Market Wrap
Narratives
PNL protection from traders looking to manage their year performance and monetize rare winning trades in the macro space certainly contributed to the substantial reversal / everything move, with shorts and steepeners getting unwound and/or stopped-out. Whether this rally can sustain comes down to whether or not traders have the PNL to get constructive and still take some shots into a calendar that is closing fast and/or similarly, whether leveraged funds / macro have the PNL to look to fade an overshoot in the trade and play for a range-y resumption of a selloff or re-steepening in the weeks ahead — Charlie McElligott, Nomura
Week Ahead
Next week, investors will eagerly await the release of updated earnings results from key companies, including Berkshire Hathaway, Activision Blizzard, Viatris, Gilead Sciences, Lucid Group, Uber, Twilio, Unity Software, The Walt Disney Co, Take-Two Interactive Software, AMC Entertainment, Fiverr International, and Illumina.
Additionally, remarks from US policymakers, including Fed Chair Powell, will take center stage as investors seek insights into the future direction of monetary policy. Meanwhile, the economic calendar is relatively light, with preliminary estimate of Michigan consumer sentiment for November, foreign trade figures, IBD/TIPP economic optimism index, and the weekly jobless claims report. US consumer sentiment is expected to remain at October's five-month low, while the trade deficit likely widened to $60.2 billion in September from $58.3 billion in August - Trading Economics
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Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 4-qtr Estimate | 🔴 | 237.2 | 238.46 | 228.39 | January 1, 2023 |
Forward 4-qtr PE | 🔵 | 18.4 | 18 | 17.2 | January 1, 2023 |
Nominal Earnings Yield | 🔴 | 5.43 | 5.79 | 5.86 | January 1, 2023 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔴 | 13.38 | 18.3 | -4.92 | -26.890000000000004% |
SPX GEX Flip | ⚪️ | 4,287.5 | 4,287.5 | 0 | 0% |
SPX Skew Adjusted GEX | 🔵 | 929,485,519 | -14,135,235,069 | 15,064,720,588 | 106.58% |
Equity Put/Call Ratio (CBOE) | 🔴 | 0.54 | 0.82 | -0.28 | -34.15% |
VIX Put/Call Ratio (CBOE) | 🔵 | 0.74 | 0.53 | 0.21 | 39.62% |
SPX/W Put/Call Ratio (CBOE) | 🔴 | 1.43 | 1.55 | -0.12 | -7.74% |
Futures
For the fifth consecutive session, E-mini S&P 500 futures closed higher, with the Dec contract settling Friday at 4376.00, up by 40.25. Overall volume was 1,808,861, with the Dec maturity seeing 1,803,552 traded. Total open interest increased by 3,900, or 0.18%, to end the session with 2,166,779 outstanding. The Dec maturity added 0.12% (3,900) to finish at 2,128,856.
Option volumes were greatest for the Nov E1A 4520 call (20,381) and the Nov E1A 4300 put (25,036). For Dec options, the 4600 calls were the most actively traded with 9,633 done, and the high volume put was the 4000 strike with 5,778 contracts changing hands. Options with the greatest open interest are the Dec 4500 call with 27,482, and the Dec EW3 3350 put with 69,297.
E-mini S&P 500 implied volatility finished moderately down as the 30-day at-the-money fell by 0.78% to close the day at 12.48%, a one month low. Historical volatility (30-day) finished the day at 14.96%, adding 0.21%, to a one month high. The volatility spread (30-day, IV-HV) finished at a one month low of -2.48%, having dropped 1.00%.
Bull v Bear
This Week (30d ATM IV 12.48% v 30d RVOL 14.96%)Bulls will seek to extend upside > WHI on a closing basis. Upside: LH 4430.50 gap closure is within +1σ (W) 4436.5 (+1.78%). 4500 and JHEQX NOV short call (+2.63%).Bears will seek to cause cessation of DTF 1TFU. Downside: Negative GEX < 4325.00 is within -1σ (W) 4301 (-1.71%). 200d MA 4274.00 (-2.33%); WVPOC.1 4264 (-2.55%).
Last Week (4376.00 DEC23 +5.02%)Bulls will seek to recapture WVAL 4178.25 (+0.98%) on a closing basis. Upside: LL 4213.25 (+1.82%) is within +1σ (W) 4243 (+2.54%). 200d MA 4274 (+3.29%); WHI 4290.50 (+3.69%).Bears will seek to extend downside continuation and cause BOS < HL 4114 (-0.57%) on a closing basis. Downside: May LO 4062.25 (-1.82%) iswithin-1σ (W) 4037 (-2.43%); 4000 (-3.33%).
Indicators
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