Posts tagged as Volatility

Small-cap stocks have rarely been this volatile (relatively)

Volatility in the small-cap Russell 2000 is nearing a record high compared to volatility in the large-cap S&P 500.

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Volatility Signal Update

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Small cap stocks near historic volatility extreme

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Backtest Engine Scans I Have Known and Loved - The VXX Edition

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Bearish to Bullish Volatility Reversal Buy Signal

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What's scaring investors right now

The 1-month correlation between the VIX and 10-year yields is the highest it's been in years.

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When rising yields are driving volatility

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The VIX bubble

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Using Options to Play a Spike in Volatility

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Volume pops as volatility drops

Volume and volatility usually go hand-in-hand, rising and falling together. Not now, as volume has spiked even as volatility has plunged.

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Speculative volume skyrockets as smart money sells

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Options Gone Wild - The Gamestop Edition

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A Strategy for When (and if) the "Bubble Bursts"

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The VIX "fear gauge" hasn't done this since the end of the last bear market

The VIX dipped below the round number of 20 for the first time in more than 6 months, ending the longest streak since 2009.

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Even as stocks become more volatile, they're less correlated

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Speculators are betting on a VIX-smash

Speculators are betting on the VIX "fear gauge" to decline, meaning commercial hedgers are betting it will rise; speculators are usually correct.

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Speculators are betting on even more volatility ahead

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Options traders are pricing in fear, while others bet against it

The VIX has jumped more than 10% on 2 out of 3 days, as VIX options traders bet that it's going to decline in the months ahead.

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VIX sentiment shows "smart money" betting against volatility

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Volatility as we approach the election

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Traders are pricing in a more volatile bond market

In recent weeks, implied volatility on bonds has spiked more than 65% from a record low level.

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Bond investors start to price in more risk

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VIX spike ahead?

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Upcoming uncertainty

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Another correction marks the 4th in only 3 years

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Stocks are finally becoming less volatile

For the first time in months, the S&P 500's average true range has dropped below 1%, following one of the most volatile periods in history.

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Stocks are calming down after near-record volatility

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VIX's unprecedented behavior

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Stocks have enjoyed a historic rally, and volatility remains high

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An overbought and volatile combination

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Some factors to consider as we start the new week

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Weekly Wrap: Questionable price and breadth action, with a jump in speculation

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Volatility in commodities is receding

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Volatility panic subsides, even with most stocks in downtrends

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The bond market has calmed down

Implied volatility in the bond market has calmed down, with that market's "VIX" falling to the lowest level in a year.

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Short term volatility coming down

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The bond market calms down

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VIX term structure

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Weekly Wrap: Stocks keep soaring despite poor fundamentals

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VIX Put/Call is extremely high

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VIX drops below 50-day average

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Weekly Wrap: News flow still horrid, but the buying thrust has been historic

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Stocks rally on lower volume as gold suffers dislocations

The gold market has suffered dislocations, with spot trading below futures, as speculators gamble. The S&P 500 is rallying on lower volume.

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A historic reversal, but...

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Bond volatility falls more than for stocks

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Buying interest has been historic

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Looking to financials as a leader as volatility ebbs

The ratio of financial stocks to the S&P 500 continues to fall, but that has not been a good guide. The VIX is finally starting to ebb.

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The importance of follow-through on a big gap up open

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Volatility is coming down

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Weekly Wrap: Initial signs of a recovery, even with weak breadth and bad economic data

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Volatility flip

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VIX is coming down

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Most volatile period in history as oil sentiment plunges

Sentiment on oil has plunged to one of the lowest levels in 30 years. The past 30 days has been the most "all or nothing" stretch in history.

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Boom goes bust

A simulated measure of the VIX has (at least temporarily) peaked. The Yardeni Boom Bust Barometer is going bust.

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Volatility is slowly easing

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TICK shows record buying pressure

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As volatility explodes, the Equity Risk Premium hits a record low

The Equity Risk Premium has plunged to a record low as earnings haven't caught up to volatility. Volatility in Australia just hit a record high.

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Extremely high volume

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Insane volatility across countries

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Stocks and volatility drip lower

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Sentiment is starting to turn

The spread between Smart and Dumb Money Confidence is starting to narrow. Commodities suffered one of the worst couple weeks on record.

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Historical vs implied volatility

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Largest reversals from a low

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What I'm looking at - valuations, Optix, 2 week crash, volatility

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Losses grow among all assets

Across all assets that an average investor holds, losses are among the worst in 50 years. Australia has been hit especially hard.

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No safe havens

The bond market is seeing wild swings, which we see during times of extreme duress. The dollar has spiked to one of the largest degrees ever.

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A week of records

Its hard to overstate the level of volatility investors have suffered across assets. The stock market has experienced extreme swings up and down each day.

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Once a generation liquidation event

There are few, if any, precedents for the level of selling pressure stocks suffered this week. It has pushed volatility to record highs in some respects.

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Pure panic

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One of the most unique moments in market history

So far, stocks are tracking the other time trading was halted in 1997. Almost all stocks on the German DAX are now oversold.

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What I'm looking at - bullish percent, U.S. recession, historic volatility, historic overseas selling

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Big, quick pullback then strong rally

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Russell 2000 falls 20%

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One of the worst days in market history

Monday's session was among the worst in 60 years. The put/call ratio jumped to one of the highest readings in history as traders scrambled for puts.

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Opening crash even as oversold signals pile up

The largest ETF in the world has suffered one of its worst opening gaps down in history. The selling pressure has triggered a bevy of oversold signals.

