Posts tagged as Volatility


Wednesday Color - 1% losses, sensitive sectors to ISM data, no cash cushion, breadth anomolies

2019-10-02 | Jason Goepfert


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What I'm looking at - MACD sell signal, Business Climate Indicator, VIX, different surprise indices, gold's 4Q rally

2019-10-01 | Troy Bombardia


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Thursday Color - Gold flow and open interest, bond flow, VIX call buying, Hang Seng rollover

2019-09-26 | Jason Goepfert


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The last 2 times there was impeachment talk, this happened

2019-09-25 | Jason Goepfert


This is an abridged version of our recent reports and notes. For immediate access with no obligation, sign up for a 30-day free trial now.Impeach thisPolitical will seems to be growing to open an official impeachment inquiry against President Trump. That would mark the 3rd episode in the history ...

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Foreigners Flood In As Hard Economic Data Rebounds

2019-09-23 | Jason Goepfert


This is an abridged version of our recent reports and notes. For immediate access with no obligation, sign up for a 30-day free trial now.Foreign flowForeign investors have started to come back to U.S. stocks after a year of net selling, as we saw earlier this week.Among other major markets, ...

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Investors Ease In As FedEx Crashes

2019-09-20 | Jason Goepfert


This is an abridged version of our recent reports and notes. For immediate access with no obligation, sign up for a 30-day free trial now.Easing back inIndividual investors are easing back into stocks. The latest AAII survey shows that the Bull Ratio has cycled from extreme pessimism to modest ...

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What I'm looking at - Economic Surprise, low volatility, breadth, McClellan Summation, DAX

2019-09-20 | Troy Bombardia


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ETF Traders, Foreigners Jump In Right Before Momentum Stock Shock

2019-09-19 | Jason Goepfert


This is an abridged version of our recent reports and notes. For immediate access with no obligation, sign up for a 30-day free trial now.Momentum stock shockAfter last week’s huge drop in momentum stocks, and shift toward value from growth, those shares fell a bit more and have since rebounded. ...

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Thursday Color - Russell vs S&P Volatility, Summation Extremes, IWM Inflow, AAII Bulls

2019-09-19 | Jason Goepfert


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S&P 500 after Momentum 10-day average z-score > 2.5

2019-09-18 | Jason Goepfert


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Oil's Shocking Jump Is Fooling People

2019-09-17 | Jason Goepfert


This is an abridged version of our recent reports and notes. For immediate access with no obligation, sign up for a 30-day free trial now.Shocking moveThe jump in crude oil on Monday was one of the most shocking in 30 years.For energy stocks, a 4 standard deviation jump in oil prices tended to ...

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Tuesday Color - Big Managers Get Bullish, Gold/Dollar Correlation Spike, Repo Rate, Volatility Premium

2019-09-17 | Jason Goepfert


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Oil Shock

2019-09-16 | Jason Goepfert


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Russell 2000 after 3 straight 1% gains within 2 weeks of a 6-month low

2019-09-11 | Jason Goepfert


The small-cap Russell 2000 hit a 6-month low in the two weeks prior to its recent streak of three consecutive 1% daily gains, something that has preceded major follow-through since the financial crisis. And, usually, the decades before that as well.See the September 11 report for more. [...]

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A Historic Turn In Fortunes

2019-09-11 | Jason Goepfert


This is an abridged version of our recent reports and notes. For immediate access with no obligation, sign up for a 30-day free trial now.Growth no mo’ momoThe swift exodus from momentum stocks has hit those classified as “growth” hard, especially relative to those considered to be “value.” The ... [...]

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Wednesday Color - Russell vs Nasdaq, Sector Divvies, Bond Whipsaw, Jumps Above BBands

2019-09-11 | Jason Goepfert


Here's what's piquing my interest on a quiet day.DivergentWe've looked a couple of times at the remarkable shift in momentum between winners and losers, growth and value over the last couple of days. While it's tempting to read a broader shift into it, sharp, severe ones like this have happened ... [...]

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Gold's Shocking Drop

2019-09-09 | Jason Goepfert


This is an abridged version of our recent reports and notes. For immediate access with no obligation, sign up for a 30-day free trial now.Gold’s bull runETF traders have consistently poured money into gold funds, even during Thursday’s big drop, which was a “shocking” decline.It started to fall ... [...]

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Gold after 52-week high and > 25% gain then 2 standard deviation loss

2019-09-06 | Jason Goepfert


When gold hit a 52-week high after gaining at least 25% over the past year, then suffers a “shocking” loss, investors tended to sell first and re-evaluate later.See the September 6 report for more detail and other discussions about gold's prospects. [...]

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Wall Street Is The Most Confused In 20 Years

2019-09-05 | Jason Goepfert


This is an abridged version of our recent reports and notes. For immediate access with no obligation, sign up for a 30-day free trial now.The Street is behind and confusedWall Street analysts have underestimated the growth in S&P 500 company earnings growth for a year, one of the longest ... [...]

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A Trade-Related Gap

2019-09-05 | Jason Goepfert


Stock futures are jumping this morning, with another trade-related headline. Per the WSJ:That has sent S&P 500 futures more than 0.75% above yesterday's close. It's often questionable to assign movements in the futures to a single issue, but this one seems pretty clear.Traders have been jerked ... [...]

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Tuesday Color - Post-Holiday Blah, September After Volatile August, Put Premiums And Climaxes, Mexico

2019-09-03 | Jason Goepfert


Traders start to return from the summer with losses in stocks and scary headlines the world over. This kind of activity has preceded mixed outcomes, and that's becoming a them in the shorter-term, without a clear bias.As Troy noted in an excellent recap over the weekend, the medium-term of ... [...]

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Sectors In Sync Makes Investors Crabby

2019-08-30 | Jason Goepfert


This is an abridged version of our recent reports and notes. For immediate access with no obligation, sign up for a 30-day free trial now.All up or all downHalf of the days so far this month have seen every major S&P 500 sector move up or down together. This makes it one of the most "all ... [...]

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S&P 500 after > half of a month's days see all S&P sectors move together

2019-08-29 | Jason Goepfert


For the first time in more than 3 years, at least half the days of this month have seen all 11 sectors move either up or down together on the same day.See the August 29 report for more detail. [...]

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Tuesday Color - Social Pessimism, Big Drops, Brazil Breadth, Ag Bears

2019-08-27 | Jason Goepfert


Here's what's piquing my interest as we head into what is likely going to be one of the slowest-moving periods of the year.Socially AwkwardDepending on who you ask and who you follow, Twitter is either an amazing resource to find real-time ideas and collaboration among some of the smartest ... [...]

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1 Of The Whippiest, Most Uncertain Months In A Decade

2019-08-27 | Jason Goepfert


This is an abridged version of our recent reports and notes. For immediate access with no obligation, sign up for a 30-day free trial now.A whippy monthOn an average day over the past month the S&P 500 has moved 1%, one of its widest ranges since the financial crisis.When coming soon after a new ... [...]

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A Volatile, But Sound, Month

2019-08-26 | Jason Goepfert


This is an abridged version of our recent reports and notes. For immediate access with no obligation, sign up for a 30-day free trial now.Quite A MonthWe seem to be on track for another whipsaw, as markets try to recover from conflicting messages over the weekend, following a rocky end to the ... [...]

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Monday Color - A Month Of Swings, Economic Uncertainty, Sectors, Scramble For Protection

2019-08-26 | Jason Goepfert


Here's what's piquing my interest as stocks swing wildly from their weekend lows.Quite A MonthWe seem to be on track for another whipsaw, as markets try to recover from conflicting messages over the weekend, following a rocky end to the week.Price patterns probably mean less now than they ever ... [...]

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Friday Color - Wipeout, Extremes, HiLo Too High

2019-08-23 | Jason Goepfert


I'm technically out of the office today, but with the volatility wanted to touch on a couple of things. We were humming along fine, until the renewed bout of chest-pounding hit the tape and now stocks are suffering relatively large losses.Friday WipeoutThere is a concern that a big wipeout on a ... [...]

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Timing A Move Out Of Stocks, As They Whip Around And Bond Spreads Blow Out

2019-08-23 | Jason Goepfert


This is an abridged version of our recent reports and notes. For immediate access with no obligation, sign up for a 30-day free trial now.Bond blowoutThe riskiest segment of the corporate bond market has been suffering, while safer bonds have been less of a focus for sellers.That raises the ... [...]

