Market Wrap
Narratives
In equities, absent preemptive Fed easing - versus Fed dots that imply two more hikes by year-end - we expect a more challenging macro backdrop for stocks in the second half, with softening consumer trends at a time when equities have re-rated sharply. The risk of another unknown unknown resurfacing appears high — Marko Kolanovic, JPMorgan
Week Ahead
In the United States, the personal income and outlays report is expected to show a slowdown in consumer spending growth to 0.2%, while income grew steadily at 0.4%. Meanwhile, the PCE price index, which serves as the Federal Reserve's preferred inflation measure, is likely to show a slight easing of price pressures in May. Additionally, durable goods orders are anticipated to decline for the first time in 3 months in May.
Several other key data points warrant attention, including new and pending home sales, S&P/Case-Shiller home prices, Chicago PMI, Dallas Fed Manufacturing Index, advance estimates of the goods trade balance and wholesale inventories, and the final readings of first-quarter GDP and June's Michigan consumer sentiment. Investors will also closely monitor the release of the Federal Reserve's stress test results on Wednesday to gauge banks' resilience - TradingEconomics
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Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 4-qtr Estimate | 🔴 | 224.33 | 225.06 | 228.39 | January 1, 2023 |
Forward 4-qtr PE | 🔴 | 19.4 | 19.6 | 17.2 | January 1, 2023 |
Nominal Earnings Yield | 🔵 | 5.16 | 5.1 | 5.86 | January 1, 2023 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔴 | 10.97 | 11.28 | -0.31 | -2.75% |
SPX GEX Flip | 🔵 | 4,317.5 | 4,292.5 | 25 | 0.58% |
SPX Skew Adjusted GEX | 🔴 | 5,530,295,773 | 5,664,564,062 | -134,268,289 | -2.37% |
Equity Put/Call Ratio (CBOE) | 🔵 | 0.64 | 0.46 | 0.18 | 39.13% |
VIX Put/Call Ratio (CBOE) | 🔴 | 0.19 | 0.68 | -0.49 | -72.06% |
SPX/W Put/Call Ratio (CBOE) | 🔴 | 1.34 | 1.45 | -0.11 | -7.59% |
Futures
Sep E-mini S&P 500 futures closed at a one week low of 4389.00 Friday, off 34.75. Across all maturities, a light 1,385,425 contracts were traded, with 1,455,059 done in the Sep maturity.
Option trading centered around the June E4A 100 calls with 26,000 changing hands and the June E4B 3730 puts with volume of 28,000. Largest volumes in June option trading were seen in the 4450 calls (5,667) and the 4300 puts (9,556).
As measured by the 30-day at-the-money, implied volatility finished slightly higher, up by 0.0869% to end at 10.68%. The 30-day historical volatility closed the day higher by 0.31% to a one week high of 11.85%.
Bull v Bear
This Week (30d ATM IV 10.68% v 30d RVOL 11.85%)Bulls will seek to recapture and maintain DTF 1TFU > 4427 on a closing basis. Upside: > 4485.50 Supply Zone (+2.2%) is marginally above the +1σ (W) 4459 (+1.59%).Bears will seek to increase momentum < WLO 4381.50 on a closing basis. Downside: 4330 HVN (-1.34%) is within the -1σ (W) expected range 4321 (-1.55%).
Last Week (4389.00 SEP23 -1.48%)Bulls will seek to recapture Friday’s POC 4475, and ideally establish price acceptance > 4500 (+1.04%). Upside: > 4550 (+2.16%) isabove+1σ (W) 4525.50 (+1.61%).Bears will seek to recapture Thursday’s 4439.50 BOS, and ideally 4400 (-1.21%) on a closing basis. Downside: < WLO 4348.75 (-2.36%) is below -1σ (W) expected 4384 (-1.57%).
Indicators
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