S&P 500 Futures
S&P 500 Futures
Week of Feb 19 2003

Week of Feb 19 2003

Market Wrap

EOW 07 - Benchmarks
EOW 07 - Benchmarks
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.9% 3960.9 → 4197.5)
SPX (D) - Trailing 12mo and +/- 1σ Expected Weekly Range (+/- 2.9% 3960.9 → 4197.5)
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo
VX Surface - RVOL Spreads - VVIX / VIX Ratio - Trailing 12mo

Narratives

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Past central bank reflexive easing conditioning has affected the market’s interpretation of monetary policy signals (i.e., perception of the ‘Fed Put’), and even more importantly, leaving us with still extraordinarily large central bank balance sheets which act to inhibit the rate hike transmission, explaining why financial conditions aren’t actually tight. The natural / neutral rate is likely much higher than previously suspected. From a consumer / economic pass-through perspective, the direct government fiscal transfers to the lowest — but largest — part of the income distribution in the post-COVID response, have also acted to reduce the interest-rate sensitivity of the economy, as a lot of buffer was accumulated. The additional fiscal input which has acted to neuter higher rates’ impact on the economy and help to push off a recession is the almost wholesale high wage increases seen across labor and lower-skill in particular, with a similar impact to the aforementioned government fiscal transfers. Finally, home owners’ equity in real estate as a percentage of GDP is currently at all-time highs, which has been allowing boomer-to-millennial homeowners the ability to cash out massive (home equity) lines of credit and help stave-off the pain of inflation and higher interest rates — Charlie McElligott, Nomura
The dollar continues to quietly reclaim some of the heavy losses seen since October. The move has clearly been driven by the re-assessment of the Fed cycle, where the ‘higher for longer’ camp is in the ascendancy -
The dollar continues to quietly reclaim some of the heavy losses seen since October. The move has clearly been driven by the re-assessment of the Fed cycle, where the ‘higher for longer’ camp is in the ascendancy - ING
Despite 450bps of Fed hikes in just 11 months, US retail sales are at record highs, the unemployment rate is at a half-century low, the economy is adding jobs at a torrent pace and both CPI and PPI are reaccelerating -
Despite 450bps of Fed hikes in just 11 months, US retail sales are at record highs, the unemployment rate is at a half-century low, the economy is adding jobs at a torrent pace and both CPI and PPI are reaccelerating - BofA
Americans have tapped $20 trillion in home equity. The FOMC should have a hard look at their QT ops, which aren’t packing much of a punch, particularly with the MBS portion of the run-off failing to hit their max caps -
Americans have tapped $20 trillion in home equity. The FOMC should have a hard look at their QT ops, which aren’t packing much of a punch, particularly with the MBS portion of the run-off failing to hit their max caps - Nomura

Week Ahead

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In the US, the Federal Open Market Committee (FOMC) Meeting minutes and speeches by Federal Reserve officials will be closely watched this week. This is due to recent economic data which has fueled speculations of the Fed raising rates more than it did at the beginning of the month, and for a longer period. January's higher-than-expected Consumer Price Index (CPI) and Producer Price Index (PPI) figures are likely to push the Fed's preferred inflation gauge higher. Additionally, personal spending and income data is anticipated to show consumer spending is resilient after January's strong retail sales report. Other key economic releases include the second estimate for the fourth-quarter Gross Domestic Product (GDP), which is expected to be revised upwards to 2.9% from the 2.8% preliminary figure. The University of Michigan's consumer sentiment and the S&P Global PMIs for February will also be in focus. Further, existing and new home sales will provide insight into the real estate market. The Q422 earnings season ends next week (unofficially speaking) with Walmart reporting their holiday quarter or rather their 4th fiscal quarter of the 2023 fiscal year; Home Depot and Nvidia will also report results.

Canada will publish their January CPI report and retail sales figures for December - TradingEconomics

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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
🔴
222.36
222.43
230.43
September 30, 2022
Forward 12-mo PE
🔴
18.3
18.5
15.5
September 30, 2022
Nominal Earnings Yield
🔵
5.45
5.44
6.43
September 30, 2022

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
Implied Volatility
⚪️
17.6
18.5
-0.9
-4.86%
Call Skew
🔴
-6.6
-4.5
-2.1
-46.67%
GEX Flip
⚪️
4,097.5
4,077.5
20
0.49%
Total GEX
🔴
-4,258,538,843
2,702,556,941
-6,961,095,784
-257.57%
Skew Adjusted GEX
🔴
-2,776,567,326
1,224,258,294
-4,000,825,620
-326.8%
Put/Call Ratio
🔵
2.05
1.93
0.12
6.22%
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 21, 2023 - @tradevolatility
Open Interest by Strike for
Open Interest by Strike for @February 21, 2023- @tradevolatility

