Weekly stock market analysis prices and volatility

Every week, we provide you with a forecast of the financial markets' leading products, based on advanced statistical models. We scrutinize the bond market, studying yields, spreads and volatility to anticipate future movements. In addition, we examine trends and volatility in the foreign exchange market, with a particular focus on the EURUSD parity, and finally, we take a look at equity indices, with a particular focus on the US S&P 500 stock index, with a brief overview of its options market.
With all these anticipations, our aim is to provide you with a more informed view of future market movements.

Update : 05/13/2024 - 04:45 am GMT
Memento
US US Bond Market

The US bond market curve without volatility has very slightly inverted, with a slightly more pronounced steepening, short maturities advancing while long maturities declining. The low yield variation renders any analysis of the curve's evolution pointless.
In this "non-event" context, the SOFR 3M contracts curve saw short maturities slightly tighten under the specter of a resurgence of inflation.

3-month SOFR futures pushed back their expectations of a rate cut to the start of the third quarter of 2024.

Volatility (HV) Trend Historical level Risk of violent variation Move Index (IV) HV - Move Ind. (IV)
Long-term Very high Very high
Short-term Elevated

Short-term volatility (HV) has finally eased, reinforcing the downward movement of long-term volatility (HV). This week, being rich in inflationary statistics, implicit volatility remains on alert and should increase slightly before returning quickly if the statistics do not exceed the anticipated bounds excessively.
This week, volatility (HV) has been very low, with the variation bonus going to the 30-year.

SPREAD Underlying trend Predominant maturity Resistances (bps) Supports (bps) Volatility (HV)
10Y vs. 2Y 10Y -23 / -26 / -31 -37 / -40 / -43
10Y vs. 3M 10Y -69 / -75 / -83 -91 / -99 / -102

The rise in long-term rates, combined with the maintenance of short-term rates, has reduced spreads and accentuated the inflexion of the yield curve. This dynamic is typical of an expanding economy, but the real level of rates, compared with inflation, does not correspond to a status quo in key rates. In short, before working the rise spreads, it's best to wait for a real slowdown in inflation.

EUEuropean bond market

The European bond market has been as lackluster as the US market; in a low-volatility market, yields for all maturities have progressed modestly.
For the first time since December 2022, the long-term volatility (HV) of the German and French markets has fallen back below the average level of 2012, the volatility of European curves continues to trend downward.
Movements in key rates always generate volatility (HV) across the entire bond market and more particularly over short maturities.

The 10-year spreads of the main European countries relative to Germany remain bearish.

Spreads between 10 vs. 2-year rates in Germany and France are in a recessionary configuration for the economy, while those in Italy and Spain are stagnant.

3-month Euribor interest rate futures anticipate a rate cut by the second quarter of 2024 and European banknotes a drop of 25 bps.

You will find details of the various components of European bonds below and more in the Interest Rates section.

EURUSDEURUSD parity

The volatility (HV) of the dollar and the euro went "pchiitttt", but the return of the euro's volatility is more laborious.
As anticipated, discussions on mutualizing the European capital market have just encountered initial opposition from Germany (as shown).
With a few exceptions, the dollar remained stable and, overall, the euro gained against other currencies. The euro against the dollar could complete its recovery movement and resume its sliding movement, supported by the difference in interbank rates which still favors the greenback.
The yen has started to slide against the major pairs again despite new government statements asserting that Japan would not let its currency weaken at the risk of importing inflation.

WorldEquity Indices

A resilient economic environment characterized by high real interest rates and the prospect of a potential decrease in interest rates continues to buoy US stock indices, which are driving global indices.
The technical rebound movement of volatility (HV) in the American indices is starting to weaken, as is the volatility (HV) in the European indices. The volatility (HV) in the Asian indices continues to advance without pausing.

USUS 10 year government at 4.502

Taux 10 ans USA

Pression Acheteur Pression Vendeur

Fundamental trend : Technical recovery

The predominant buying pressure slowly slides, the selling pressure progresses by slowing its speed.

This week, the US 10-year yield should test through its support level 4.403 / 4.391 to find a floor on the level 4.325 / 4.300.
Its bullish movements should be limited to its resistance zone 4.575 / 4.581.

Resistances 4.510 4.527 4.535 4.547 4.565 4.575 4.581 4.587 4.598 4.609 4.630 4.660 4.670 4.684 4.690 4.720 4.741 4.751 4.765 4.775
Supports 4.484 4.467 4.453 4.442 4.413 4.403 4.391 4.384 4.366 4.351 4.323 4.300 4.289 4.270 4.242 4.236 4.216 4.192 4.170 4.160
Volatility HV * 21 D. 252 D. LTV
Average range * Daily 0.076 Weekly 0.168
Max. weekly range * 4.334 4.670

* Anticipated

GermanGerman 10 year government at 2.524

German 10 year government

Buyer PressureSeller Pressure

Fundamental trend : Technical recovery

The buying pressure stagnates, the predominant selling pressure increases slowly.

