Market Wrap
Narratives
Even if markets rebound from current levels in the short term, high uncertainty and lowered confidence levels are likely to mean an ongoing ‘Fat & Flat’ market given that valuations do not look particularly attractive. In this regard, we see two potential problems. The first is that the US equity market, long a significant outperformer, remains expensive relative to history and relative to real rates. Despite cheaper valuations outside of the US — a key factor in recent outperformance — other markets are unlikely to de-couple in any US-led correction. Even on longer-term comparisons, which can be a useful barometer at points such as this, the US equity market continues to look stretched, after years of low rates and strong technology sector returns — Peter Oppenheimer, Goldman Sachs
Week Ahead
In the US, all attention will be on the Federal Reserve's latest monetary decision following recent turmoil in the banking sector, which has added another level of uncertainty. Policymakers are expected to raise the interest rate by 25 basis points to 5% in an effort to cool the economy and bring down elevated inflation, despite the recent turmoil in the banking sector. Investors will also look for updated economic projections and dot plot estimates to get a sense of the Fed's insight into the terminal level, inflation, economic growth, and unemployment outlooks. Additionally, the Commerce Department will release February durable goods orders and new home sales figures. Meanwhile, S&P Global will publish March purchasing manager surveys measuring US manufacturing and services sector activities. Finally, the National Association of Realtors will report on sales of previously owned US homes in February - TradingEconomics
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Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
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Forward 12-mo Estimate | 🔴 | 221.49 | 221.55 | 230.43 | September 30, 2022 |
Forward 12-mo PE | 🔵 | 17.7 | 17.4 | 15.5 | September 30, 2022 |
Nominal Earnings Yield | 🔴 | 5.66 | 5.77 | 6.43 | September 30, 2022 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | ⚪️ | 22.23 | 22.19 | 0.04 | 0.18% |
SPX GEX Flip | ⚪️ | 3,997.5 | 3,997.5 | 0 | 0% |
SPX Skew Adjusted GEX | 🔵 | -11,571,252,881 | -15,355,140,939 | 3,783,888,058 | 24.64% |
Total Put/Call Ratio (CBOE) | 🔴 | 0.98 | 1.23 | -0.25 | -20.33% |
Equity Put/Call Ratio (CBOE) | 🔵 | 1.18 | 1.11 | 0.07 | 6.3% |
VIX Put/Call Ratio (CBOE) | 🔵 | 0.55 | 0.42 | 0.13 | 30.95% |
Futures
June E-mini S&P 500 futures settled at 3947 Friday, off by 47.50 (1.19%). Overall, 2,264,500 contracts changed hands, with 2,224,268 traded in June. Combined open interest increased 35,495, or 1.40%, to end the session with 2,565,014 outstanding. The June maturity gained 2.33% (35,495) to finish at 2,091,141.
The March E3B 3250 put saw the most action with 16,000 contracts done. For April options, the 4030 calls had the high volume with 1,817 changing hands, and the most actively traded put was the 3550 strike with 3,779 contracts traded. Options with the largest open interest are the June EW3 100 call with 24,594, and the April EW 3400 put with 25,073.
Implied Volatility closed the day sharply higher with the 30-day at-the-money adding 2.18%, to finish at 22.11%. Historical volatility (30-day) closed the day at 17.38%, higher by 0.0728%, to a one week high.
Bull v Bear
This Week (30d ATM 22.11% v21.56% p)Bulls will seek to establish acceptance above the weak WHI 4009.25 (+1.58%). Upside: Recapture 50d MA 4017.00 (+1.77%); FEB AWVAP 4031.25 (+2.13%). MAR HI 4082.50 (+3.43%) and 4100 (+3.88%) are marginally above +1σ (W) 4068 +3.08%.Bears will seek to recapture the 200d MA and offer below the poor PLO 3932.50 (-0.37%). Downside: WVAL 3895.25 (-1.31%); 2023 VAL 3868.25 (-2%); WLO 3839.25 (-2.73%); are within -1σ (W) 3833.00 -2.89%. YTD LO 3814.50 (-3.36%) is within -2σ (W) 3720 -5.75%.
Last Week (3947.00 JUN23 +1.27%)Bulls will seek to re-establish acceptance back into the prior week range > WLO.1 3925.00 (+0.71%). Upside: Recapture 200d MA 3948.00 (+1.3%); OCT HI 3955.75 (+1.49%); WVPOC 3989.75 (+2.37%); 4000 (+2.63%) are within +1σ (W) 4016 +3.04%.Bears will seek to extend the downside and establish price acceptance < WLO 3881 (-0.42%). Downside: < 20% Correction Level 3847.00 (-1.3%); OCT Breakout 3820 (-1.99%); YTD LO 3814.50 (-2.13%); DEC LO 3788.50 (-2.8%) are within -1σ (W) 3786.00 -2.80%.
Indicators
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