Futures

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Friday's E-mini S&P 500 market closed lower, with the March contract down 12.25 points to 4087.50, a one-week low. A total of 2,012,129 contracts were traded, with 2,008,448 in March. Open interest decreased by 4,627 (0.22%), with March decreasing by 4,786, or 0.23%, to 2,042,684.
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The February E4C 3400 put saw the most activity with 17,220 contracts traded. The highest volume of March option trading was seen in the 4300 calls (4,575) and the 3700 puts (6,530). The March EW3 2100 calls had the greatest open interest of 21,794, and the 3600 puts had 36,281.
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Implied volatility ended the session sharply higher, with the 30-day at-the-money option gaining 4.70% and settling at a one month high of 22.37%. The 30-day historical volatility dropped 1.11% to a twelve year low of 15.37%. The spread between the implied and historical volatilities increased by 5.81%, settling at a one month high of 6.99%.
Larger
Larger TF (PRE-COVID HI → Present) NEUTRAL - Week 7 saw the cessation of WTF 1TFU signaling a pause in the intermediate-term trend. 4200 has been a formidable resistance level; conversely, the recaptured Supply Line has since provided support. The larger timeframe bias remains range bound and therefore neutral between 4000-4200, from which the next directional move will eventually emerge. Notice that the Q1 POC has moved up to 4131.50, with sellers having taken interim control below. The Quarterly Timeframe 1TFU ending price however is 3814.50 and still below -2σ of the expected weekly range.
Intermediate
Intermediate TF (2022 → Present ) NEUTRAL - Technical price action remains evident on the Intermediate Timeframe (ITF), as expected given the increasing prevalence of 0DTE options volume. The Ice Line (prior breakout, failure, and recovery level) at 4064.50 is still providing support and coincidentally defending the January VAH. If the Ice Line is lost, there will be potential for backtesting 4000 and the December Value Area, which is currently within -2σ of the expected range. On the other hand, reclaiming January value will indicate a potential breakdown failure and target the top of value, 4174.
Short TF (Trailing 10-weeks)
Short TF (Trailing 10-weeks) NEUTRAL - Thursday's short-covering failed to attract buyers, resulting in a late session sell-off with continuation into Friday's OpEx. The 1H23 Demand Line was broken on a closing basis and the GEX regime turned negative at the margin 4097.50 (+0.24%). Price action is still being dominated by short-term traders but the change of GEX regime could now lead to more ease of movement An ITF bearish change of condition would be confirmed with a failure to defend the 4035.25 January breakout (-1.28%) and within -1σ expected weekly range.
TPO ETH v RTH (W6→W7)
TPO ETH v RTH (W6→W7) BEARISH - Friday’s (cash session) market profile indicates an incomplete auction at both sides of the day's range. Short-covering resulted in the closing price being above value, a strong position that suggests a likely cessation of the daily 1TFD, and a possible gap fill at 4095. However, the Weekly Low (WLO) is weak, which opens the door to poor structure further below. Meanwhile, the 50 and 200-day moving averages (at 3990 and 3950) are both still within two standard deviations of the expected range, at -2.39% and -3.36%, respectively.

Bull v Bear

This Week (30d ATM 22.37% v 18.34% p)
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Bulls will seek to recapture 4100 and ideally the January HI 4109.25 (+0.54%) on a closing basis. Upside: WPOC 4131.50 (+1.08%); WVAH 4156.25 (+1.68%); WHI 4186.50 (+2.46%) are ≤ +1σ (W) +2.41%.
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Bears will seek to maintain price acceptance < 4100 and ideally < WLO 4055.75 (-0.78%) on a closing basis. Downside: JAN Breakout 4035.25 (-1.28%); Q422 POC 4000 (-2.14%); 50d MA 3990 (-2.39%) are ≤ -1σ (W) 3993 (-2.39%).
Last Week (4087.50 MAR23 -0.28%)
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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%).

Indicators

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Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
Current Year Performance
⚪️  Normal
🔴
6.63
6.89
-3.77
15
-10
Average of All Years
⚫️  Index (N/A)
🔵
0.72
-0.11
754.55
0
0
Intermediate Term Optimism Index
🔴  Optimism
⚪️
76
76
0
65
35
CRB Optix
⚪️  Normal
⚪️
48
48
0
60
40
Bond Optix
🟢  Pessimism
🔴
20
21
-4.76
70
40
HYG Optix
⚪️  Normal
🔵
44.59
7.41
501.75
80
20
US Dollar Optix
⚪️  Normal
🔵
50
49
2.04
60
40
TED Spread
🔴  Optimism
🔴
0.12
0.14
-14.29
0.25
0.7
Crude Oil Optix
⚪️  Normal
🔴
40
44
-9.09
60
30
Gold Optix
⚪️  Normal
🔴
46
47
-2.13
70
30
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Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
VIX Put/Call Ratio
⚪️  Normal
⚪️
0.57
0.57
0
0.35
0.75
Equity Put/Call Ratio
⚪️  Normal
🔴
0.67
0.69
-2.9
0.5
0.75
Hedge Fund Exp - Equities
⚪️  Normal
🔴
0.11
0.117
-5.98
0.2
0
Hedge Fund Exp - Dollar
⚪️  Normal
🔴
-0.19
-0.16
-18.75
0.301
-0.3
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Sentiment
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
VIX Sentiment
⚪️  Normal
🔴
2.8
2.91
-3.78
2.75
3.25
Risk Appetite Index
🔴  Optimism
🔴
0.82
0.84
-2.38
0.8
0.2
Volatility ETF Fund Flow
⚪️  Normal
🔵
0.009
-0.011
181.82
0.0251
-0.025
Fear & Greed Model
⚪️  Normal
🔴
78
82
-4.88
80
30
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Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverse
VIX Term Structure
⚪️  Normal
🔵
0.92
0.91
1.1
0.8
1
Component Correlation
🟢  Pessimism
🔴
0.59
0.6
-1.67
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔴
1,222,920
1,732,000
0
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
⚪️
445.45
442.06
0.77
0
0
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Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverse
SPY Breadth (% > 50d MA)
⚪️  Normal
🔴
64.67
65.47
-1.22
70
30
SPY Breadth (% > 200d MA)
⚪️  Normal
🔴
69.06
70.86
-2.54
70
30
NYSE TRIN
⚪️  Normal
🔵
1.36
1.09
24.77
0.5
2
NYSE Advance Decline
⚫️  Index (N/A)
⚪️
685,261
685,154
0
0
0
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