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S&P 500 after 11/15 days move +/- 0.75% and w/in 10% of peak

2019-08-21 | Jason Goepfert


The daily swings have dampened somewhat but are still large. Most days in the past three weeks have seen the S&P 500 move at least +/- 0.75% on a closing basis. The median daily change over the past three weeks has climbed over 1.2%, approaching the highest levels of the past few years. See the ... [...]

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Tuesday Color - Overseas Rebound, Sector Recoveries, HY vs IG Spreads, VIX Drop

2019-08-20 | Jason Goepfert


Here's what's piquing my interest as stocks gyrate in what is likely going to be a pattern of low (and lower) volume in the days ahead.Overseas ReboundIn the Hang Seng index of Hong Kong stocks, 90% of them have jumped enough to trade above the 10-day averages. That has preceded some short-term ... [...]

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Panic-Level Selling Last Week As Bonds Hit Historic Extreme

2019-08-19 | Jason Goepfert


Safe haven heavenFriday provided some relief, but the past few weeks have been rocky for stocks. In response, investors moved aggressively into havens like bonds and gold. The 3-week change in the total return on bonds and gold are so far above that for stocks that it’s neared a 30-year ... [...]

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Monday Color - All About Gaps

2019-08-19 | Jason Goepfert


Markets are jumping to start the new week, and that always seems to generate a lot of "what happens..." questions. Monday-morning gaps tend to be emotional reactions to weekend news headlines, and have generated some good signals in the past, both ways.If you missed it, Troy posted a great ... [...]

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Friday Color - Risk Off, Options Anxiety, Many Lows, Big MOVE, Sector Extremes

2019-08-16 | Jason Goepfert


Here's what's piquing my interest as bulls try to enjoy a summer Friday.AnxiousSigns of nervousness are everywhere. Over the past couple of days, we've seen a spike in pessimistic extremes, so there's no shortage of examples. Troy pointed out several aggregate sentiment gauges (Dumb Money, CNN ... [...]

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Thursday Color - Turmoil, Double Losses, Recession Talk, Financials, Sectors

2019-08-15 | Jason Goepfert


Here's what's piquing my interest so far during this tentative recovery attempt.Fear MongeringPerhaps there is no greater sign of the anxiety among investors than when the television channel most geared toward unsophisticated investors runs a special report highlighting the volatility.Red ... [...]

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S&P 500 after financials fall 10% from high w/in 3 weeks

2019-08-15 | Jason Goepfert


Financials have seen worse bouts of selling pressure in recent years than they suffered lately, but not by much. And it’s causing concern, because only a few weeks ago the sector was a hair’s breadth from a new high, and any time these stocks suffer large losses, memories of 2008 rear their ugly ... [...]

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Wednesday Color - Curve, Fund Managers, Gold & Yen, 1% Moves, Skew

2019-08-14 | Jason Goepfert


Here's what's piquing my interest as we go through yet another volatile session.CurvyMight as well get to it, since it's going to be a popular topic today. Another part of the Treasury yield curve inverted (or threatening to do so depending on the data source). The one that matters the most ... [...]

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Tuesday Color - Gamma, Dislocations, Merval & Hang Seng, Emerging Fund Outflow, Bond Optix

2019-08-13 | Jason Goepfert


Here's what's piquing my interest as we get some relief from the daily threat of trade dispute escalations. We'll have to see if this holds into the close and triggers another big up thrust day from the recent low.New IndicatorsYou can now view the HiLo Logic Index for both the NYSE and ... [...]

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Monday Color - 8 Straight 1%-ers, Large Calls, Corrections, Gold Buyers, Emerging Momentum

2019-08-12 | Jason Goepfert


Here's what's piquing my interest on another tough start to a week.Lots Of WigglesThe Financial Times notes that this has been a particularly jarring time for traders, with now 8 straight sessions undergoing at least a 1% intraday change in the S&P 500. Historically, this is a long streak but ... [...]

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Volatility Spike - What Happens Next

2019-08-12 | Jason Goepfert


One and doneMonday’s session was notable for several reasons, mainly its shocking quality after investors became accustomed to much smaller moves. Wall Street generally believes this is not a “one and done” and there is more volatility to come.Historically, the argument for that is not ... [...]

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The Stock-Bond Relationship Is Out Of Whack

2019-08-08 | Jason Goepfert


Strained relationshipThe drop in stocks over the past week didn’t happen in isolation, as traders fled to the perceived safety of the bond market. That moved the Stock/Bond Ratio to an extreme level, even while the S&P remains in a generally positive environment.This has typically resolved in ... [...]

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Thursday Color - Islands, Emerging Streak & Breadth, Signs Of Anxiety, Gold

2019-08-08 | Jason Goepfert


Here's what's piquing my interest as traders try to put Monday's carnage behind them.Island TimeIt's still early, of course, but stocks are making a valiant attempt to carve out an "island" bottom. This happens when traders panic and force an unfilled gap to the downside (Monday in our current ... [...]

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Shocks' Strong Tendency To Recover

2019-08-07 | Jason Goepfert


Shocking^3We’ve looked at “shock days” quite a bit over the years, most recently in May. Monday’s session exceeded the one in May, with a move more than 3 deviations beyond what investors have become accustomed to over the past year.Swift, sharp declines like this almost never end up morphing ... [...]

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Gaps And Warnings And Volatility, Oh My

2019-08-05 | Jason Goepfert


NOTE: This is an excerpt from Monday's premium note.SplatTraders get to start the new week staring at large losses in the futures. That follows a week that was pretty much straight down, with the S&P 500 losing ground for the past 5 sessions.We haven't faced this kind of opening pessimism since ... [...]

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Monday Color - Gaps, Volatility Jump, Options Buying, Warning Cluster, Hong Kong

2019-08-05 | Jason Goepfert


Here's what's piquing my interest as traders gear up for a bout of Monday morning volatility.SplatTraders get to start the new week staring at large losses in the futures. That follows a week that was pretty much straight down, with the S&P 500 losing ground for the past 5 sessions.We haven't ... [...]

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The Everything Rally

2019-06-24 | Jason Goepfert


The everything rallyTotal return stock and bond indexes are hitting all-time highs at the same time. They cover an array of stocks and bonds, suggesting extreme breadth of buying interest, as noted by Bloomberg.When they’ve all hit records together, it has been an especially good longer-term ... [...]

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Friday Color - Massive Flows, Dollar Trend, Stock/Bond Rally, Whiplash, Sector Highs

2019-06-21 | Jason Goepfert


Here's what's piquing my interest as markets meander on a post-breakout summer Friday.Sell Stocks, Buy BondsThat seems to be the mantra among fund investors, anyway. On Thursday, SPY, HYG, and LQD all hit new highs. Yet investors pulled more than $4 billion from SPY, and added nearly $2 billion ... [...]

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350 Days To Nowhere, And Why Lagging Energy Isn't A Problem

2019-06-20 | Jason Goepfert


350 days to nowhereThe Dow Industrials Average is trying to break out for the third time. It hasn’t gone anywhere since late January 2018, which was 350 days ago. It saw minimal upside and substantial downside since then.If we go back to 1900, there have been a handful of times it went this long ... [...]

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Thursday Color - Morning Gap, Sector Breadth, Gold Breakout

2019-06-20 | Jason Goepfert


Here's what's piquing my interest as traders ramp up stocks prior to the open.Post-Meeting GapIn apparent reaction to yesterday's FOMC decision and statement, traders are bidding up the futures. This is quite a change from a few weeks ago when two out of every three days opened with a gap ... [...]

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Wednesday Color - Everything Rallies, Bond Flow and Vol, Within 1%, Energy, France

2019-06-19 | Jason Goepfert


Here's what's piquing my interest on this waiting-for-the-Fed day.Everything RalliesTuesday provided some interesting cross-currents, allowing assets to rise that normally provide some balance to each other. It was a bad day to be short pretty much anything - stocks, bonds, the dollar, gold, ... [...]

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Tight Range Following A Surge

2019-06-18 | Jason Goepfert


As noted by the Wall Street Journal, prior to today, the S&P 500 hadn't moved more than 0.5% for 6 straight sessions. What’s especially notable about this streak is that the calm is occurring after a storm of buying pressure. In the prior week, the S&P had enjoyed a surge of more than 5% during ... [...]

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The Most Split S&P 500 In History

2019-06-18 | Jason Goepfert


Split indexWith the recent surge in stocks, more than 20% of them in the S&P 500 hit a 52-week high. But the percentage of stocks mired in a bear market, or at least 20% off their highs, hasn’t come down by much.This leaves a split index, with a lot of stocks at either a new high, or in bear ... [...]

