S&P 500 Churns at All-Time Highs as Volume Remains Absent
S&P 500 Churns at All-Time Highs as Volume Remains Absent
Also 10-year T-note, silver, natural gas, and euro futures
- S&P 500 E-mini futures (/ES): -0.07%
- 10-year T-note futures (/ZN): -0.23%
- Silver futures (/SI): -0.71%
- Natural gas futures (/NG): +2.86%
- Euro futures (/6E): +0.5%
A midday look at the market today shows more of the same: light trading volume is leading to mostly listless price action. Equities are holding near their yearly highs, while Treasuries continue to meander ahead of the release of the U.S. jobs report tomorrow. The U.S. dollar is lower across the board in spite of the move in yields, although metals seem to be paying attention to shifts in the Treasury market. Elsewhere, bitcoin (in both spot and futures) topped $100,000 for the first time ever.
Symbol: Equities | Daily Change |
/ESZ4 | -0.07% |
/NQZ4 | -0.1% |
/RTYZ4 | -0.6% |
/YMZ4 | -0.23% |
Both the S&P 500 (/ESZ4) and Nasdaq 100 (/NQZ4) are hovering near the all-time highs established over the past 24-hours. The spate of mixed U.S. economic data this week alongside commentary from Federal Reserve Chair Jerome Powell have done little to dissuade traders from staying long; yet the shockingly low trading volume may likewise suggest there is little appetite to deploy capital into stocks at all-time highs as volatility sits near its lowest levels of the year.
Strategy: (40DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 5775 p Short 5825 p Short 6375 c Long 6425 c | 67% | +400 | -2100 |
Short Strangle | Short 5825 p Short 6375 c | 71% | +1587.50 | x |
Short Put Vertical | Long 5775 p Short 5825 p | 92% | +145 | -2355 |
Symbol: Bonds | Daily Change |
/ZTH5 | -0.05% |
/ZFH5 | -0.15% |
/ZNH5 | -0.23% |
/ZBH5 | -0.18% |
/UBH5 | -0.1% |
A boring week for the Treasury market continues, with both notes (/ZNH5) and bonds (/ZBH5) producing sideways price action amid an ongoing contraction in volatility. The Treasury auction schedule this week is light. All eyes are on the November U.S. nonfarm payrolls report tomorrow.
Strategy (54DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 108 p Short 109 p Short 114 c Long 115 c | 68% | +234.38 | -765.63 |
Short Strangle | Short 109 p Short 114 c | 72% | +500 | x |
Short Put Vertical | Long 108 p Short 109 p | 86% | +140.63 | -859.38 |
Symbol: Metals | Daily Change |
/GCG5 | -0.48% |
/SIH5 | -0.71% |
/HGH5 | -0.25% |
Metals did well yesterday, but that has been reversed with today’s modestly weaker prices. Silver prices (/SIH5) made an impressive move off of multi-week support in recent sessions, but the technical structure (as in the case for gold prices (/GCG5)) leaves open the possibility of either continuation or topping. The diminished state of volatility across the metals has rendered directionally neutral strategies relatively less appealing than they were one month ago.
Strategy (54DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 28.25 p Short 28.75 p Short 35 c Long 35.5 c | 64% | +715 | -1785 |
Short Strangle | Short 28.75 p Short 35 c | 71% | +3430 | x |
Short Put Vertical | Long 28.25 p Short 28.75 p | 82% | +380 | -2115 |
Symbol: Energy | Daily Change |
/CLF5 | +0.03% |
/HOF5 | -0.01% |
/NGF5 | +2.86% |
/RBF5 | +0.01% |
Energy markets are rather quiet halfway through today’s session, with each of crude oil (/CLF5), heating oil (/HOF5) and gasoline futures (/RBF5) less than +/- 0.03% from their open. The big mover on the day is natural gas (/NGF5), which has resumed its streak of trading days with at least a +/- 2% move; yesterday was the first session since Nov. 19 without such a move. As always, eyes on forecasts: the improved temperature expectations at the start of the week have started to shift towards a colder 8-14 day ahead window in some models.
Strategy (54DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 2.4 p Short 2.5 p Short 3.95 c Long 4.05 c | 62% | +360 | -640 |
Short Strangle | Short 2.5 p Short 3.95 c | 71% | +1780 | x |
Short Put Vertical | Long 2.4 p Short 2.5 p | 73% | +260 | -740 |
Symbol: FX | Daily Change |
/6AZ4 | +0.03% |
/6BZ4 | +0.39% |
/6CZ4 | +0.24% |
/6EZ4 | +0.5% |
/6JZ4 | +0.12% |
The U.S. dollar is down across the board, which seems out of place given cross-asset performance elsewhere (higher yields, weaker metals). Nevertheless, there seems to be a “buy the rumor, sell the news” reaction to the collapse of the French government. Perhaps more interesting is the recent story from The Financial Times that Europe is considering a €500 billion mutual bond offering to start a region-wide defense fund to help offset what is expected to be a period of U.S. isolationism.
Strategy (64DTE, ATM) | Strikes | POP | Max Profit | Max Loss |
Iron Condor | Long 1.015 p Short 1.025 p Short 1.09 c Long 1.11 c | 61% | +325 | -925 |
Short Strangle | Short 1.025 p Short 1.09 c | 70% | +800 | x |
Short Put Vertical | Long 1.015 p Short 1.025 p | 91% | +137.50 | -1112.50 |
Christopher Vecchio, CFA, tastylive’s head of futures and forex, has been trading for nearly 20 years. He has consulted with multinational firms on FX hedging and lectured at Duke Law School on FX derivatives. Vecchio searches for high-convexity opportunities at the crossroads of macroeconomics and global politics. He hosts Futures Power Hour Monday-Friday and Let Me Explain on Tuesdays, and co-hosts Overtime, Monday-Thursday. @cvecchiofx
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