Market Wrap
Narratives
Vol control remains the real bogeyman here from the potential for systematic selling perspective. Yes, there does remain potential to continue adding to what is already 95%ile (three-year) equities exposure in the case we keep generating these tame close- to-close S&P daily changes of less than 50bps; but, where the asymmetry is so massively tilted towards notional selling flows if we can begin realizing those 1% or greater type days which UX1 is implying — Charlie McElligott, Nomura
Week Ahead
In the US, investors will closely focus on the FOMC minutes for additional insights into the Fed's plans for the remainder of the year. However, Chair Powell stated last month that decisions will be made on a meeting-by-meeting basis. Currently, markets are pricing in an 89% probability of the Fed holding interest rates in September, while the odds for a quarter point hike in November stand at about 32%. The earnings season is drawing to a close, but second-quarter results are still forthcoming from Home Depot, Cisco, Walmart, Deere & Co, Target, and Applied Materials.
On the data front, projections indicate a 0.4% increase in retail sales and a rebound in industrial production following a decline in June. Other important releases include consumer inflation expectations, building permits, housing starts, NY Empire State Manufacturing Index, Philadelphia Fed Manufacturing Index, and the NAHB housing index - TradingEconomics
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Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 4-qtr Estimate | 🔵 | 231.67 | 230.84 | 228.39 | January 1, 2023 |
Forward 4-qtr PE | 🔴 | 19.3 | 19.4 | 17.2 | January 1, 2023 |
Nominal Earnings Yield | 🔵 | 5.19 | 5.15 | 5.86 | January 1, 2023 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔴 | 13.42 | 13.71 | -0.29 | -2.12% |
SPX GEX Flip | 🔴 | 4,502.5 | 4,517.5 | -15 | -0.33% |
SPX Skew Adjusted GEX | 🔵 | -12,869,841,511 | -15,231,076,864 | 2,361,235,353 | 15.5% |
Equity Put/Call Ratio (CBOE) | 🔵 | 0.8 | 0.66 | 0.14 | 21.21% |
VIX Put/Call Ratio (CBOE) | 🔴 | 0.39 | 0.69 | -0.3 | -43.48% |
SPX/W Put/Call Ratio (CBOE) | 🔴 | 1.43 | 1.45 | -0.02 | -1.38% |
Futures
Sep E-mini S&P 500 futures closed the session at a one month low of 4480.75 Friday, off by 5.00. Across all maturities, 1,512,915 contracts changed hands, with 1,511,048 traded in the Sep maturity. Combined open interest fell 35, or 0.0016%, with Sep down 141 (0.0064%) to 2,198,398.
The August E2A 3850 put saw the most changing hands with 26,885 contracts traded. In Sep options, the high volume call was in the 4650 strike with 2,285 changing hands, and the 4400 put leads with volume of 3,273. Options with the highest open interest are the Sep 4700 call with 18,642, and the August E2A 3725 put with 46,638.
As measured by the 30-day at-the-money, implied volatility settled lower, dropping by 0.59% to end the session at 12.50%. Historical volatility (30-day) settled at 9.12%, lower by 0.63%, to a one week low.
Bull v Bear
This Week (30d ATM IV 12.50% v 30d RVOL 9.12%)Bulls will seek to recapture 4500, and ideally WVAH 4514.50 on a closing basis. Upside: GEX Flip 4526 (1%); WHI 4544.75 (1.42%) are within+1σ (W) 4560 (+1.77%).Bears will seek to further extend 1TFD < WLO 4459 (-0.49%) and 50d MA on a closing basis. Downside: Put Wall 4416 (-1.45%) is within -1σ (W) 4404 (-1.71%).
Last Week (4480.75 SEP23 -0.38%)Bulls will seek to defend the June 4493.75 breakout and ideally recapture DTF 1TFU (> 4560.75). Upside: 4600 (2.27%) is marginallybeyond+1σ (W) 4590 expected (+2.05%).Bears will seek to break back into the June range and target the rising 50d MA 4436 (-1.38%). Downside: 2mo VAL 4373.75 (-2.76%) is within -2σ (W) 4322 (-3.91%).
Indicators
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