Market Wrap
Narratives
Are the underlying equities exposures and vol positioning conditions capable of creating a ‘crash event’? In my view, the answer is NO. From the perspective of positioning and vol dynamics, the mechanical conditions for a disorderly equities selloff are simply not yet in place, because we simply don’t see aggressive-enough positioning / exposure despite the recent rally back within 5% of all-time highs in SPX — Charlie McElligott, Nomura
Week Ahead
Next week, in the United States, attention will be focused on several key economic indicators. These include the US jobs report, JOLTs job openings, ISM Services PMI survey, and the preliminary estimate of Michigan consumer sentiment.
Projections suggest that nonfarm payrolls likely increased by 170,000 in November, showing an acceleration from the previous month's 150,000 advance. At the same time, the jobless rate is anticipated to remain unchanged at a 22-month high of 3.9%, while wage growth is expected to slow to 4%, marking its lowest level since June 2021.
The ISM survey is expected to reveal a slight acceleration in service sector growth in November. Other important data to monitor include the ADP employment change, foreign trade, factory orders, the economic optimism index, and the final readings for both third-quarter productivity and November's S&P Global Services PMI - Trading Economics
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Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 4-qtr Estimate | 🔵 | 236.41 | 235.82 | 228.39 | January 1, 2023 |
Forward 4-qtr PE | 🔴 | 19 | 19.3 | 17.2 | January 1, 2023 |
Nominal Earnings Yield | 🔴 | 5.15 | 5.17 | 5.86 | January 1, 2023 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔵 | 10.6 | 10.16 | 0.44 | 4.33% |
SPX GEX Flip | 🔵 | 4,512.5 | 4,497.5 | 15 | 0.33% |
SPX Skew Adjusted GEX | 🔴 | -3,137,760,275 | -2,534,779,228 | -602,981,047 | -23.79% |
Equity Put/Call Ratio (CBOE) | 🔴 | 0.51 | 0.91 | -0.4 | -43.96% |
VIX Put/Call Ratio (CBOE) | 🔴 | 0.3 | 0.46 | -0.16 | -34.78% |
SPX/W Put/Call Ratio (CBOE) | 🔴 | 1.2 | 1.83 | -0.63 | -34.43% |
Futures
Dec E-mini S&P 500 futures ended the day at a one month high of 4600.75 Friday, up 24.00. Overall, 1,941,408 contracts were traded, with 1,914,151 done in Dec. Combined open interest finished the session at a one month high of 2,313,884, up by 4,052 (0.18%). Dec open interest decreased 6,968, or 0.31%, to 2,233,396.
Option volumes were largest for the Dec E1A 4725 call (12,938) and the Dec E1C 3810 put (56,225). For Dec options, the 4700 calls were the most active with 6,183 changing hands, and the highest volume put was the 4450 strike with 3,664 contracts done. Option open interest is largest for the Dec 4600 calls at 99,297, and the Dec EW3 3300 puts at 69,391.
Implied Volatility closed slightly lower with the 30-day at-the-money down by 0.0085%, to finish at 10.54%. Historical volatility (30-day) ended at 12.83%, down 0.80%, to a one month low. The 25-delta Risk Reversal was sharply up with the 30-day adding 0.48%, closing the day at a one month high of -1.91%.
Bull v Bear
This Week (30d ATM IV 10.54% v 30d RVOL 12.83%)Bulls will seek to extend upside and price acceptance > WHI on a closing basis. Upside: Q323 HI 4634.50 (0.73%) is within +1σ (W) 4670 (+1.51%). ATH 4808.25 (+4.51%) > +2σ (W) 4731 (+3.00%).Bears will seek to cause cessation of DTF 1TFU and a pullback phase. Downside: WVAL 4543 (-1.07%); WLO 4536.75 (-1.22%) are within -1σ (W) 4534 (-1.45%). GEX Flip 4520.50 (-1.74%) is just beyond.
Last Week (4600.75 DEC23 +0.71%)Bulls will seek to extend upside and price acceptance > WHI on a closing basis. Upside: 4600 (+0.70%) and YTD HI 4634.50 are within +1σ (W) 4636 (+1.48%).Bears will seek to cause cessation of DTF 1TFU on a closing basis. Downside: WLO 4520 (-1.06%) and GEX Flip 4506.50 arewithin-1σ (W) 4502.50 (-1.44%).
Indicators
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