This week, the German 10-year should break its support level 2.471 / 2.460 to find a floor on the level 2.422 / 2.401.
Its bullish movements should be limited to the resistance zone 2.560 / 2.573.

Resistances 2.533 2.547 2.560 2.573 2.600 2.618 2.626 2.653 2.705 2.727 2.734 2.743 2.774 2.796 2.825 2.849 2.886 2.892 2.901 2.919
Supports 2.511 2.499 2.480 2.471 2.460 2.452 2.442 2.422 2.401 2.393 2.381 2.372 2.355 2.336 2.323 2.317 2.296 2.276 2.264 2.231
Volatility HV * 21 D. 252 D. LTV
Average range * Daily 0.067 Weekly 0.147
Max. weekly range * 2.377 2.671

* Anticipated

FrenchFrench 10 year government at 3.004

Resistances 3.014 3.023 3.035 3.056 3.084 3.096 3.113 3.121 3.138 3.152 3.168 3.191 3.215 3.234 3.255 3.260 3.280 3.324 3.338 3.353
Supports 2.985 2.970 2.951 2.933 2.921 2.901 2.892 2.883 2.871 2.853 2.832 2.804 2.787 2.773 2.763 2.753 2.736 2.697 2.687 2.664
Volatility HV * 21 D. 252 D. LTV
Average range * Daily 0.072 Weekly 0.148
Max. weekly range * 2.856 3.152

* Anticipated

ItalyItalian 10 year government at 3.847

Resistances 3.859 3.876 3.884 3.904 3.931 3.957 3.967 4.031 4.162 4.227 4.272 4.297 4.364 4.415 4.590 4.626 4.673 4.736 4.791 4.865
Supports 3.840 3.827 3.814 3.799 3.785 3.772 3.749 3.718 3.666 3.648 3.578 3.522 3.326 3.304 3.208 3.161 3.121 3.051 3.035 3.015

EuropeEURUSD at 1.0771

Euro vs Dollar

Buyer PressureSeller Pressure

Fundamental trend : Technical recovery

The predominant buying pressure increases by reducing its speed, the selling pressure decreases slowly.

This week, the single currency against the dollar should test its resistance level 1.0791 / 1.0804 to find a ceiling below the level 1.0830 / 1.0839.
Its bearish movements should be limited to the support zone 1.0710 / 1.0695.

Resistances 1.0775 1.0783 1.0791 1.0804 1.0822 1.0830 1.0839 1.0850 1.0870 1.0880 1.0892 1.0902
Supports 1.0766 1.0759 1.0741 1.0726 1.0710 1.0695 1.0679 1.0650 1.0637 1.0615 1.0602
Volatility HV * 21 D. 252 D. LTV
Average range * Daily 0.0048 Weekly 0.0125
Max. weekly range * 1.0646 1.0896
* Anticipated

USSP500 at 5222

SP500 Index

Buyer PressureSeller Pressure

Fundamental trend : Bullish

The buying pressure is increasing at a sustained pace, the selling pressure remains stagnant.

This week, the index should continue its upward momentum, testing its all-time high.
Its bearish movements should be limited to the support zone 5160 / 5149.

Resistances 5251 5260 5264
5275 *
Supports 5189 5176 5149 5125 5111 5090 5075 5048 5031 5016 5000
Volatility HV * 21 D. 252 D. LTV
Average range * Daily 43 Pts Weekly 113 Pts
Max. weekly range * 5109 5335
* Anticipated
IMPLIED VOLATILITY SP500 OPTIONS

Over 1 week, variation of the centered volatility (monthly maturities)

SPX 06/21/2024 07/19/2024 SP P/C
IV 11.29 ( - 1.21 pts) 11.70 ( - 1.08 pts)
CALL 11.26 ( - 1.25 pts) 11.68 ( - 1.12 pts)
PUT 11.32 ( - 1.18 pts) 11.72 ( - 1.05 pts)
SP P/C + 0.06 ( + 0.07 pts) + 0.04 ( + 0.07 pts)
SPX Smile 01
Smile June
SPX Smile 02
Smile July
SPX Smile
June & July

The implied volatility centered on SPX options decreased for both maturities. Compared to the VIX index, the decrease in centered implied volatility (SPX and SPY) for monthly maturities was faster than that of the index. The put/call centered volatility ratio (SPY) tightened in the positive for both maturities. The June-July calendars (SPX, SPY) started to diverge, with a faster decrease in volatility for the July maturity. The centered volatility (IV) of SPX calls compared to SPY calls increased to become higher for the July maturity, and conversely for the puts of both maturities.

The smiles (SPX) have slightly widened with a less rapid decrease in the volatility (IV) of (OTM) calls and puts for both maturities compared to centered volatility. This situation has made all OTM options more expensive, only the July OTM calls, close to parity, have followed the general movement, making them the least expensive.

The regular purchase of small OTM puts only harms the seller.

VIX INDEX at 12.55
  • Pressure
  • VIX - HV
VIX HV SP500 / HV UST - Weekly
VIX HV SP500 / HV UST - Daily