Market Wrap
Narratives
Investors who think stocks are attractive at current prices need to assume the Next Twelve Months (NTM) earnings cuts are done and will start to rise again in the next few months. This is the key debate in the market and our take is that while the economic data appears to have stabilized and even turned up again in certain areas, the negative operating leverage cycle is alive and well and will overwhelm any economic scenario (soft, hard or no landing) over the next six months — Mike Wilson, Morgan Stanley
Week Ahead
Investors will have a lot of news to digest in the upcoming week, including the Labor Department's February jobs report and Fed Chair Jerome Powell's testimony before Congress. The world's largest economy likely added 200,000 jobs last month, which is below the 517,000 jobs added in January, while unemployment remained at an over-50-year low of 3.4%. The average hourly earnings growth is expected to have accelerated to 4.8%, which compounds concerns over ongoing inflationary pressure. In addition to the February jobs report, the Labor Department will also release January data on job openings. Meanwhile, the ADP employment survey is expected to show a private payroll growth of 185,000 jobs during February. Market participants will also closely monitor the Commerce Department's trade balance report. Finally, investors will be paying close attention to Fed speeches, especially that of Chair Jerome Powell, for further insights into the central bank's tightening plan - TradingEconomics
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Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
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Forward 12-mo Estimate | 🔴 | 221.44 | 221.71 | 230.43 | September 30, 2022 |
Forward 12-mo PE | 🔵 | 18.2 | 17.9 | 15.5 | September 30, 2022 |
Nominal Earnings Yield | 🔴 | 5.47 | 5.58 | 6.43 | September 30, 2022 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔴 | 17.23 | 19.92 | -2.69 | -13.5% |
SPX GEX Flip | ⚪️ | 4,032.5 | 4,042.5 | -10 | -0.25% |
SPX Skew Adjusted GEX | 🔵 | 1,161,315,943 | -8,251,187,925 | 9,412,503,868 | 114.08% |
Total Put/Call Ratio (CBOE) | 🔴 | 0.91 | 1.11 | -0.02 | -18.02% |
Equity Put/Call Ratio (CBOE) | 🔴 | 0.59 | 0.82 | -0.23 | -28.05% |
VIX Put/Call Ratio (CBOE) | 🔴 | 0.25 | 0.35 | -0.1 | -28.57% |
Futures
E-mini S&P 500 futures were higher Friday with the March contract finishing the session at a one week high of 4049.75, up 65.00, or 1.63%. Overall, 1,695,622 contracts changed hands, with 1,665,102 traded in March. Total open interest ended the session at a one month high of 2,139,628, up by 11,200 (0.53%). March open interest decreased 2,849, or 0.14%, to 2,076,023.
The March E1B 3450 put saw the most action with 52,018 contracts changing hands. Highest volumes in March option trading were seen in the 4100 calls (6,421) and the 3800 puts (8,243). Option open interest is largest for the March EW3 2100 calls at 34,244, and the March EW2 3800 puts at 53,075.
As measured by the 30-day at-the-money, implied volatility closed the day moderately down, dropping by 1.44% to finish the session at 17.02%. Down by 0.21%, historical volatility (as measured by the 30-day) ended at 16.00%.
Bull v Bear
This Week (30d ATM 17.02% v 16.69% p)Bulls will seek to re-establish weekly 1TFU > 4053 and ideally recapture the monthly AVWAP 4070.25 (+0.51%) on a closing basis. Upside: GAP Close 4095.00 (+1.12%); JAN HI 4109.75(+1.48%); Q1 VAH 4123.50 (+1.82%) are within +1σ (W) 4139 +2.20%.Bears will seek to defend the ITF Supply Line immediately overhead at ~4070, and ideally retarget Friday’s poor LO and gap < 3998 (-1.28%). Downside: 50d MA 3996 (-1.33%); WTF AVWAP 3994.25 (-1.37%); prior WVAL 3977.50 (-1.78%) are within -1σ (W) 3964 -2.12%.
Last Week (4049.75 MAR23 +1.86%)Bulls will seek to restore daily 1TFU > 3984 and ideally recapture > 4000 (+0.61%) on a closing basis. Upside: WPOC 4014.50 (+0.98%); WVAH 4035.25 (+1.50%); Ice Line 4056.75 (+2.04%) are within +1σ (W) +2.60%. WTF 1FTD ending price is +2.85% and 4100 (+3.13%) are further above.Bears will seek to maintain price acceptance < 4005 and ideally WVAL 3977.50 on a closing basis. Downside: 200d MA & WLO 3947.50 (-0.71%); 3900 (-1.91%) are within -1σ (W) 3993 -2.39%. The 20% Correction Level 3847.00 (-3.24%) and JAN LO 3814.50 (-4.06%) are further below.
Indicators
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