Market Wrap
Narratives
Our big picture views are unchanged. The new era of war, geopolitical isolationism, populism, fiscal excess, state intervention, regulation, redistribution in 2020s could mean 3-4% inflation, 3-4% interest rates, 20% debasement of the US dollar and max 3-4% returns from credit and stocks over the medium-term. Asset Allocation: Long 25/25/25/25, cash, gold, commodities, EAFE/EM, small-caps, industrials and banks. Short 60/40, bonds, US dollar, stocks, US, large-cap and tech — Michael Hartnett, BofA
Week Ahead
The upcoming week will have softer US economic data, but will be jam-packed with high-profile earnings reports providing insight into corporate America's performance. This will fuel the debate on whether the world's largest economy is heading towards a recession or is already in one.
Some of the most prominent companies reporting are Bank of America, Johnson & Johnson, Goldman Sachs, Netflix, IBM, American Express, Blackstone, and Procter & Gamble.
Additionally, March figures on new residential construction and building permits will be released, offering further clues into the health of the real estate market. Finally, S&P Global will divulge April's purchasing manager surveys, measuring US manufacturing and services sector activity. Investors will also closely watch the usual weekly data on claims for unemployment insurance for signs of a cooling labor market. Meanwhile, in Canada, March CPI and February retail sales data will be published - TradingEconomics
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Earnings
Metric | UpDn | This Week | Prior Week | Baseline | Baseline TF |
---|---|---|---|---|---|
Forward 12-mo Estimate | 🔵 | 226.64 | 220.49 | 230.43 | September 30, 2022 |
Forward 12-mo PE | 🔴 | 18.1 | 18.9 | 15.5 | September 30, 2022 |
Nominal Earnings Yield | 🔵 | 5.52 | 5.37 | 6.43 | September 30, 2022 |
Options
Metric | UpDn | This Week | Prior Week | Net CHG | % CHG |
---|---|---|---|---|---|
SPX Implied Volatility | 🔴 | 14.6 | 16.5 | -1.9 | -11.52% |
SPX GEX Flip | ⚪️ | 4,102.5 | 4,077.5 | 25 | 0.61% |
SPX Skew Adjusted GEX | 🔵 | 6,917,139,283 | 3,862,863,589 | 3,054,275,694 | 79.07% |
Equity Put/Call Ratio (CBOE) | 🔴 | 0.65 | 0.69 | -0.04 | -5.8% |
VIX Put/Call Ratio (CBOE) | 🔵 | 0.41 | 0.27 | 0.14 | 51.85% |
SPX/W Put/Call Ratio (CBOE) | 🔴 | 1.35 | 1.52 | -0.17 | -11.18% |
OEX Put/Call Ratio (CBOE) | 🔴 | 1.07 | 2.32 | -1.25 | -53.88% |
Futures
June E-mini S&P 500 futures settled at 4163.75 Friday, dropping 9.00, in slightly lower trade across the board. Total volume was 1,886,340, with the June maturity seeing 1,882,896 change hands. Overall open interest fell 8,809, or 0.39%, to end the session with 2,260,003 outstanding. The June maturity shed 0.44% (8,809) to finish at 2,238,561.
Option trading centered around the April EW3 4200 calls with 5,398 done and the April EW3 3100 puts with volume of 18,521. Option open interest is largest for the April EW3 100 calls at 30,656, and the June 3800 puts at 35,410.
Implied Volatility finished the day lower with the 30-day at-the-money off by 0.62%, to end the session at a one month low of 14.78%. The 30-day historical volatility ended up by 0.0224% to 16.04%.
Bull v Bear
This Week (30d ATM 14.78% v16.57% p)Bulls will seek to recapture and ideally gain price acceptance > WHI 4200 (+0.87%). Upside: YTD HI 4208.50 (+1.07%); GEX Call Wall 4227 (1.52%) are within +1σ (W) 4249 (+2.05%).Bears will seek to trigger cessation of Daily 1TFU below Friday’s RTH LO 4124.50 (-0.94%). Downside: GEX Flip 4109 (-1.31%); WLO.1 4096.50 (-1.62%) are within -1σ (W) 4082 (-1.96%).
Last Week (4163.75 JUN23 +0.77%)Bulls will seek to recapture the MAR HI 4142.50 and ideally gain price acceptance > WHI 4171.75 (+0.96%). Upside: 4200 (+1.65%); YTD HI 4208.50 (+1.85%) are within +1σ (W) 4223 (+2.2%).Bears will seek to trigger cessation of Weekly and Daily 1TFU below WLO 4096.50 (-0.86%) on a closing basis. Downside: Recapture Mar Breakout 4082.50 (-1.2%) is within -1σ (W) 4045 (-2.11%).
Indicators
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