option saw the most activity with 28,074 contracts traded. The 4100 calls had the highest volume with 6,253 contracts, while the 3900 puts had 6,969 contracts. The Feb EW3 100 calls had the largest open interest at 51,119, and the Feb EW3 100 puts had 50,748.
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E-mini S&P 500 implied volatility closed moderately lower, with the 30-day at-the-money shedding 0.34% to close at 18.34%. Historical volatility (30-day) also dropped, closing the session at 16.27%, a decrease of 0.57% and a twelve year low. The volatility spread (30-day, IV-HV) ended at a one month high of 2.07%, having increased by 0.23%.
Larger
Larger TF (PRE-COVID HI → Present) NEUTRAL - Week 6 featured an Inside Week, indicating a period of balance, including structural repair and a precise backtest of the 4th Quarter/1st Quarter Value Area High (VAH). Responsiveness at highly observed technical references, combined with tapering volume, suggests that shorter timeframe participants are dominating current market action. For now, buyers remain in control above the 2022 Supply Line at 4065, with the 1st Quarter Point of Control at 4040 (-1.46%). The Quarterly Timeframe 1TFU ending price is 3814.50, which is below -2σ of the expected range.
Intermediate
Intermediate TF (2022 → Present ) BULLISH - Technical price action is more evident on the Intermediate Timeframe (ITF). Bullish participants will observe an intact trend respecting its 1H23 Demand Line. Bearish participants note a confirmed rejection from 4200 and confirmation of an interim recovery high. The backtest of the 4064.50 "Ice Line" and the responsive price action highlights the growing awareness of this ITF pivot. In the meantime, the market is rotating between DEC and JAN value areas. A break below the Ice Line will introduce scope for retesting the December Value Area, within -2σ of the expected range.
Short TF (Trailing 8-weeks)
Short TF (Trailing 8-weeks) NEUTRAL - Thursday's selling exhaustion was evident pre-market (”white arrow”, Pane 3), leading to short-covering during Friday's cash session (RTH). However, bids were also being absorbed, resulting in a limited weak closing range and below weekly value. This Inside Week formation suggests an interim high (WHI.1 4208.50 +2.65%) is in, short-term consolidation has begun, and currently backtesting multi-month value. The GEX regime remains positive at the margin: Flip Point 4077.50 (-0.54%).
TPO ETH v RTH (W5→W6)
TPO ETH v RTH (W5→W6) NEUTRAL - With structural repairs nearly complete, the market is likely to continue consolidating into Tuesday’s CPI event catalyst. That said, WLO is weak, and this opens the door to a series of poor LOs. The 50-day and 200-day moving averages (3081 and 3952 respectively) are now within -2σ of the expected range. On the other hand, the lack of follow-through selling on Thursday creates scope for additional short covering triggered by cessation of daily 1TFD > 4104.25 (+0.11%).

Bull v Bear

This Week (30d ATM 18.34% v 15.83% p)
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Bulls will seek to recapture the 4100 → 4200 TR and ideally above WPOC 4124 (+0.59%) on a closing basis. Upside: Recapture DEC HI 4141.50 (+1.02%); WVAH 4165 (+1.59%); WHI 4188.25 (+2.16%); 2023 HI 4208.50 (+2.65%); 4250 Strike (+3.66%) are within +2σ (W) 4303 (+4.96%).
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Bears will seek to offer and build acceptance < WLO 4060.75 (Weak -0.95%) creating scope for a sweep of the January Value Area. Downside: 2022 → Present POC 4005.25 (-2.31%); 50d MA 3981 (-2.9%); OCT HI 3955.75 → 200d MA 3952.00 (-3.6%) are within -2σ (W) 3908 (-4.66%).
Last Week (4099.75 MAR23 -1.17%)
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Bulls will seek to recapture > FRI HI 4194 (+1.12%) and ideally establish price acceptance > 4200 (+1.26%). Upside: WHI 4208.50 (+1.46%); 22VAH 4240 (+2.22%); recapture Q421 LO 4293 (+3.5%); 4300 (+3.67%) are within +2σ (W) 4331.
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Bears will seek to retrace and offer back into the DEC range < 4141.50 (-0.15%) and ideally establish price acceptance below 4100 (-1.15%). Downside: GEX Flip 4079 (-1.66%); WVPOC 4053 (-2.27%); WVAL 4016 (-3.17%) are within -2σ (W) 3975.

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
Current Year Performance
⚪️  Normal
🔴
6.89
7.99
-13.77
15
-10
Average of All Years
⚫️  Index (N/A)
🔴
-0.11
0.2
-155
0
0
Intermediate Term Optimism Index
🔴  Optimism
🔴
76
80
-5
65
35
CRB Optix
⚪️  Normal
🔵
48
47
2.13
60
40
Bond Optix
🟢  Pessimism
🔴
21
28
-25
70
40
HYG Optix
🟢  Pessimism
🔴
7.41
37.54
-80.26
80
20
US Dollar Optix
⚪️  Normal
🔵
49
48
2.08
60
40
TED Spread
🔴  Optimism
🔴
0.14
0.17
-17.65
0.25
0.7
Crude Oil Optix
⚪️  Normal
🔵
44
37
18.92
60
30
Gold Optix
⚪️  Normal
⚪️
47
47
0
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
VIX Put/Call Ratio
⚪️  Normal
🔵
0.57
0.4475
27.37
0.35
0.75
Equity Put/Call Ratio
⚪️  Normal
🔵
0.69
0.57
21.05
0.5
0.75
Hedge Fund Exp - Equities
⚪️  Normal
🔵
0.117
0.097
20.62
0.2
0
Hedge Fund Exp - Dollar
⚪️  Normal
🔴
-0.16
-0.033
-384.85
0.301
-0.3
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Sentiment
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
VIX Sentiment
⚪️  Normal
🔵
2.91
2.72
6.99
2.75
3.25
Risk Appetite Index
🔴  Optimism
🔵
0.84
0.8
5
0.8
0.2
Medium Term Risk
🔴  Optimism
⚪️
8
8
0
8
2
Macro Index Model
🟢  Pessimism
⚪️
0.27
0.27
0
0.8
0.6
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
VIX Term Structure
⚪️  Normal
🔵
0.91
0.88
3.41
0.8
1
Component Correlation
🟢  Pessimism
🔴
0.6
0.62
-3.23
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔴
1,732,000
2,508,060
-50
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔵
442.06
418.68
5.58
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverse
SPY Breadth (% > 50d MA)
⚪️  Normal
🔴
65.47
70.26
-6.82
70
30
SPY Breadth (% > 200d MA)
🔴  Optimism
🔴
70.86
73.45
-3.53
70
30
NYSE TRIN
⚪️  Normal
⚪️
1.09
1.08
0.93
0.5
2
NYSE Advance Decline
⚫️  Index (N/A)
⚪️
685,154
688,352
-0.44
0
0
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