S&P 500 Futures
S&P 500 Futures
Week of Feb 25 2024

Week of Feb 25 2024

Market Wrap

Weekly Benchmarks -
Weekly Benchmarks - @Koyfin
Weekly Factors vs. S&P 500 -
Weekly Factors vs. S&P 500 - @Koyfin
Weekly Performance -
Weekly Performance - @Koyfin

Narratives

icon
The goldilocks with easing thesis, alongside the AI frenzy has flipped the script on dealer positioning. Dealers would typically be short downside to hedgers and long upside from overwriters, whereas now, amid little to no demand for downside and call-buying to account for perpetual fear of a melt-up, clients are selling puts not just for income, but to fund cheap convexity into calls. Collectively, dealers are consistently short upside gamma and grabbing delta to hedge into a never-ending melt-up in index, with the rally ironically too being fed by overwriters who are consistently being stopped-into their short strikes from the calls they’ve previously sold for income. All together, those dynamics have fueled spot index to levels which were inconceivable just a month and a half ago — Charlie McElligott, Nomura
During the past three months, Magnificent 7 earnings estimates have been revised upwards by 7% and margins have been revised upwards by 86bps compared with a 3% downward revision to earnings and 30bps downward revision to margins for the remaining 493 stocks -
During the past three months, Magnificent 7 earnings estimates have been revised upwards by 7% and margins have been revised upwards by 86bps compared with a 3% downward revision to earnings and 30bps downward revision to margins for the remaining 493 stocks - Goldman Sachs
Stimulus and a hot labor market meant a four-year recovery in US consumption from the COVID lows that was the fastest since 1945. By contrast, the much-hyped capex recovery ranks just seventh out of 12 recoveries since WW2, and housing is one of the worst of all time -
Stimulus and a hot labor market meant a four-year recovery in US consumption from the COVID lows that was the fastest since 1945. By contrast, the much-hyped capex recovery ranks just seventh out of 12 recoveries since WW2, and housing is one of the worst of all time - Bank of America
Dealers are consistently short upside gamma and grabbing delta to hedge into a never-ending melt-up in index, with the rally ironically too being fed by overwriters who are consistently being stopped-into their short strikes from the calls they’ve previously sold for income -
Dealers are consistently short upside gamma and grabbing delta to hedge into a never-ending melt-up in index, with the rally ironically too being fed by overwriters who are consistently being stopped-into their short strikes from the calls they’ve previously sold for income - Nomura

Week Ahead

icon
In the United States, investors are turning their attention back to a busy economic calendar, along with several speeches by Federal Reserve policymakers. Key data points to watch include the PCE price indexes, personal income and outlays, the ISM Manufacturing PMI, and durable goods orders.

Forecasts predict a 0.3% rise in PCE prices for January, a slight increase from the 0.2% gain seen in December. Core prices are expected to rise at a faster pace of 0.4%. The report is also anticipated to show a 0.3% increase in consumer spending and a 0.5% increase in income.

Furthermore, the ISM survey is likely to show continued contraction in the manufacturing sector throughout February, while durable goods orders are predicted to have dropped by 4.5% in January, after remaining unchanged in December.

Investors will also pay close attention to the second estimate of fourth-quarter GDP data, new and pending home sales, Case-Shiller home prices, Chicago PMI, Dallas Fed Manufacturing Index, and advance estimates of wholesale sales and the goods trade balance.

Finally, earnings season is wrapping up with Workday, Lowe's, American Tower, AMC, HP, Salesforce, TJX Companies, and Dell scheduled to report. (Source: Trading Economics)

‣
Calendar (UTC-4)
-
- TradingEconomics
‣
Macro Dashboard
-
- @Koyfin

Earnings

MetricUpDnThis WeekPrior WeekBaselineBaseline TF
Forward 4-qtr Estimate
🔵
242.76
242.57
243.98
January 1, 2024
Forward 4-qtr PE
🔵
21
20.6
20.16
January 1, 2024
Nominal Earnings Yield
🔴
4.77
4.85
5.19
January 1, 2024

Options

MetricUpDnThis WeekPrior WeekNet CHG% CHG
SPX Implied Volatility
🔴
11.19
11.36
-0.17
-1.5%
SPX GEX Flip
🔵
4,992.5
4,977.5
15
0.3%
SPX Skew Adjusted GEX
🔴
-3,832,654,016
-758,800,286
-3,073,853,730
-405.09%
Equity Put/Call Ratio
🔵
0.66
0.53
0.13
24.53%
VIX Put/Call Ratio
🔵
0.66
0.36
0.3
83.33%
SPX/W Put/Call Ratio
🔴
1.34
1.49
-0.15
-10.07%
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
March E-mini S&P 500 futures settled at a contract high of 5101.50 Friday, up by 3.75. Across all maturities, volume was 1,347,830, with March seeing 1,340,050 done. Total open interest increased by 10,233, or 0.43%, to end the session with 2,362,705 outstanding. The March maturity added 0.29% (10,233) to finish at 2,283,799.
icon
The Feb E4A 4125 put saw the most traded with 72,835 contracts changing hands. Options with the greatest open interest are the April EW3 5350 call with 124,343, and the Feb E4A 4125 put with 72,858.
icon
As measured by the 30-day at-the-money, implied volatility finished lower, dropping 0.55% to close at a one week low of 11.23%. Dropping by 0.0295%, historical volatility (as measured by the 30-day) finished the session at 13.02%. The volatility spread (30-day, IV-HV) closed at a one month low of -1.79%, having fell 0.5228%.
Higher TF (W → D)
Higher TF (W → D) BULLISH - The higher timeframe market structure remains squarely bullish, but trend continuation must be confirmed by the continued ascent of March value. All timeframes (quarterly, monthly, weekly, daily) remain synchronized in the upward direction towards the 5163.50 PO (+1.22%). Higher timeframe buyers remain in control > WLO of 4959.00 (-2.79%). That said, price action is trading above February and Q1 value, which if unconfirmed by forthcoming March value will increase the risk of an eventual pullback that retests the naked February VPOC 4975 → 5000 high gamma strike.
Lower TF (3H → M30)
Lower TF (3H → M30) NEUTRAL - The lower timeframe generated a reversal setup at Friday’s WHI, to be signaled on a breakdown below the weak RTH LO 5092.50. If signaled, it would merely indicate the start of a higher timeframe pullback phase, prone to become responsive at the 5070 Demand Zone. Loss of 5070 risks 5041.25 → 5050, coincidental with last week’s breakout departure gap. Conversely, the above setup is invalidated if we quickly bid back above Friday’s VAH 5110.50, which would instead indicate continuation that aligns to higher timeframe market structure.

