Weekly Benchmarks - @Koyfin
Weekly Factors vs. S&P 500 - @Koyfin
Weekly Performance - @Koyfin
<aside> <img src="https://img.icons8.com/ios/250/FFFFFF/speech-bubble.png" alt="https://img.icons8.com/ios/250/FFFFFF/speech-bubble.png" width="40px" /> The US Treasury has aggressively shifted refunding toward <1-year T-Bills, lowering the maturity of debt and increasing the sensitivity to short rates. That, in turn, incentivizes the Fed to cut rates. If rates are unchanged and the trend in yields and debt holds over the next 12 months, America’s annual interest bill rises from $1.1 trillion to $1.6 trillion, whereas if the Fed were to cut by 150bps, the situation would stabillize. Call it Interest Cost Control, or what you want, the Fed must placate fiscal excess over the coming quarters — Michael Hartnett, BofA
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Manufacturing activity needs to rebound and catch up to the resilient services sector, and also that global activity needs to catch up to the US, but cyclicals haven’t seen upward revisions. Cyclical assets have preemptively priced a rebound but earnings revisions are moving the wrong way - Goldman Sachs
Our preferred measure of earnings momentum, the share of analyst EPS changes that are upgrades measured using a six-month moving average to smooth out the noise, is fading; not the stuff economic recoveries are made of. Is this profits backdrop really consistent with the S&P rising by one third in a year? - SocGen
More debt needs to roll at these levels for further monetary policy transmission, and this is already happening given a busy corporate issuance calendar so far, but it is a slow and steady process rather than a big risk-off event. Even with heavy supply, overall corporate borrowing costs will not reset higher at once - SocGen
<aside> <img src="/icons/calendar-week_gray.svg" alt="/icons/calendar-week_gray.svg" width="40px" /> In the United States, investors are keenly awaiting the US jobs report and the ISM PMI surveys for both the services and manufacturing sectors. Projections indicate that non-farm payrolls rose by 198 thousand in March, a significant drop from the 275 thousand jobs added in February. The unemployment rate is predicted to stay at 3.9%, its highest since January 2022, while monthly wage growth is expected to rise to 0.3%, up from the prior period's 0.1%.
The ISM reports for March are expected to show the manufacturing sector in contraction for the 17th consecutive period, while the service sector's growth remains relatively stable.
Investors will also pay close attention to comments from several Fed officials, including a speech by Fed Chair Powell at the 2024 Business, Government & Society Forum at Stanford Graduate School of Business. Other releases include the JOLTs job openings, ADP employment change, factory orders, foreign trade data, and the final readings of S&P Global PMI figures. (Source: Trading Economics)
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Calendar (UTC-4)
Macro Dashboard
Skew-Adjusted Gamma by Strike - @tradevolatility
Skew-Adjusted GEX Trend - @tradevolatility
Implied Volatility Trend - @tradevolatility
Put/Call OI Trend - @tradevolatility
<aside> <img src="/icons/playback-pause_gray.svg" alt="/icons/playback-pause_gray.svg" width="40px" /> June E-mini S&P 500 futures ended the session at a contract high of 5308.50 Thursday, adding 0.25. Across all maturities, volume was a light 1,319,310, with June seeing 1,317,836 done. Overall open interest fell 24,592 (1.14%), with June down by 25,117, or 1.18%, to 2,105,520.
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