Week of Mar 31 2024

Market Wrap

Weekly Benchmarks - @Koyfin

Weekly Factors vs. S&P 500 - @Koyfin

Weekly Performance - @Koyfin

Narratives

The US Treasury has aggressively shifted refunding toward <1-year T-Bills, lowering the maturity of debt and increasing the sensitivity to short rates. That, in turn, incentivizes the Fed to cut rates. If rates are unchanged and the trend in yields and debt holds over the next 12 months, America’s annual interest bill rises from $1.1 trillion to $1.6 trillion, whereas if the Fed were to cut by 150bps, the situation would stabillize. Call it Interest Cost Control, or what you want, the Fed must placate fiscal excess over the coming quarters — Michael Hartnett, BofA

Manufacturing activity needs to rebound and catch up to the resilient services sector, and also that global activity needs to catch up to the US, but cyclicals haven’t seen upward revisions. Cyclical assets have preemptively priced a rebound but earnings revisions are moving the wrong way - Goldman Sachs

Our preferred measure of earnings momentum, the share of analyst EPS changes that are upgrades measured using a six-month moving average to smooth out the noise, is fading; not the stuff economic recoveries are made of. Is this profits backdrop really consistent with the S&P rising by one third in a year? - SocGen

More debt needs to roll at these levels for further monetary policy transmission, and this is already happening given a busy corporate issuance calendar so far, but it is a slow and steady process rather than a big risk-off event. Even with heavy supply, overall corporate borrowing costs will not reset higher at once - SocGen

Week Ahead

In the United States, investors are keenly awaiting the US jobs report and the ISM PMI surveys for both the services and manufacturing sectors. Projections indicate that non-farm payrolls rose by 198 thousand in March, a significant drop from the 275 thousand jobs added in February. The unemployment rate is predicted to stay at 3.9%, its highest since January 2022, while monthly wage growth is expected to rise to 0.3%, up from the prior period's 0.1%. The ISM reports for March are expected to show the manufacturing sector in contraction for the 17th consecutive period, while the service sector's growth remains relatively stable. Investors will also pay close attention to comments from several Fed officials, including a speech by Fed Chair Powell at the 2024 Business, Government & Society Forum at Stanford Graduate School of Business. Other releases include the JOLTs job openings, ADP employment change, factory orders, foreign trade data, and the final readings of S&P Global PMI figures. (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	🔵	242.94	242.89	243.98	January 1, 2024
Forward 4-qtr PE	🔵	21.6	21.5	20.16	January 1, 2024
Nominal Earnings Yield	🔴	4.62	4.64	5.19	January 1, 2024

Options

Metric	UpDn	This Week	Prior Week	Net CHG	% CHG
SPX Implied Volatility	🔴	10.47	10.58	-0.11	-1.04%
SPX GEX Flip	🔵	5,197.5	5,177.5	20	0.39%
SPX Skew Adjusted GEX	🔵	-1,630,502,938	-2,152,952,640	522,499,702	24.27%
Equity Put/Call Ratio	🔴	0.56	0.65	-0.09	-13.84%
VIX Put/Call Ratio	🔴	0.27	0.69	-0.42	-60.87%
SPX/W Put/Call Ratio	🔴	1.39	1.54	-0.15	-9.74%

Skew-Adjusted Gamma by Strike - @tradevolatility

Skew-Adjusted GEX Trend - @tradevolatility

Implied Volatility Trend - @tradevolatility

Put/Call OI Trend - @tradevolatility

Futures

June E-mini S&P 500 futures ended the session at a contract high of 5308.50 Thursday, adding 0.25. Across all maturities, volume was a light 1,319,310, with June seeing 1,317,836 done. Overall open interest fell 24,592 (1.14%), with June down by 25,117, or 1.18%, to 2,105,520.

Option volumes were highest for the April EW2 5400 call (9,268) and the April E1B 4400 put (81,503). Highest volumes in April option trading were seen in the 5350 calls (1,977) and the 4950 puts (4,164). Options with the highest open interest are the May EW3 5400 call with 53,536, and the April E1B 4400 put with 81,652.

E-mini S&P 500 implied volatility ended the session slightly up as the 30-day at-the-money rose by 0.0828% to finish the day at 10.44%. The 30-day historical volatility ended dropping 1.00% to a one month low of 10.41%. The 30-day volatility spread (IV-HV) rose 1.08% to close the day at a one month high of 0.02%.

Higher TF (W → D) BULLISH - Higher timeframe trend structure remains squarely bullish with Q124 having confirmed a multi-year breakout above TR 3502 → 4808.25 (37.3%). Quarterly, monthly, and weekly profiles remain synchronized in the upward direction, with ascending value and expanding breadth. The dip was once again bought on the day timeframe midway into repairing the (W12) 5244.75 → 5293.50 Fair Value Gap. The remainder of this gap now functions as a higher timeframe pivot: buyers remain in control above 5244.75 (-1.2%), marginally above the naked March VPOC.

Lower TF (3H → M30) BULLISH - EOQ/M price action turned notably bid late Wednesday, with a clean break of structure above 5294.50 and constructive HH 5313.75 (orange circled) before consolidating into the close of the limited-range inside week structure. DTF 1TFU has been reclaimed at the margin, and bids premium above the 5294.75 midpoint with an incomplete auction to the upside. That said, we will carry forward Thursday’s poor 5270.75 low, coincidental with -1σ (D) 5273.00 (-0.67%). The GEX regime remains positive above 5255 (-1.01%), which continues to subdue daily volatility.

Bull v Bear

This Week (30d ATM IV 10.44% v 30d HV 10.41%)
Bulls will seek to extend WTF 1TFU > 5322.75 (+0.27%) on a closing basis. Upside: 5400 and 150% HTF PO 5461.50 (+2.88%) is above +1σ (W) 5390.00 (+1.72%).
Bears will seek to recapture DTF 1TFD and ideally offer < 5292.25 on a closing basis. Downside: < FVG LO 5244.75 is within within -1σ (W) 5229.00 (-1.50%).

Last Week (5308.50 JUN24 +0.29%)
Bulls will seek to recapture DTF 1TFU on a closing basis and ideally establish acceptance above WHI 5322.75 (+0.56%). Upside: +1σ (W) 5375.00 (+1.54%); 5461.50 PO
Bears will seek to extend DTF 1TFD and ideally offer < FVG LO 5244.75 (-0.92%). Downside: < 5200 (-1.76%) and WLO 5181.75 (-2.11%) are beyond -1σ (W) 5213.50 (-1.51%).

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