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Monday Color - Tiny Range, Options Traders, A Split S&P, Empire Fail

2019-06-17 | Jason Goepfert


Here's what's piquing my interest on what's likely to be several waiting-for-the-Fed days.No CommitmentThe WSJ notes that stocks have been stuck for the past week. The S&P 500 hasn't had a daily up or down move of more than 0.5% for what would be the 6th straight day, if today's meandering ... [...]

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Tuesday Color - Gaps Up, Bond Flow, Weird Volatility, Sector Highs

2019-06-11 | Jason Goepfert


Here's what's piquing my interest on another gap-up morning.Another GapNear the depths of pessimism a couple of weeks ago, we saw that traders were extremely anxious, pushing stock futures lower almost every morning. They've reversed the tide, now futures are gapping up every day.This will be ... [...]

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Wednesday Color - Gaps, Tuesday's Jump, Breadth Recovery, Bitcoin, Corn

2019-06-05 | Jason Goepfert


Here's what's piquing my interest so far this morning. When there's a large or notable gap I prefer to get these out early, even if today's looks to be fading as we head into the open.GappyStock futures are on track to show a relatively large positive gap up this morning as traders show some ... [...]

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From Risk-On To Risk-Off In Near-Record Time

2019-06-04 | Jason Goepfert


Risk-on to risk-off in a monthIn April, investors were showing extreme risk-on behavior, according to their eagerness to buy some markets over others. Barely a month later, that has cycled to extreme risk-off behavior.The first risk-off reading following risk-on behavior has usually led to a ... [...]

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Tuesday Color - Bond Volatility And Optimism, Gold, Flows, Tech Breadth

2019-06-04 | Jason Goepfert


Since we won't be publishing a Daily Report today, we're going to send this Premium Note to all members.This is similar to what's published most days around midday. It's essentially my notebook of things I'm looking at during the day, some of which make it into the Daily Report. There tends to ... [...]

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Friday Color - More Gaps, Peso, Outflows, Bond Binge

2019-05-31 | Jason Goepfert


Here's what's piquing my interest on yet another big gap down day.Gap ManAnother unexpected Tweet by the president pushed stocks lower immediately on Thursday and that anxiety has carried over into this morning. Stock futures are on track to gap down by more than 1%, the latest in a long string ... [...]

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Confidence Has Flipped From Dumb To Smart

2019-05-30 | Jason Goepfert


Confidence flipFor the first time in four months, Smart Money Confidence has moved above Dumb Money Confidence.Usually by the time the spread between them has flipped after several months, stocks were seeing the last bits of selling pressure.With one major exception, these were mostly good ... [...]

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Wednesday Color - Gaps, Confidence, Staples, May Loss, Options Fear

2019-05-29 | Jason Goepfert


Here's what's piquing my interest on another morning with a largish negative gap open.GapStocks are showing another large negative gap this morning, adding to what has been a near-record cluster of anxious openings. Forgetting the fact that this comes on the heels of that cluster, we can see ... [...]

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Tuesday Midday Color - Shanghai, , DAX, Bond Bulls, Euro Sentiment

2019-05-28 | Jason Goepfert


Here's what's piquing my interest so far today.5 StraightWe saw at the end of last week that the Dow Industrials had just suffered its 5th straight negative week, a rarely-seen bout of selling pressure given the index is so near its high.It's not the only index. The Shanghai Composite also ... [...]

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5 Weeks Of Losses - What's Next?

2019-05-28 | Jason Goepfert


Dow dingedThe Dow Industrials have lost ground for five straight weeks, its 2nd-worst stretch since the financial crisis and among its worst since 1900.It’s relatively unusual to see such a string of losses while relatively close to a 52-week high, and over the past 40 years that has led to ... [...]

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Friday Midday Color - Dow's 5th Loss, Energy Breadth, Utes, Social Negatives

2019-05-24 | Jason Goepfert


Here's what's piquing my interest approaching a long holiday weekend and buyers seemingly anxious to hold.LosingIf the Dow continues to slide and closes out its 5th-straight week with a loss, it will be the first time in 40 years it's lost so consistently while still hovering within 5% of its ... [...]

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Investors Are Leaving Early

2019-05-24 | Jason Goepfert


Leaving earlyWhen stocks fell more than 10% into mid-December last year, it was easy to forgive individual investors who turned negative. This week, they were almost as negative as they were then, despite the S&P being less than 2.5% off its high.Other times of premature negativity typically ... [...]

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Thursday Midday Color - Panic, Few Bulls, Asian Slide

2019-05-23 | Jason Goepfert


Here's what's piquing my interest so far on this increasingly ugly-looking day.More GapsThe anxiety surrounding trade worries is the reason most commonly given to traders' overnight anxiety. Whatever the reason, there is no question that they don't want to hang around for the opening of regular ... [...]

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5 Signs Of Anxiety

2019-05-21 | Jason Goepfert


Anxiety signalWhile stocks have struggled, bonds and the dollar have both been rising. Whether one is helping the other is beside the point – primarily it suggests nervousness on the part of investors.When those two markets have behaved like this over the past 40+ years, stocks have usually ... [...]

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Pre-Market Selling Panic

2019-05-20 | Jason Goepfert


Pre-market futures have been persistently negative over the past two weeks. On an absolutely level, it is nearing the worst of the financial crisis.On a relative level - compared to other pre-market moves over the past year - it has eclipsed most readings since the inception of the futures in ... [...]

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Monday Midday Color - Gaps Again, Sector Divvies, Flight To Safety

2019-05-20 | Jason Goepfert


Here's what's piquing my interest on yet another weak day so far.More PanicYet another gap down open this morning, as the weeks-long pattern of pre-market panic continues. We've already looked at this a few times, but there's perhaps a better way to consider this.The gaps we've been seeing at ... [...]

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Are You Panicking Like Everyone Else?

2019-05-20 | Jason Goepfert


Panic-level sellingWe’ve already touched on the persistent negative gaps traders have faced most mornings over the last couple of weeks. It’s worth noting again, because the gaps are now on par with panic-level conditions over the past 35 years.Other than 2008, future returns were excellent. ... [...]

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Thursday Midday Color - Gap Fills, Bull Drops, Social Pessimists

2019-05-16 | Jason Goepfert


Here's what's piquing my interest on this gap-fill day.ClosureBuyers stepped in big-time and have pushed stocks above where they were before the large gap down on Monday. This is a quick turnaround - it usually takes longer for SPY to close a downside gap that large.When it does so quickly, ... [...]

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Stocks Just Did Something They Haven't Done All Year

2019-05-14 | Jason Goepfert


Shock dayOver the past year, investors have grown accustomed to certain magnitudes of market movements, and Monday’s session was far outside the norm. More than 2.5 standard deviations from the norm, which could be considered a shocking day.When coming within a couple weeks of a multi-year high, ... [...]

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Tuesday Midday Color - More Gaps, Breadth (Down) Thrusts, Overseas Drops

2019-05-14 | Jason Goepfert


Here's what's piquing my interest so far today. It's not midday, but I prefer to get these out early if there are large gaps.ReliefStocks are on track to rebound strongly following Monday's bad loss. The futures are looking to gap up at least 0.5%, following a day when they gapped down more than ... [...]

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Monday Gap

2019-05-13 | Jason Goepfert


Markets are on edge after several bouts of political gamesmanship leading into the new week.The latest round, with China retaliating in the trade escalation, has furthered pressured U.S. equities.Most markets aren't open yet, but we can see the largest movers here.I'm not sure how much to read ... [...]

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Friday Midday Color - Pre-Market Fear, Failures, Overseas Extremes, Momentum Drops

2019-05-10 | Jason Goepfert


Here's what's piquing my interest so far on this edgy Friday.Pre-Market FearThe uncertainty surrounding the trade posturing has triggered quite a bit of nervousness ahead of regular trading hours. By 8:30am EST, futures have shown relatively large losses each of the past six days. During the ... [...]

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Wednesday Midday Color - Vol Surge, Dow Drops, Sector Extremes

2019-05-08 | Jason Goepfert


Here's what's piquing my interest so far on this meandering day.Vol SurgeThere are no shortage of measures which capture the big move on Tuesday. Perhaps because of the headline-driven nature of the decline, historical comparisons are less appropriate, but that seems to be the case ever time. ... [...]

