Market Wrap
Narratives
We have witnessed a clear “Vol Up, Spot Up” theme in tech / A.I. / Nasdaq over the past week, as both 1) NDX tech upside was “grabbed-into” on the performance chase into the lone theme driving YTD equities performance, but 2) with the spot rally being so substantial that we then finally saw some massive downside hedging go through mid-week as well. That said, the aforementioned benchmark vol crunch with S&P iVol / rVol / Skew / vol of vol destroyed as all these left-tails keep dying, markets keep crashing up while only “grinding” lower, and it’s impacting thematic behaviors in the vol space — Charlie McElligott, Nomura
Week Ahead
After the United States Senate successfully passed bipartisan legislation to raise the government's debt ceiling, preventing a potentially disastrous default, attention now turns to the upcoming macroeconomic calendar. Fresh figures are awaited for services PMI, foreign trade, factory orders, and inventory data. The ISM survey for May is expected to reveal a strengthening in service sector growth, reaching its highest level in three months.
Investors will be particularly interested in the gauge that measures price pressures, as there are concerns about service-led inflation, which could influence central bankers to adopt a tightening bias. Additionally, the final estimate of the Markit survey is likely to confirm that business activity growth reached its highest point in over a year in May. Meanwhile, the trade deficit is expected to have widened in April due to a decline in exports and an increase in imports. On the other hand, factory orders are anticipated to rise for the second consecutive month during the same period - TradingEconomics
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Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 12-mo Estimate | 🔵 | 225.5 | 224.71 | 228.39 | January 1, 2023 |
Forward 12-mo PE | 🔵 | 19 | 18.7 | 17.2 | January 1, 2023 |
Nominal Earnings Yield | 🔴 | 5.27 | 5.34 | 5.86 | January 1, 2023 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔴 | 11.66 | 13.83 | -2.17 | -15.68% |
SPX GEX Flip | 🔵 | 4,182.5 | 4,157.5 | 25 | 0.6% |
SPX Skew Adjusted GEX | 🔴 | 12,182,489,362 | 13,985,819,230 | -1,803,329,868 | -12.89% |
Equity Put/Call Ratio (CBOE) | 🔴 | 0.52 | 0.53 | -0.01 | -1.89% |
VIX Put/Call Ratio (CBOE) | 🔴 | 0.28 | 0.36 | -0.08 | -22.22% |
SPX/W Put/Call Ratio (CBOE) | 🔴 | 1.21 | 1.38 | -0.17 | -12.32% |
OEX Put/Call Ratio (CBOE) | 🔴 | 3.39 | 3.83 | -0.44 | -11.49% |
Futures
June E-mini S&P 500 futures closed at a one month high of 4288.00 Friday, up by 60.00 (1.42%). Overall volume was 1,983,813, with June seeing 1,955,603 done. Total open interest gained 34,112 (1.39%) to end the session with 2,493,407 outstanding. The June maturity rose 1.13%, or 34,112, to finish at 2,416,138.
Option volumes were greatest for the June 4400 call (14,360) and the June E1B 3600 put (69,875). Calls with the largest open interest are the June EW3 100 strike (42,561), and for the puts are the June E1B 3600 strike (76,144).
As measured by the 30-day at-the-money, implied volatility was moderately down, dropping 0.74% to end the session at a one week low of 11.49%. Up by 0.52% to a one month high, historical volatility (as measured by the 30-day) settled at 14.95%. The volatility spread (30-day, IV-HV) finished the session at a one month low of -3.46%, having decreased 1.26%.
Bull v Bear
This Week (30d ATM IV 11.49% v RVOL 14.95% p)Bulls will seek to break 4300 on a closing basis and continue to build price acceptance above. Upside: > Q322 HI 4327.50 (+0.92%) is within +1σ (W) 4365.50 (+1.81%).Bears will seek to recapture Friday’s 4243 BOS and ideally the swing midpoint 4236 (-1.21%) on a closing basis. Downside: < 4200 is beyond -1σ (W) expected 4216 (-1.68%).
Last Week (4288.00 JUN23 +1.74%)Bulls will seek to break WHI.1 4227.25 on a closing basis and continue to build price acceptance above. Upside: > Q421 LO BOS 4260 (+1.11%) is within +1σ (W) 4303.50 (+2.14%).Bears will seek to break PLO < 4146 and ideally recapture the 6M VPOC 4138.25 (-1.8%) on a closing basis. Downside: < WLO 4120 isbeyond-1σ (W) expected 4126.50 (-2.06%).
Indicators
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