VIX Futures Bump Around U.S. Election Day Compared with prior cycles, implied volatility for the period around the U.S. election is very high, mainly because of the coronavirus. Image: Goldman Sachs Global Investment Research
Liquidity – S&P 500 E-mini Futures Market Depth S&P 500 E-mini futures market liquidity remains below average levels. Image: J.P. Morgan Equity Derivatives Strategy
Net Investor U.S. Equity Futures Positions vs. Robinhood Distinct User Positions in S&P 500 Stocks Is this going to end well? Goldman Sachs is starting to worry about valuation. Image: Goldman Sachs Global Investment Research
S&P 500 Futures Liquidity and Volatility S&P 500 futures liquidity is improving, but remains at low levels and continues to be contingent on volatility. Image: Societe Generale Cross Asset Research
CTA’s Net Position in S&P 500 Futures vs. the S&P 500 This chart suggests that CTAs could continue their net buying of S&P 500 futures. Image: Nomura
S&P 500 Futures Market Liquidity Liquidity in U.S. equity collapsed in early 2018 and remains at low levels. Lack of liquidity tends to lead to violent market moves. Image: Goldman Sachs Global Investment Research
S&P 500 Non-Commercial Net Long Futures Speculative futures in S&P 500 are net short. Image: Deutsche Bank
Fed Funds Futures Curve (Interest Rates) For the first time, traders are starting to price in negative U.S. interest rates for first time. Image: The Daily Shot – The Wall Street Journal
S&P 500 and Dividend Futures This chart suggests that the S&P 500 does appear to be trading off dividend forecasts more than earnings. Image: Morgan Stanley Research
Returns for WTI Crude Oil Futures and MSCI Emerging Markets Index The WTI crude oil price tends to reflects EM fundamentals. Image: Nomura