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Tuesday Midday Color - Overseas Carnage, Sweet Sugar

2019-05-07 | Jason Goepfert


Here's what's piquing my interest so far this morning.We saw last week that selling impulses similar to what triggered then have tended to occur near major peaks in the Shanghai Composite. While there are some long-term positives associated with the kind of momentum move that index enjoyed off ... [...]

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Monday Midday Color - Gapped, Slapped, And Beaned

2019-05-06 | Jason Goepfert


Here's what's piquing my interest so far on this trying-to-recover day.GappyStocks suffered a rough open, which is not something we often see after being at or very near a 52-week high at the close of the previous session. Using the S&P 500 futures over the past 33 years, it has happened only ... [...]

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Wednesday Midday Color - Sagging Summation, Missing MoMo, Strategist Switch

2019-05-01 | Jason Goepfert


Here's what's piquing my interest as traders await the latest guidance from the Fed.Breadth ReviewUtilities have picked up again. Most of the breadth measures are meandering around neutral or slightly stretch. The big move yesterday, though, pushed nearly 60% of those stocks outside of their ... [...]

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A Shocking Volatility Twist With Recovering Financials

2019-05-01 | Jason Goepfert


Volatility twistOver the past month, volatility in big tech stocks has been lower than volatility in stocks specifically chosen because of their staid nature, according to Bloomberg data. Historical volatility on the Nasdaq 100 fell below that of the S&P 500 Low Volatility Index, a rare twist ... [...]

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Overplaying VIX-mageddon

2019-04-29 | Jason Goepfert


Traders have been shorting the heck out of volatility, and that's upsetting the contrarian in all of us. "Look out for a repeat of the VIX-mageddon!" from early last year, we're warned.That's probably being overplayed.There are a lot of reasons to be suspect about the sustainability of the ... [...]

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Does The Low Volume Really Matter?

2019-04-16 | Jason Goepfert


Low-volume rallyEach of the past three weeks has seen the S&P 500 inch ever closer to a new high. At the same time, investors have grown increasingly comfortable, as volume continues to decline and is now more than 10% below its yearly average.It’s entirely normal for volume to ratchet higher ... [...]

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Friday Midday Color

2019-03-29 | Jason Goepfert


Here's what's piquing my interest on what is yet another fade of early-morning strength.Mushed MetalOne of the most extreme moves this week has been in palladium, which knocked a quick 15% off its high. It's sometimes suggested as a leading indicator for stocks (some theory about it being an ... [...]

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Stocks, Bonds Rise As Volatility Diverges

2019-03-29 | Jason Goepfert


A balanced investor’s dreamThe S&P 500’s total return over the past three months is well over 10%. The total return in an aggregate bond index is up over 3% at the same time, a large move for that market.When both markets enjoyed such large total returns over a multi-month period, it tended to ... [...]

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Wednesday Midday Color

2019-03-27 | Jason Goepfert


Here's what's piquing my interest so far on this recovery day.Breadth MovesA somewhat swift dip in Swiss stocks moved the McClellan Oscillator below -90 for the SMI. Since that market's major low in 2011, readings like this in an uptrend have had a strong tendency to rebound. A caveat is that ... [...]

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Wednesday Midday Color

2019-03-20 | Jason Goepfert


Here's what's piquing my interest so far ahead of the FOMC craziness.Tweeps Loving ChinaSocial sentiment among Twitter users has become very optimistic over the past month. The 20-day average of Social Sentiment on FXI has dropped below 1, meaning that on an average day, there have been more ... [...]

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Breadth Momentum Crests As FX Volatility Plunges

2019-03-19 | Jason Goepfert


Breadth surge has crestedAfter seeing a historic run in the momentum of stocks’ underlying breadth in January and February, indicators are showing diverging trends. That’s to be expected after readings like January’s, and historically these “negative divergences” haven’t been so negative. Over ... [...]

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Wednesday Midday Color

2019-03-06 | Jason Goepfert


Here's what's piquing my interest so far on this weak day.Ebbing MomentumThe S&P 500 has finally closed below its 10-day moving average for the first time in at least 40 sessions. That's one of its most persistent short-term trends since 1928.At the same time, it has flattened out. Over the past ... [...]

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Options Bulls Return As Investors Get Whipsawed

2019-03-05 | Jason Goepfert


Options bulls returnThe smallest of options traders spent nearly 60% of their volume last week on bullish strategies, either buying call options or selling puts to open. That’s among the most aggressive bullishness using real money since the financial crisis.There were some weeks that showed ... [...]

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Monday Midday Color

2019-03-04 | Jason Goepfert


Here's what's piquing my interest so far today.ReversalPretty nasty-looking outside reversal in indexes and funds like SPY today. But...be careful. These have a terrible habit of not working like chartists insist they should. Following is every time SPY gapped up above the highest close in the ... [...]

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Friday Midday Color

2019-03-01 | Jason Goepfert


Here's what's piquing my interest so far today.MomentumThe level of breadth momentum across markets, index, and sectors is staggering. It has been so forceful and sustained that the McClellan Summation Indexes for several sectors are nearing multi-decade or all-time extremes. While often a good ... [...]

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Thursday Midday Color

2019-02-28 | Jason Goepfert


Here's what's piquing my interest so far today.SlickThe WSJ notes that it's not only stocks enjoying a good start to the year. For oil, it's the best-ever, unless it takes a massive hit today. With a gain through yesterday of more than 25%, it's by far the best YTD return through February since ... [...]

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No Volatility As Utilities' Breadth Impresses

2019-02-26 | Jason Goepfert


No volatilityVolatility expectations across assets have plunged. The VIX and its related measures for stocks, bonds, oil, gold, and bonds is hovering near multi-year or even multi-decade lows.Since 1990, it has been unusual to see the “volatility of everything” collapse at the same time, and it ... [...]

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Monday Midday Color

2019-02-25 | Jason Goepfert


Here's what's piquing my interest so far today.As noted by Bloomberg, volume in Chinese A-shares spiked on the President Trump's optimistic trade tweets. Unlike most other markets, volume in Chinese shares tends to spike on rallies, not declines. Today's volume was 8 standard deviations above ... [...]

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Nasdaq Hugs Its Average As Volatility Recede Despite Recession Risk

2019-02-25 | Jason Goepfert


A tight hugThe Nasdaq Composite has hugged its 200-day average for more than a week.Bulls and bears could both make an argument for what that might mean, but since 1971 the Nasdaq has powered higher in the longer-term when it showed this kind of indecision around the widely-watched metric, ... [...]

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Calm Conditions Reign As Economic Reports Stink

2019-02-22 | Jason Goepfert


Calm againOptions traders are once again pricing in a narrow trading range for the S&P 500 in the month(s) ahead. The VIX has declined sharply and is below 15 for the first time in almost 90 days.The ends of other long streaks above 15 have led to a rise in the VIX every time, along with Low ... [...]

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VIX Drops Below 15

2019-02-21 | Jason Goepfert


For the first time in several months, the VIX "fear gauge" has declined below 15. We can see from the tables below that the ends of long streaks above 15 have had a strong tendency to lead to higher volatility in the month(s) ahead.While that does not mean it has been a good time for volatility ... [...]

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Thursday Midday Color

2019-02-21 | Jason Goepfert


Here's what's piquing my interest so far today.The VIX closed under 15 for the first time in months on Wednesday. That has rarely led to further losses over the next several weeks.Ignore the latest date on the tables, it should read “2019-02-15”. The rising volatility didn’t necessarily ... [...]

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Jobless Claims Hit 52-Week High As High Beta Shows Relative Struggles

2019-02-15 | Jason Goepfert


Climbing claimsA 4-week average of jobless claims hit a 52-week high this week, triggering an increase in the probability of recession.Other times that claims cycled from a 52-week low to a 52-week high since 1967, there was a headwind for stocks and tailwind for bonds, especially over the next ... [...]

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Fear Is Slipping As Moving Averages Show Extreme

2019-02-07 | Jason Goepfert


Fear is slippingEven while the S&P 500 remains below its 200-day average, the VIX has slipped to a multi-month low and is well below its long-term average of 20.This has consistently led to trouble over the short- to medium-term as the ebbing of concern showed that investors were too quick to ... [...]

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VIX Sinks To Multi-Month Low In Downtrend

2019-02-06 | Jason Goepfert


The VIX "fear gauge" has been steadily slinking lower, picking up its pace lately - nearly enough to close below its lower Bollinger Band. In the process, it has dropped to a multi-month low, even though the S&P 500 remains (barely) below its 200-day average.That 200-day filter is important, ... [...]

