Market Wrap
Narratives
The first quarter was eventful, that much goes without saying. Moreover, the fresh round of stresses in the system have served as a reminder that the full weight of the global tightening executed in 2022 has yet to flow through to the real economy. In light of the presumed six to nine month lagged impact of policy moves, the second quarter represents the beginning of the window during which investors will assess the fallout from hikes with a nod to the September 2022 move above neutral as the beginning of the countdown to impact. We'll argue that the regional banking turmoil was yet another unforeseen consequence of Powell's hurried hiking campaign. We doubt it will be the last — Ian Lyngen and Ben Jeffery, BMO
Week Ahead
The upcoming week in the US will be full of releases, including the Labor Department's March jobs report, which will offer clues on the Federal Reserve's rate-hike path. It's likely that the US economy added 240k jobs, which is fewer than the 311K added in February, with unemployment remaining at 3.6%. Average hourly earnings probably increased 0.3% month-over-month, which is an acceleration from the prior 0.2% rise. Additionally, the Labor Department will release February data on job openings, quits, hires, and layoffs. Meanwhile, the Institute for Supply Management will publish March surveys of purchasing managers, measuring economic activity in the US manufacturing and services sectors. Economists expect this data to indicate further contraction in factory activity and a softer expansion in the services sector. Market participants will also closely monitor the Commerce Department's trade balance report - TradingEconomics
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Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 12-mo Estimate | 🔴 | 220.49 | 221.34 | 230.43 | September 30, 2022 |
Forward 12-mo PE | 🔵 | 18.6 | 17.9 | 15.5 | September 30, 2022 |
Nominal Earnings Yield | 🔴 | 5.37 | 5.57 | 6.43 | September 30, 2022 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔴 | 16.4 | 18.98 | -2.58 | -13.59% |
SPX GEX Flip | ⚪️ | 4,047.5 | 3,997.5 | 50 | 1.25% |
SPX Skew Adjusted GEX | 🔵 | 4,801,501,191 | -6,091,924,330 | 10,893,425,521 | 178.82% |
Total Put/Call Ratio (CBOE) | 🔴 | 1.04 | 1.1 | -0.06 | -5.45% |
Equity Put/Call Ratio (CBOE) | 🔴 | 0.59 | 0.73 | -0.14 | -19.18% |
VIX Put/Call Ratio (CBOE) | ⚪️ | 0.49 | 0.5 | -0.01 | -2% |
Futures
June E-mini S&P 500 futures closed the day at a one month high of 4137.75 Friday, up by 57.75 (1.42%). Across all maturities, 1,697,308 contracts were traded, with 1,695,840 done in the June maturity. Overall open interest added 34,310, or 1.57%, to 2,222,259. June rose 34,146 (1.57%), finishing at 2,210,160.
Option volumes were highest for the April E1A 4200 call (8,604) and the April E1B 3400 put (41,739). For April options, the 4200 calls were the most actively traded with 2,225 done, and the high volume put was the 3900 strike with 12,196 contracts changing hands. Options with the most open interest are the June EW3 100 call with 25,095, and the April E1B 3400 put with 41,768.
E-mini S&P 500 implied volatility ended the day moderately down as the 30-day at-the-money decreased 0.36% to finish at 16.19%, a one month low. Historical volatility (30-day) ended the session at 18.16%, higher by 0.46%, to a one month high. As it fell by 0.83% to a one month low, the spread between the 30-day constant maturity implied and the 30-day historical volatilities closed at -1.97%.
Bull v Bear
This Week (30d ATM 16.19% v19.22% p)Bulls will seek to extend 1TFU and maintain price acceptance > Friday’s POC 4117 (-0.49%). Upside: 2022 Midpoint 4155.25 (+0.42%); Q322 PB HI 4175 (+0.9%); 4200 (+1.5%); YTD HI 4208.50 (+1.71%) are within within +1σ (W) 4230.75 (+2.25%).Bears will seek to contain momentum within ≤ Q1 HI 4208.50 (+1.71%) and ideally begin with cessation of DTF 1TFU < 4088.50 (-1.19%). Downside: WPOC 4080 (-1.4%); 50d MA 4050 (-2.12%) are within -1σ (W) 4049 (-2.14%).
Last Week (4137.75 JUN23 +3.41%)Bulls will seek to maintain bid momentum and ideally establish price acceptance above the 50d MA 4026 (+0.62%). Upside: WHI 4073.75 (+1.81%); MAR HI 4082.50 (+2.03%) and 4100 (+2.47%) are within +1σ (W) 4105.75 (+2.61%).Bears will seek to absorb and ideally recapture the WVWAP 3978.00 (-0.58%). Downside: Recapture < OCT HI 3955.75 (-1.14%); 200d MA 3942.00 (-1.48%); YTD VAL 3909.00 (-1.36%) are within -1σ (W) 3902 (-2.48%).
Indicators
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