Bull v Bear

This Week (30d ATM IV 11.23% v 30d HV 13.02%)
icon
Bulls will seek to extend WTF 1TFU and establish price acceptance above the ATH 5123.50 on a closing basis. Upside: 5163.50 (+1.22%) is within +1σ (W) 5185 (+1.64%).
icon
Bears will seek to recapture DTF 1TFD and ideally < 5070 demand on a closing basis. Downside: WVPOC.1 (naked) 5043.50 (-1.09%) is within -1σ (W) 5021.00 (-1.58%).
Last Week (5101.50 MAR24 +1.63%)
icon
Bulls will seek to extend WTF 1TFU and establish price acceptance above the absolute ATH 5066.50 on a closing basis. Upside: 5100 (+1.6%) remains within +1σ (W) 5105 (+1.70%).
icon
Bears will seek to recapture DTF 1TFD and recapture negative GEX below 4992 (-0.55%) on a closing basis. Downside: WLO 4936.50 is coincidental with -1σ (W) 4937.50 (-1.64%).

Indicators

‣
Markets
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
Current Year Performance
⚪️ Normal
🔵
6.69
5.54
20.76
10
-10
Average of All Years
⚫️ Index (N/A)
🔴
0.67
1.06
-36.79
0
0
Intermediate Term Optimism Index
🔴 Optimism
🔴
73
80
-8.75
65
35
CRB Optix
⚪️ Normal
⚪️
45
45
0
60
40
Bond Optix
🟢 Pessimism
🔵
31
22
40.91
70
40
HYG Optix
⚪️ Normal
🔵
57.63
27.86
106.86
80
20
US Dollar Optix
⚪️ Normal
🔴
46
49
-6.12
60
40
BBB - AAA Corporate Bond Spread
⚫️ Index (N/A)
🔴
0.71
0.73
-2.74
0
0
Crude Oil Optix
⚪️ Normal
🔴
45
48
-6.25
60
30
Gold Optix
⚪️ Normal
🔵
55
54
1.85
70
30
‣
Positioning
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
US Put / Call Option Volume
⚪️ Normal
🔵
0.74
0.72
2.78
0.7
1
SPY Optix
⚪️ Normal
🔵
63.66
40.14
58.59
80
20
Stock Bond Ratio
🔴 Optimism
🔴
2.14
2.38
-10.08
2
-2
GEX / Market Cap Ratio
⚪️ Normal
⚪️
0.07
0.07
0
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 13-weeks (Futures & Options)
S&P 500 E-Mini COT Trailing 13-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 13-weeks (Futures & Options)
Nasdaq E-Mini COT Trailing 13-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
Small Trader Put/Call Premium
🔴 Optimism
🔴
0.37
0.4
-7.5
0.4
0.6
Risk On/Off Index
🔴 Optimism
🔵
90.48
80.95
11.77
50
0
MOVE Index
🟢 Pessimism
🔴
108.31
109.2
-0.82
60
100
2y / 10y Yield Curve
⚫️ Index (N/A)
🔴
-44.59
-36.45
-22.33
0
0
VIX Sentiment v CSFB Fear Barometer
VIX Sentiment v CSFB Fear Barometer
Risk On/Off Indicator Rollups
Risk On/Off Indicator Rollups
MOVE Index v 2/10 Yield Curve
MOVE Index v 2/10 Yield Curve
Risk On/Off Indicator Rollups
Risk On/Off Indicator Rollups
‣
Volatility
NameExcessUpDnLastPrior% CHGXS OptimismXS PessimismInverseIndex
VIX Term Structure
⚪️  Normal
⚪️
0.9
0.9
0
0.8
1
Component Correlation
⚪️  Normal
🔴
0.4
0.41
-2.44
0.35
0.55
Gamma Exposure (x000)
⚪️  Normal
🔵
3,859,630
3,611,090
0
4,000,000
1,000,000
Credit Default Swaps
⚫️  Index (N/A)
🔴
338.63
346.69
-2.32
0
0
‣
Breadth
NameExcessUpDnLastPrior% CHG XS OptimismXS PessimismInverseIndex
SPY Breadth (% > 50d MA)
⚪️ Normal
🔵
67.99
60.64
12.12
70
30
SPY Breadth (% > 200d MA)
🔴 Optimism
🔵
76.35
70.88
7.72
70
30
NYSE TRIN
⚪️ Normal
🔵
1.18
0.8
47.5
0.5
2
NYSE Advance Decline
⚫️ Index (N/A)
🔵
697,812
697,015
0
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