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High Correlation Among Assets

2019-01-23 | Jason Goepfert


Over the past couple of months, the correlation between assets domestic and overseas has spiked. The S&P 500 has had a 50-day rolling correlation above 0.8 (on a scale from -1.0 to +1.0) to 10-year Treasury yields, commodities, and world stocks. As noted by the Wall Street Journal, spikes in ... [...]

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Sentiment Cycle; Ending The Correction

2019-01-11 | Jason Goepfert


This is an abridged version of our Daily Report.Sentiment cycleDecades ago, Justin Mamis outlined an ideal Sentiment Cycle from greed to fear and back again. Quite a few cycles since then have adhered closely to the ideal.According to a Twitter poll by the well-respected Helene Meisler, most ... [...]

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Best-Ever Retracement; VIX Is Awfully Low

2019-01-10 | Jason Goepfert


This is an abridged version of our Daily Report.Best-ever retracementTwo weeks into a recovery from a major decline, the S&P 500 has made back more than 40% of its losses. If we go back to 1928 and look at every time the S&P declined more than 15% from a multi-year high within a year’s time, ... [...]

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New Low Decline As An "All-Clear"; Junk Bond Surge

2019-01-09 | Jason Goepfert


This is an abridged version of our Daily Report.All is not clearIn December, more than 40% of securities hit a 52-week low. That has since collapsed to fewer than 0.4% of issues, the 2nd fastest and most dramatic reversal in history.If we relax the thresholds, using more than 30% new lows as the ... [...]

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Zweig Breadth Thrust; Strategists vs Analysts

2019-01-08 | Jason Goepfert


This is an abridged version of our Daily Report.TriggeredThis time is different. When we look at the declines and attempted recoveries since the trouble started in October, what has transpired since mid- to late December is markedly different than the ones that failed. This push off the lows has ... [...]

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Newsletters Throw In The Towel; Record Reversals

2019-01-03 | Jason Goepfert


This is an abridged version of our Daily Report.Throwing in the towelOver the past decade, it has taken some severe moves in stocks, in a very short amount of time, to shake optimism among newsletter writers. That’s what happened now, with a near-record drop in sentiment. For the first time in ... [...]

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Starting The Year Off Wrong

2019-01-02 | Jason Goepfert


As traders return from what for most was a week away, equity futures are getting hit hard. If they stay around here, it will be the worst open following a holiday since 2016. There have been 4 others with at least a 1% opening loss since the 2009 bottom.There hasn't been a very good record at ... [...]

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Newsletters Are Shorting; Breadth Swings; No Highs; Big Outflow; Buying Stampede

2018-12-28 | Jason Goepfert


This is an abridged version of our Daily Report.Get shortyWhile individual investors in the AAII survey became pessimistic a week ago, this week there were more than 50% bears in the survey for the first time in 5 years. That has made a different in other surveys, too. According to one measure ... [...]

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Swift, Severe Decline; Up Volume Thrust; Low TRIN

2018-12-27 | Jason Goepfert


This is an abridged version of our Daily Report.Stocks just suffered one of the largest, swiftest pullbacks in 70 yearsThe S&P suffered a 17% loss in less than four months.That’s unnerving but is not the kind of decline that happens before or during economic recessions. They are mostly ... [...]

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A Pre-Holiday Review

2018-12-24 | Jason Goepfert


The release of some of the weekly data we follow has confirmed just how extreme last week’s activity moved sentiment. I will be travelling for the holiday, so no end-of-day report will be published.One of the most reliable gauges we have is showing an extreme like we’ve rarely seen. When we ... [...]

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New Low Spike; Heavy Selling Cluster

2018-12-20 | Jason Goepfert


As we head into the close on yet another dreadful day for stocks, along with almost everything else, there are a few things that are worth noting.Most importantly, there is clear evidence of wholesale selling on a level we rarely see. Since 1984, as far back as we can go, there have been only 8 ... [...]

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Equity Risk Premium Collapses; A Day Of Notable Moves; VIX Not Jumping

2018-12-20 | Jason Goepfert


This is an abridged version of our Daily Report.Equity premium collapsesThe premium that investors are willing to pay for stocks’ earnings has collapsed relative to the yield available on bonds. The one-year z-score of the Equity Risk Premium is now 4 standard deviations below average, a ... [...]

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Long-Term Bears; Russell 2000 Bear Market; S&P Drops On Friday/Monday; Spike In 52-Week Lows

2018-12-18 | Jason Goepfert


This is an abridged version of our Daily Report.Long-term bearsBuilding on what we looked at last week, we take a longer-term, multi-year look at prior bear markets, including their median loss and standard deviations. We also look at returns following major peaks in Consumer Confidence.The ... [...]

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Investors Flee Equities; Highly-Correlated Declines; December Selling

2018-12-17 | Jason Goepfert


This is an abridged version of our Daily Report.Leaving en masseInvestors yanked $46 billion from equity funds this week. Even accounting for the usually mid-December outflow, as a percentage of total fund assets, this is the largest outflow in at least 15 years.After the other weeks when there ... [...]

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Volatility Regime Change; More New Lows

2018-12-07 | Jason Goepfert


This is an abridged version of our Daily Report.Regime changeStocks have swung more than 1.5 standard deviations on more than half the days during the past two months. That’s a big change from September when it happened only once. When stocks change from a low-volatility regime to a high one, it ... [...]

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Follow-On Selling

2018-12-06 | Jason Goepfert


More concerns about the efficacy of trade talks are the consensus excuse for why futures are showing a large loss this morning. Whatever the actual reason(s), we're seeing a rare one-two punch.The last times the S&P 500 cash index lost at least 3% then the futures market gapped down more than 1% ... [...]

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Yield Curve Inversion; Intense Selling; November Flows

2018-12-05 | Jason Goepfert


This is an abridged version of our Daily Report.Upside downThe yields on 2- and 3-year Treasuries are now higher than 5-year maturities, an inversion of the short end of the yield curve.This tends to precede an inversion of the more common 2-year vs 10-year yields. But there has been a long lead ... [...]

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Largest Gap Since '11; Presidential Services

2018-12-03 | Jason Goepfert


Most of the time, participants have no idea why markets move. Reasons are given during and after the fact, but they're just guesses that sound good, really.A handful of times each year, though, the reasons are clear. Based on the way markets have been trading in recent weeks and the reaction ... [...]

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Sentiment vs Earnings; Massive Buy Programs

2018-11-29 | Jason Goepfert


This is an abridged version of our Daily Report.Sentiment vs earningsThe S&P 500’s flat return in 2018 so far has been due to the growth in earnings being offset by a drop in sentiment. The price/earnings ratio for the index has declined about as much as earnings have grown, like 2011.Other ... [...]

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Mexican Stock Collapse; Small Traders Load Up On Puts

2018-11-28 | Jason Goepfert


This is an abridged version of our Daily Report.Heavy selling south of the borderMexican stocks have dropped 30% from their highs in US dollars and 20% in pesos.This has nothing to do with the politics of the new administration, which admittedly is a big omit. In emerging markets, new ruling ... [...]

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Low Volatility Beats High Beta; Worst-Case Corrections; Bad BID

2018-11-27 | Jason Goepfert


This is an abridged version of our Daily Report.Rush to safetyInvestors have moved into “safe” low-volatility stocks at the expense of “risky” high-beta ones. The ratio between the two just hit a two-year high, which has preceded some trouble for stocks over the shorter-term.Over the ... [...]

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Thanksgiving Selling; Heavy Pessimism; Monday Gaps

2018-11-26 | Jason Goepfert


There certainly wasn't much of the typical pre-holiday buoyancy in markets last week. Bucking the traditionally positive, low-volatility holiday trading, markets got hit hard, particularly the stock market.That left the S&P 500 at a 6-month low the day after Thanksgiving, which has never ... [...]

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Nasdaq's Plunge

2018-11-20 | Jason Goepfert


I am out of the office this week, however there have been a lot of questions about the Nasdaq's plunge on Monday. So let's look at its decline from a few different perspectives to see if Monday might be a precursor to something worse, of if there are compelling signs that it was exhaustive ... [...]

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Crude Collapse

2018-11-14 | Jason Goepfert


This is an abridged version of our Daily Report.A crude monthCrude oil has suffered one of its most epic collapses in 30 years and is the most oversold ever. It has lost a quarter of its value from a 52-week high in only 30 days, one of the fastest drops ever. And its Relative Strength Index has ... [...]

