Week of Mar 10 2024

Market Wrap

Weekly Benchmarks - @Koyfin

Weekly Factors vs. S&P 500 - @Koyfin

Weekly Performance - @Koyfin

Narratives

The biggest irony of them all, perhaps, is the distinct possibility that high rates on money market funds are actually emboldening risk-taking across other assets, not to mention consumption. Americans with meaningful savings parked in MMFs are raking it in, and the psychological effect of that’s surely amplified by the fact that it’s been so long (decades) since risk-free cash produced an income stream. In that sense, the Fed’s paying well-to-do Americans to spend and speculate — Michael Hartnett, Bank of America

Market cap concentration is higher than 2000 and 1973; and the top 10s valuation premium to the rest of the market is 70%ile on a 40-year lookback. But multiples are lower versus 2000 and the heavyweights boast better margins and ROE compared to the top stocks in 1973 or during the dot-com boom - Goldman Sachs

A combination of a Bull & Bear Indicator above 8, and 10-year reals above 2.5%, and a trailing multiple in excess of 25, could be a run for the hills moment; but stretched as we are, history shows it can go further. 2024 cynical bulls are determined to stay long until the day before the Fed cuts - Bank of America

The 7-week cumulative inflows impulse is the strongest in two years, but this clearly isn’t 2021 in terms of equity fund flows. Moreover, US money funds took in $19 billion on the way to a new AUM record of $6.1 trillion - and all of it getting 5% in interest - perhaps this is bolstering speculative confidence? - Bank of America

Week Ahead

The upcoming week in the US is dominated by the eagerly anticipated February CPI report, along with retail trade data, industrial production figures, and the preliminary Michigan consumer sentiment reading for March. It is expected that headline inflation will remain steady at 3.1% in February, while the core rate could drop to 3.7%, marking its lowest point since April 2021. On a monthly basis, both the headline and core rates are projected to increase by 0.4% and 0.3% respectively. Retail sales are forecast to climb by 0.5%, partially offsetting a 0.8% decrease in January, while industrial activity is predicted to remain stable following a 0.1% contraction. Furthermore, the March Michigan consumer sentiment is anticipated to match February's figure of 76.9, just below January's two-and-a-half-year peak of 79. Attention will also be focused on data for producer and foreign trade prices, business inventories, the government's monthly budget statement, and the NY Empire State Manufacturing Index. (Source: Trading Economics)

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Calendar (UTC-4)

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Macro Dashboard

Earnings

Metric	UpDn	This Week	Prior Week	Baseline	Baseline TF
Forward 4-qtr Estimate	🔵	243.29	243.23	243.98	January 1, 2024
Forward 4-qtr PE	⚪️	21	21	20.16	January 1, 2024
Nominal Earnings Yield	🔴	4.72	4.73	5.19	January 1, 2024

Options

Metric	UpDn	This Week	Prior Week	Net CHG	% CHG
SPX Implied Volatility	🔵	12.14	10.77	-0.42	-3.75%
SPX GEX Flip	🔵	5,123.7	5,047.5	55	1.1%
SPX Skew Adjusted GEX	🔵	-1,212,983,924	-4,901,667,273	-1,069,013,257	-27.89%
Equity Put/Call Ratio	🔴	0.56	0.6	-0.04	-6.67%
VIX Put/Call Ratio	🔵	0.48	0.38	0.1	26.32%
SPX/W Put/Call Ratio	🔵	1.4	1.32	0.08	6.06%

Skew-Adjusted Gamma by Strike - @tradevolatility

Skew-Adjusted GEX Trend - @tradevolatility

Implied Volatility Trend - @tradevolatility

Put/Call OI Trend - @tradevolatility

Futures

E-mini S&P 500 futures were lower Friday with the March contract finishing the session at 5129.00, down 32.75. Combined volume came in at a one month high of 4,056,188, with the March contract seeing a heavy 2,786,680 traded. Across all maturities, open interest closed the day at a one month high of 2,439,289, higher by 47,900 (2.00%). March open interest fell by 363,516, or 17.24%, to 1,745,625.

Option volumes were greatest for the March 5200 call (6,361) and the March E2B 4225 put (53,000). Option open interest is highest for the April EW3 5350 calls at 113,450, and the March E2B 4225 puts at 53,361.

Implied Volatility closed slightly up with the 30-day at-the-money adding 0.0467%, to finish at a one week high of 12.08%. Higher by 0.18% to a one month high, historical volatility (as measured by the 30-day) closed at 13.51%.

Higher TF (W → D) BULLISH - The higher timeframe market structure remains squarely bullish, and trend continuation has been confirmed into the first week of March with continued ascent of value. All timeframes (quarterly, monthly, weekly, daily) remain synchronized in the upward direction. Last week’s continuous contract roll to ESM24, June front-month, has created a +63.5 Px gap highlighted on the above non back-adjusted higher timeframe charts. Initiative buyers remain in control above ESM24 WLO 5126.50 (-1.27%).

Lower TF (3H → M30) NEUTRAL - Friday featured a bearish divergence that qualified a breakout failure on the WLO.1 5123.00 → 5220.75 (back-adjusted) trading range. The weak position of close increases the odds of downside continuation, in which case MID 5172 → LL 5149.50 (coincidental with recapturing a negative GEX regime) will be closely observed for responsiveness. We are carrying forward the weak WLO 5126.50, a loss of which would signal risk of retracing deeper into the multi-week VA → 5047.25 (-2.92%).

Bull v Bear

This Week (30d ATM IV 12.08% v 30d HV 13.51%)
Bulls will seek to defend 5172 and ideally recapture 5220.75 on a closing basis. Upside: WHI 5257.75 (+1.25%) is within +1σ (W) 5282.00 (+1.72%).
Bears will seek to recapture DTF 1TFD and ideally < Swing MID 5172 on a closing basis. Downside: WLO.1 5123.00 (-1.34%) is within -1σ (W) 5105.50 (-1.68%).

Last Week (5129.00 MAR24 -0.33%)
Bulls will seek to extend WTF 1TFU and maintain price acceptance above the prior ATH 5123.50. Upside: 5163.50 (+0.34%) and 5200 are within +1σ (W) 5226.00 (+1.55%).
~~Bears will seek to recapture DTF 1TFD and ideally < Swing MID 5091.75 on a closing basis. Downside: WVAL 5073.00 (-1.42%). WLO 5060 is just~~ ~~beyond~~ ~~-1σ (W) 5068.00 (-1.52%).~~

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