Market Wrap
Narratives
It’s been 15 years now since the price of money was market-determined. During that period, things were built that otherwise wouldn’t have been built; investments made that otherwise wouldn’t have been made; and risks borne that otherwise wouldn’t have been accepted — Howard Marks, Oaktree Capital Management
Week Ahead
In the United States, the most important release will be the October CPI. Consumer prices are seen rising 0.1% from September, which would mark the lowest reading in four months, largely due to a fall in gasoline prices. Excluding fuel and energy however, core CPI likely rose 0.3%, the same as in September, leaving the annual rate steady at 4.1%.
Meanwhile, retail sales are seen falling 0.1%, which would mark the first decrease in seven months. Other important indicators to follow include producer prices, industrial production, the Philadelphia Fed Manufacturing Index, the NAHB Housing Market Index, building permits and housing starts.
Simultaneously, the earnings season continues with Home Depot, Cisco, Target, Walmart and Applied Materials among the companies due to report quarterly results - Trading Economics
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Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
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Forward 4-qtr Estimate | 🔴 | 236.29 | 237.2 | 228.39 | January 1, 2023 |
Forward 4-qtr PE | 🔵 | 18.7 | 18.4 | 17.2 | January 1, 2023 |
Nominal Earnings Yield | 🔴 | 5.35 | 5.43 | 5.86 | January 1, 2023 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔴 | 11.79 | 13.38 | -1.59 | -11.88% |
SPX GEX Flip | 🔵 | 4,362.5 | 4,287.5 | 75 | 1.75% |
SPX Skew Adjusted GEX | 🔵 | 2,569,756,156 | 929,485,519 | 1,640,270,637 | 176.47% |
Equity Put/Call Ratio (CBOE) | 🔵 | 1.03 | 0.54 | 0.49 | 90.74% |
VIX Put/Call Ratio (CBOE) | 🔵 | 0.93 | 0.74 | 0.19 | 25.68% |
SPX/W Put/Call Ratio (CBOE) | 🔴 | 1.24 | 1.43 | -0.19 | -13.29% |
Futures
Dec E-mini S&P 500 futures finished the day at a one month high of 4430.50 Friday, up by 68.25 (1.56%). Overall the session saw 1,757,340 contracts done, with Dec volume coming in at 1,752,002. Across all maturities, open interest finished the day at a one month high of 2,208,093, adding 11,227 (0.51%). Dec open interest rose by 11,407, or 0.53%, to 2,167,147.
Option volumes were greatest for the Nov E2A 4415 call (10,857) and the Nov E2B 3700 put (46,062). Highest volumes in Dec option trading were seen in the 4600 calls (4,756) and the 4100 puts (6,207). Calls with the most open interest are the Dec 4600 strike (103,722), and for the puts are the Dec EW3 3350 strike (69,279).
Implied Volatility ended the session sharply down with the 30-day at-the-money off by 1.40%, to close the day at a one month low of 11.60%. Higher by 0.68% to a one month high, historical volatility (as measured by the 30-day) ended at 15.11%. The volatility spread (30-day, IV-HV) closed the day at a one month low of -3.51%, having shed 2.08%.
Bull v Bear
This Week (30d ATM IV 11.60% v 30d RVOL 15.11%)Bulls will seek to extend upside > WHI and confirm a BOS > 4430.50 on a closing basis. Upside: 4443.50 gap closure and 4500 is within+1σ (W) 4505 (+1.69%).Bears will seek to cause cessation of DTF 1TFU. Downside: Negative GEX < 4381.50 and recapturing the 50d MA is within -1σ (W) 4342 (-1.64%).
Last Week (4430.50 DEC23 +2.38%)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 iswithin-1σ (W) 4301 (-1.71%). 200d MA 4274.00 (-2.33%); WVPOC.1 4264 (-2.55%).
Indicators
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