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Bear Market In Stocks; Small-Cap Stumbles

2018-11-12 | Jason Goepfert


This is an abridged version of our Daily Report.A bear market in stocksWhile the major indexes are far from a 20% decline, many S&P 500 components have declined more. At the depths of the decline in October, more than 40% of the S&P reached bear market territory.That often served as a low point ... [...]

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No Capitulation; No Breadth Thrust

2018-11-02 | Jason Goepfert


This is an abridged version of our Daily Report.No capitulationThe VIX “fear gauge” never really spiked during the October pullback, suggesting no capitulation from investors.That’s not really true, and it doesn’t matter for forward returns. History is riddled with bottoms that weren’t ... [...]

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A Bad Month; Wide Confidence Spread

2018-11-01 | Jason Goepfert


This is an abridged version of our Daily Report.A bad monthThe S&P suffered 16 negative days in October, tied for 3rd worst since 1928 and the most since 1970.The pressure was enough to trigger a sell signal for a popular trend-following strategy, with a close below its 10-month average, that ... [...]

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Unshakable Confidence; Immense Last-Hour Selling Pressure

2018-10-31 | Jason Goepfert


This is an abridged version of our Daily Report.UnshakableConsumer Confidence rose in October despite a bad month for stocks. The S&P dropped more than 5%, and not only did Confidence hit more than a 1-year high, it’s well over 100. Forward returns here were decent in the medium- to long-term, ... [...]

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Massive Sell Programs; Hard, Fast Pullback, Near-Record Negative Momentum

2018-10-30 | Jason Goepfert


This is an abridged version of our Daily Report.Everybody outDuring the past 3 weeks, we’ve seen a near-record amount of sell programs at some point during the trading day.The lowest NYSE TICK during that stretch is now the 2nd most extreme in history, with an average of more than a net 40% of ... [...]

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A Non-Recessionary Correction; The Trend Is No Longer Your Friend

2018-10-29 | Jason Goepfert


This is an abridged version of our Daily Report.Non-recessionary pullbackMost recession models show a low probability of an imminent economic recession. If we use a simple, non-optimized, real-time model, it’s currently showing 0% probability.In that kind of environment, 10% pullbacks in stocks ... [...]

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A Volatile Two Weeks; S&P's Double-Dip Pullback

2018-10-26 | Jason Goepfert


This is an abridged version of our Daily Report.Swing timeStocks have swung by +/- 1.5 standard deviations most of the past 12 sessions. At least 3 of them were to the upside and 3 to the downside.There is a market cliché stating that bull markets become more volatile as they peak and head into ... [...]

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Markets (Usually) Don't Bottom On Friday

2018-10-26 | Jason Goepfert


For the second time in only a few days, traders are looking at another large gap down to start the day, with S&P 500 futures indicated down by more than 1%.It's easy to forget, but we've seen this kind of large losses at multi-month lows five other times since the bottom in 2009. Other that ... [...]

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Stocks, Sectors In Correction; Nasdaq's Bad Day; S&P Negative YTD; Spike In Pessimism

2018-10-25 | Jason Goepfert


This is an abridged version of our Daily Report.Stocks in correctionThe S&P still hasn’t suffered a correction, if we define it by a 10% decline from a 52-week high. With the severe loss on Wednesday, it has just barely missed the cut. Most of its stocks haven’t been so fortunate, however. With ... [...]

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Major Reversal; Jump In New Lows; Dumb Money Purge

2018-10-24 | Jason Goepfert


After the big reversal on Tuesday, futures were indicated to gap lower again on Wednesday. In the history of the S&P 500 futures, that had led to rebounds over the next several sessions every time.As it stands now, futures have recovered, which dampens the short-term outlook quite a bit. ... [...]

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Gap To New Low

2018-10-23 | Jason Goepfert


I mentioned yesterday that I may be out of the office today to join a last-ditch call for the search for Jayme Closs. Having a daughter the same age and growing up in the same area, it hits close to home.Markets aren't making that easy, with futures indicated to gap down to new lows. For the S&P ... [...]

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China Loses 30%, Suffers Bad Day At A Low, World Stocks' Failed Bounce

2018-10-19 | Jason Goepfert


This is an abridged version of our Daily Report.China losses exceed 30%The Shanghai Composite is now down 30% from its recent high.That worries some U.S. investors concerned about contagion, but losses this large didn’t usually bleed over.Bad days and new lowsThe Shanghai Composite’s drop of ... [...]

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Correcting Oversold; Quick Change In Character; Every Dow Stock Rises

2018-10-17 | Jason Goepfert


This is an abridged version of our Daily Report.Correcting oversoldThe McClellan Oscillator has gone from extremely oversold to neutral. It was below -90 just a few days ago and is now up to -10.Such a rapid change in character has been a good sign during uptrends, and that context was important ... [...]

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Quick Change In Character; Smart Money Steps In; Emerging Stocks Rebound

2018-10-15 | Jason Goepfert


This is an abridged version of our Daily Report.A quick change in characterThe S&P went from 52-week high to below its 200-day average in only 3 weeks. That ended a streak of more than six months above its 200-day average. Other times it underwent a quick change in character, from a 52-week high ... [...]

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Hedging Explodes; Average Days Before Bottoming

2018-10-15 | Jason Goepfert


The most difficult part of any decline is determining if the decline was enough to satisfy what had been negative conditions prior to the losses, and whether the probabilities favor a v-shaped bounce or a more sustained testing phase.There were plenty of extremes generated last week, made even ... [...]

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Index Corrections As Panic Spreads

2018-10-12 | Jason Goepfert


This is an abridged version of our Daily Report.CorrectionsAfter ending long streaks in uptrends, the Russell and Nasdaq fell into corrections. That has typically led to a poor risk/reward in the months ahead for both.PanicThe selling pressure on Thursday generated at least a couple readings of ... [...]

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Crap And Gap

2018-10-12 | Jason Goepfert


Whenever there is volatility like that past two days, it's easy to pick and choose from a number of different extremes. There are so many that one can find something, anything, to support their view of either a bounce or more selling pressure.The majority of what we looked at was inconclusive. ... [...]

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Streaks End As Concern Rises

2018-10-11 | Jason Goepfert


This is an abridged version of our Daily Report.Streaks end as concern risesMajor indexes ended some notable streaks, which were nearing record lengths. The S&P 500 ended months without a 1% move by tripling that to the downside. The Russell 2000 and Nasdaq Composite both ended long periods ... [...]

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A Little Panicky

2018-10-11 | Jason Goepfert


With a failed bounce attempt intraday, we're starting to register a few more signs of notable pessimism or even outright panic. It's understandable, since this would be one of the few times in modern markets when the S&P 500 suffered back-to-back 2% losses during a generally uptrending market.As ... [...]

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Follow-Through Selling

2018-10-11 | Jason Goepfert


With futures indicated to open lower following yesterday's pummeling, let's take a look at behavior following similar sell-offs that bled over to the next morning.Pre-market trading has the reputation of being emotional, with large gaps being driven by knee-jerk reactions to hyperbolic media ... [...]

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Just A Whiff Of Panic As Streaks End

2018-10-10 | Jason Goepfert


As stocks continue to follow though on the negative conditions that had been building for the past few weeks, we're starting to see the very beginning signs of pessimism, or even outright panic.Volume in inverse ETFs is on track to exceed 1.2% of total NYSE volume, which (if it holds into the ... [...]

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Cash Is Trash As S&P Ends 50-Year Streak

2018-10-05 | Jason Goepfert


This is an abridged version of our Daily Report.Cash is still trashMutual fund managers have refused to raise cash balances, despite rising yields on those balances. The latest monthly data shows that they’re holding only 3% of assets in cash, among the lowest in history.Adjusting for rising ... [...]

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Mid And Small Cap Stocks Diverge At Highs As Emerging Market Volatility Soars

2018-08-09 | Jason Goepfert


This is an abridged version of our Daily Report.About those new highsMid and Small Cap indexes are hitting new 52-week highs, leading the Large Cap S&P 500 index as we saw on Tuesday. But fewer of those mid- and small-cap stocks in the indexes are also reaching 52-week highs.Similar divergences ... [...]

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Mid And Small Caps Break Out As Financial Conditions Ease Amid VIX Decline

2018-08-08 | Jason Goepfert


This is an abridged version of our Daily Report.Large caps lag mids and smallsThe S&P Mid Cap and Small Cap indexes have hit new 52-week highs this week while the large-cap S&P 500 still has not.The lagging S&P 500 tends to catch up, with all three indexes usually rallying in the months ... [...]

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Leaders Become Laggards As Traders Bet On Volatility

2018-08-01 | Jason Goepfert


This is an abridged version of our Daily Report.Leaders become laggardsThe Nasdaq Composite and Russell 2000 have lost their 50-day averages after months above, a change from June when both were leading the market. Even with the S&P 500 and Dow Industrials above their averages, future returns ... [...]

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Low Asset Volatility As Gold Nears Correction

2018-07-19 | Jason Goepfert


This is an abridged version of our Daily Report.Not much movementVolatility in stocks, bonds, and currencies is among the lowest in 25 years.All three have declined over the past month and collapsed since February. The few other similar periods led to gains in stocks, gold, while the dollar ... [...]

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Nasdaq's Record Reversal As Black Swans Go On Sale And Yields Rise

2018-07-18 | Jason Goepfert


This is an abridged version of our Daily Report.A record reversalThe Nasdaq 100 fund has never enjoyed as large a recovery as it had on Tuesday. The QQQ fund opened Tuesday’s trading down more than 1%, then reversed to close at a 52-week high, something it’s never done before. The underlying ... [...]

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Nasdaq Stocks Lag While Emerging Market Nerves Hit High

2018-07-17 | Jason Goepfert


This is an abridged version of our Daily Report.Some lag during latest legThe Nasdaq Composite closed at a 52-week high on Friday but relatively few stocks have come along, with fewer than 60% of members trading above their 50- and 200-day averages.The one-year return in the Nasdaq averaged ... [...]

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Stocks Are Stuck As Turnover Explodes

2018-07-06 | Jason Goepfert


This is an abridged version of our Daily Report.Stuck exactly in the middleThe S&P ended its first half stuck exactly at the midpoint of its year-to-date high and low.It’s more typical for stocks to be near the upper or lower end of their range by mid-year. Similar years led to weak returns over ... [...]

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Euro Death Cross As Down Days Swamp Up Days, Staples Stabilize

2018-06-11 | Jason Goepfert


This is an abridged version of our Daily Report.Euro Death CrossFor more than a year, the euro’s 50-day average has been above its 200-day average.That trend has now ended, after one of the longest streaks in the currency’s history. The end to other long streaks led to further weakness in the ... [...]

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Lots Of Up Days Without Much Impact As Dollar Hits Overbought And VIX Spikes

2018-05-30 | Jason Goepfert


This is an abridged version of our Daily Report.All icing, no cakeThe S&P showed a gain on 57 out of the first 100 days this year, one of its best “first 100 days” ever.Even so, it showed a meager year-to-date gain, suggesting that all those up days didn’t pack much punch. Similar years led to ... [...]

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Energy ETF Traders Rush In As Animal Spirit Indicator Hits A High

2018-05-23 | Jason Goepfert


This is an abridged version of our Daily Report.ETF traders rush into EnergyAssets in the primary ETFs focused on the Energy sector have reached $32 billion, a new all-time high. That’s up 20% in just 30 days, among the most rapid increases since at least 2010.Similar surges led to declines for ... [...]

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Transports Shrug Off Oil As Smart Money Bets On VIX

2018-05-22 | Jason Goepfert


This is an abridged version of our Daily Report.Transports shrug off oil’s riseThe Dow Transports have rallied strongly over the past 30 days even as oil jumped twice as much.Transports have rallied enough to close at a multi-month high. When the sector has shrugged off surging oil prices ... [...]

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Energy Stocks Hit New Highs As Volatility Traders Pile In

2018-05-21 | Jason Goepfert


This is an abridged version of our Daily Report.Energy stocks enjoying new highsMore than 40% of stocks in the S&P 500 Energy sector have reached a 52-week high.That’s the most in more than a year and has preceded declines in the sector in recent years.ETF traders bet on a spike in ... [...]

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Small Caps Shine As Financial Conditions Tighten And VIX Drops

2018-05-10 | Jason Goepfert


This is an abridged version of our Daily Report.Small caps trying to drag us higherThe small-cap Russell 2000 is within 1% of an all-time high, while the S&P 500 is still more than 5% below.That’s usually taken as a universally good sign for stocks in general. It hasn’t been that easy, ... [...]

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Back Above A Technical Level As Volatility Drops And A/D Line Hits A High

2018-04-18 | Jason Goepfert


This is an abridged version of our Daily Report.Indexes reclaim technical levelsAccording to media reports, Tuesday’s jump in the Dow and S&P above their 50-day averages was important. The Dow does tend to have markedly better annualized returns when trading above its average.But as an all-clear ... [...]

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Newsletter Optimism Ebbs As Gaps Pile Up

2018-04-12 | Jason Goepfert


This is an abridged version of our Daily Report.Ebbing optimismNewsletter writers have continued to pull back their stock market expectations. The Investor’s Intelligence Bull Ratio is now below 70% for the first time in more than six months.Other times a long streak of optimism ended, stocks ... [...]

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Yet Another Big Gap As Market Tries To Thrust And MLPs Rally

2018-04-11 | Jason Goepfert


Yet another large gap down this morning as traders grapple with what seem like potential game-changers in terms of geopolitics. For the S&P 500 futures, this will mark the 6th time in 7 days that futures have opened at least 0.5% away from the prior close. We saw that kind of emotional ... [...]

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All Or Nothing As Every Financial And Dow Stock Declines

2018-04-09 | Jason Goepfert


This is an abridged version of our Daily Report.All or nothingIn the past 11 sessions, there have been 8 all-or-nothing days, when Up Volume was above 80% or below 20%.Even bear markets rarely see this level of uncertainty. Forward returns had a strong tendency to be positive, especially over ... [...]

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Historic Volatility As Investors Flee Funds

2018-04-05 | Jason Goepfert


This is an abridged version of our Daily Report.A historic couple of weeksStocks have swung more than 1% almost every day for the past two weeks. Even during bear markets, investors have rarely suffered through such dramatic clusters of daily swings.Forward returns after such high volatility ... [...]

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Big Stock Swings As Consumers Retrench

2018-03-28 | Jason Goepfert


This is an abridged version of our Daily Report.Big swinging ticksThe past four days have seen stocks swing with heavy positive and negative ticks, gyrating near a multi-month low. We haven’t seen that since 2011, and normally only in bear markets. Since 1950, such persistent wild swings have ... [...]

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Major Volatility As Gold/Silver Ratio Climbs

2018-03-27 | Jason Goepfert


This is an abridged version of our Daily Report.A correction-enderMonday’s reversal completely erased the losses from Friday, marking the third day in a row with a 2% move.Coming after pullbacks in bull markets, sessions like Monday tended to lead to more gains in the medium-term. The last three ... [...]

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VIX Jumps 20% Again As Rates Lose 50-Day

2018-03-23 | Jason Goepfert


This is an abridged version of our Daily Report.A questionable precedentA month ago, we saw that after a 10% decline, the Dow Industrials was most closely tracking “good” corrections. That has started to change in recent sessions, and now the closest precedent is from November 2007.Double ... [...]

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SPY's Red Monday Leaves An Island And Death Crosses

2018-03-20 | Jason Goepfert


This is an abridged version of our Daily Report.A red bull market MondayBull markets sometimes suffer heavy selling following weekend news events, but even so, Monday was severe. It ranked in the bottom 3.5% of all bull market Monday’s since the inception of the popular SPY fund.Other times it ... [...]

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Elevated Volatility As Bond Investors Pay Up

2018-03-07 | Jason Goepfert


This is an abridged version of our Daily Report.Well above averageVolatility expectations via the VXO (old VIX) have been more than 1 standard deviation above average for 30 straight days.That ranks as the 12th longest streak in 30 years and 3rd longest since the 2009 bottom. Stocks did well ... [...]

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Volatility Regime Change As Utilities Try

2018-03-06 | Jason Goepfert


This is an abridged version of our Daily Report.Regime changeAfter going more than 400 days without a major cluster of volatility, stocks have moved 1% most of the past 30 days.That is commonly believed to suggest a trend change but has not been consistent. It was especially bullish when we saw ... [...]

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Large Losses As Volatility Ebbs Amid ETF Outflow

2018-03-05 | Jason Goepfert


This is an abridged version of our Daily Report.A scary beginningBefore Friday’s open, stocks were facing another large loss, following three days of 1% declines. That has led to consistent rallies over the short-term, especially if measured from Friday’s open.We’ve seen this volatility show ... [...]

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Historic Pace Of Selling

2018-03-02 | Jason Goepfert


Just a quick note due to recent volatility in the stock index futures. The S&P 500 is currently indicated to gap down at the open by nearly 1%, which comes on the heels of 3 straight 1% closing losses.This kind of emotional selling pressure is extraordinarily rare, even during the worst of the ... [...]

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VIX Panic Subsides As Smart - Dumb Spread Widens

2018-02-21 | Jason Goepfert


This is an abridged version of our Daily Report.Buy the panic, or waitBuying into a panic is hard, and much advice suggests waiting until the panic has subsided.Looking at large spikes in the VIX “fear gauge”, we look at returns following the initial spike versus waiting. Buying into the panic ... [...]

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S&P Jumps Multiple Days As Volatility Halves

2018-02-15 | Jason Goepfert


This is an abridged version of our Daily Report.What a difference a week makesThe S&P 500 has jumped more than 1% on 3 out of the past 4 sessions. That buying thrust comes on the heels of a multi-month low during a bullish long-term trend.Future shorter-term returns were skewed positive, a stark ... [...]

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Panic And Reverse

2018-02-07 | Jason Goepfert


This is an abridged version of our Daily Report.Panic and reverseStocks suffered a panic day on Monday, then reversed early losses to close higher. That matches several other instances that led to consistent returns going forward.There was volatile back-and-forth then another run at the prior ... [...]

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Unfolding Momentum

2018-02-06 | Jason Goepfert


This is an abridged version of our Daily Report.CrashMonday’s trading – and post-close moves – are the types of action only seen a few times in history. Large, swift declines from a high have tended to lead to capitulatory moves that lead to rebounds in the medium-term. The possible liquidation ... [...]

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Easy Conditions As Traders Short More VIX

2018-02-02 | Jason Goepfert


This is an abridged version of our Daily Report.Easy conditionsA major measure of national financial conditions just reached a historic level of easiness because “it’s all good.”This is despite a sharp jump in interest rates, which is peculiar behavior. That seems like it should be a good sign, ... [...]

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Fund Managers Ignore Cash As Streaks End

2018-01-31 | Jason Goepfert


This is an abridged version of our Daily Report.Fund managers still hate cashMutual fund managers are holding a near-record low amount of cash according to the latest figures. That was easier to justify when interest rates were nearly zero but gets harder as rates rise.Their cash deficit is now ... [...]

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Persistent Trend As Stocks Become Stretched

2018-01-12 | Jason Goepfert


This is an abridged version of our Daily Report.The most persistent trendThe persistence of the S&P’s uptrend over the past year is among the highest in its history. Same goes for the past 3, 5, and 10 years.When we look at the 5 comparable trends, using the 200-day average as a guide was ... [...]

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January's Prediction Record, Soaring Materials And The "Not Too Hot" Streak

2018-01-08 | Jason Goepfert


This is an abridged version of our Daily Report.So goes January…or AugustA popular rule of thumb suggests that how stocks start a New Year means something for the full year. It correctly predicts the return over the next year about 60% of the time.That’s likely a statistical fluke, and other ... [...]

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Options Worries As Energy Breadth Surges

2017-12-28 | Jason Goepfert


This is an abridged version of our Daily Report.Trouble signs from the options marketTraders in VIX options appear to be betting on a spike, and they’re usually right. The few other times the options market was set up like this, volatility spiked.Meanwhile, traders in SPY options have been busy ... [...]

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Sector Correlations; Volatility Flows, Small-Cap Selling

2017-12-07 | Jason Goepfert


This is an abridged version of our Daily Report.  Sector correlations near all-time lowOver the past 3 months, the average correlation of each of the 10 major sectors to the S&P 500 has plunged to the 2nd-lowest level in history.The only time sectors moved more independently than now was in the ... [...]

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Straddling The S&P

2017-10-17 | Jason Goepfert


With yet another day of almost no volatility, signs are piling up that things are about to change. The caveat here, of course, is that the signs piled up several times before, and we either got a limp response or none at all.Among these signs, we're seeing that "smart money" hedgers are net long ... [...]

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VIX Split

2017-06-28 | Jason Goepfert


Several times over the past five years, we've taken a look at times when fund sponsors split the shares of their leveraged and/or inverse ETFs. When it occurs in clusters, or happens to some of the largest funds, it has been an excellent contrary indicator.So it was interesting that ProShares ... [...]

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Low Vol (Again) As Tech Love Rises

2017-05-23 | Jason Goepfert


Stocks are struggling to hold modest gains. Ranges are contracting and volume is sagging. Same as yesterday - historically, this has been a negative pattern for future short-term returns, but it's hard to know just how much we can rely on these given this: Low Vol, AgainBloomberg is out with an ... [...]

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Retail Investor Confusion As The Vol Trade And Bitcoin Roll

2017-05-22 | Jason Goepfert


Stocks are recording another up day, on lower volume and with a smaller range. Maybe all of the quant folks have made patterns like this useless - they have certainly seemed to lose some effectiveness in recent years - but this is a classic rebound pattern from a large loss. Historically, there ... [...]

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First Large Down Open

2017-03-27 | Jason Goepfert


The prolonged period of low volatility ended last week, which we took a look at a couple of times last week. Now we're looking at a large gap down in the S&P 500 futures, which hasn't happened since November 9 (and June 24 prior to that).Let's take a look at other times the futures finally had a ... [...]

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Quiet Market No More

2017-03-01 | Jason Goepfert


As the rally not only holds but builds during the day, and with the recent pattern of closing at or near the high of the day, it looks like stocks will finally break the streak of more than 50 days without a 1% move, up or down.We've looked at streaks like this before, with mixed returns going ... [...]

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Traders Bet On A Lower VIX

2016-11-03 | Jason Goepfert


In the October 24 report, we noted that traders had moved into exchange-traded products that bet on a higher VIX in a big way, and they cashed in their bets on a lower VIX.These have been smart-money traders over the past several years, with an almost perfect record, so it was a sign that ... [...]

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Reversal Day As A Bottoming Signal

2016-10-13 | Jason Goepfert


After what looked like an ugly morning, with stocks breaking down to multi-month lows, enough buying pressure has come in to push indexes like the S&P 500 above their opening prices, carving out a reversal day (so far).We've looked at reversal days many times in the past, with the conclusion ... [...]

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Streak Without A 1% Loss About To End?

2016-09-09 | Jason Goepfert


For the first time in months, the S&P 500 is in danger of suffering a 1% daily loss. It would mark the first time since June 27 it had done so.The streak of 50+ days is one of the longest in the last 20 years.Let's go back to 1928 and look for every time the index lasted at least 50 days without ... [...]

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VIX-Bashing As A Contrary Indicator

2016-08-09 | Jason Goepfert


Mark Hulbert, a columnist for Marketwatch, is out with another article about how a low level of the VIX simply does not matter for stocks, and it's certainly not a reason to sell.Mr. Hulbert has been following newsletters for decades, and also spends a fair amount of time (mostly) objectively ... [...]

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VIX Drops With S&P; Friday-Monday Declines

2016-06-27 | Jason Goepfert


We've been asked quite a bit about the VIX today. It's currently down more than 7% despite the S&P being lower by nearly 2%. There is a strong inverse correlation between the VIX and S&P. On average when the S&P is down by more than 2%, the VIX is higher by 15%.So clearly today's move is highly ... [...]

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Traders Are Fleeing A Popular VIX ETF

2016-06-14 | Jason Goepfert


With traders trying to price in "known unknowns", there have been some unusual moves in volatility and options indicators.In yesterday's Report we touched on the VIX and how it has jumped nearly the most in 30 years for such a small pullback in stocks. That had been preceded by some minor ... [...]

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Back-To-Back-To-Back Reversal

2016-04-07 | Jason Goepfert


It's still early in the trading session but with a bit more weakness into the close, the S&P 500 would be on track to have back-to-back-to-back 1% reversals.This kind of volatility after a large rally is widely considered to be a negative, as it indicates increasing uncertainty among traders and ... [...]

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Breadth Flush Pt 2 - New Lows

2016-01-20 | Jason Goepfert


The breadth flush today is getting more notable.If the figures stand as they currently are into the close, then since 1940, only October 19, 1987 and August 8, 2011 will have seen more lopsided Up Volume over 1-day and 10-day periods.New lows are climbing continually higher and it will not ... [...]

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Breadth Flush

2016-01-20 | Jason Goepfert


Markets are now entering "puke" territory, at least in terms of market breadth.There have been over 1,228 securities on the NYSE that traded to a 52-week low, and it is rising rapidly. It reached 1,342 on August 24 and is getting close to 40% of all issues, a rarely-achieved level.Even more ... [...]

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