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Biggest panics

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A(nother) week for the ages

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Only the "crashiest" of precedents

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A dead-cat bounce (?) amid near-record volatility

Despite multiple 4% rally days, Up Issues and Up Volume has been mediocre with no 90% up days. The 7-day range in the S&P is getting historic.

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A historic 7 days as sentiment plunges

The past 7 days have seen historic volatility in the S&P 500, with four shocking declines. Optimism has plunged over the past two weeks.

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A bull market recovery as yields plunge

Monday saw a massive recovery after a 90-day low, while the S&P's long-term average is still rising. 10-year bond yields are massively oversold.

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A week for the ages

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An extreme in extremes

This week has seen one of the fastest-ever declines from an all-time high. Breadth metrics for S&P and NDX stocks are hitting historic extremes.

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What I'm looking at - breadth for the S&P, NASDAQ, and Dow, stocks vs ETFs, stocks vs bonds, VIX spike and S&P's weekly drawdown

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Quick pullback from all-time high

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Another panicky morning

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Bulls' nightmare week

The past 2 days have seen a historic selloff in stocks, cycling from new highs to multi-month lows. This week saw back-to-back 90% down days.

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What I'm looking at - breadth (from multiple angles), VIX spike, volume spike

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Warnings spike as complacency ends

Technical warning signs have piled up over the past month. The Nasdaq 100 has relieved its overbought condition for the first time in 3 months.

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What I'm looking at - volatility is back, breadth, tech plunge, gold:silver ratio

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Warnings spike as streaks end

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Tech, dollar suffer selling "shocks"

The Nasdaq Composite suffered a 2 standard deviation loss, soon after hitting an all-time high. The U.S. dollar suffered a shocking loss, too.

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Panic gaps

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What I'm looking at - new highs, job openings, VIX, economic surprise

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Market & fundamentals overview: the long awaited pullback

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Split Markets As Volatility Spikes

The market is split, with the HiLo Logic Index rising above 3. Volatility has jumped, with the VIX and VXO spiking 50%.

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What I'm looking at - split breadth, sudden crash, VIX jump, copper's crash, gap down

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Market & fundamentals overview: the overdue pullback?

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As Good As It Gets For Trend Followers

The S&P 500 has gone 3 months with great gains and very little volatility. There has been a jump in breadth extremes in defensive sectors.

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What I'm looking at - continued low volatility, Bollinger Bands, AAII

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Big Stretch Of Calm Even As Investors Leave SPY

The S&P 500 has gone 3 months without a 1% daily move. Traders are leave the SPY ETF even as it rallies.

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A Speculative Record As The VIX Gets Squeezed

Call option buying to open hit a new record relative to total volume. The Bollinger Bands on the VIX are getting squeezed.

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What I'm looking at - tech vs. finance, volatility of volatility, high yield, corporate earnings

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Dip-Buyers Are Determined As Volatility Subsides

S&P 500 futures keep selling off overnight then rallying during the day, and volatility has been low for over 30 days.

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What I'm looking at - Medium Term Volatility, sentiment, jumpy VIX, NASDAQ breadth, palladium

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What I'm looking at - equity Put/Call, low volatility, relentless momentum, low volume, Brazil

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What I'm looking at - sentiment, LEI, Hong Kong volatility, strong momentum, Mexico surge

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Maybe Strategists Are Betting On Black Swans

Wall Street strategists aren't very optimistic about 2020, and black swans are on sale again.More apathetic strategistsAnother survey of Wall Street strategists shows that even more of them are lukewarm on the prospects for stocks in 2020. Their average guess is for the S&P to gain a lowly 4%, ...

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Hedge Funds Are Ramping Up Their Exposure

Hedge funds are ramping up their stock market exposure, and the VIX "fear gauge" is rising along with stocks.Hedge? What’s That?For most of 2019, hedge funds employing different strategies all were seemingly avoiding stocks. Their sensitivity to movements in the S&P 500 were very low, or even ...

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What I'm looking at - OECD, advance-decline line, VIX, NASDAQ models + sentiment indicators

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Investors Are Leaving As Black Swan Risk Rises

Equity fund flows are negative, and options SKEW is rising.Leaving earlyInvestors have pulled hundreds of billions from equity funds in 2019, despite large gains in the funds. Because the gains have been so large, the outflows are small as a percentage of total assets.Still, it’s an outflow, and ...

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Is This A Blow-Off Top?

The S&P might be showing signs of a blow off top, and the range in Chinese stocks is very small.Blow-off behavior?Heading into Thanksgiving, stocks just couldn’t lose. The S&P 500 managed to sport a positive return on all common time frames, with a strong median gain, while hitting new highs to ...

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Fears Of A Volatility Regime Change

The S&P 500 futures have gone almost 2 months without a 1% drop, even as the VIX "fear gauge" has jumped.The 1% ClubThe S&P 500 futures had enjoyed a very long period of calm, going almost 2 months without even a 1% intraday dip. That ended on Monday (and continued Tuesday). Over the past 20 ...

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What I'm looking at - Titanic Syndrome, U.S. breadth, overseas breadth, biotech, VIX jump, seasonality

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What I'm looking at - small caps breakout, VIX, healthcare sentiment, cocoa sentiment, global money supply

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What I'm looking at - Building Permits, VIX Put/Call, long term breadth, high yield bonds, Value vs. Growth

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A Bad Case Of The Splits

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 bad case of the splitsThe Nasdaq exchange continues to see an abnormally large number of stocks hitting 52-week highs and 52-week lows. More than 3% of ...

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What I'm looking at - sentiment composite, consumer discretionary, VIX, energy sector, index Put/Call

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S&P 500 rallies while low volatility stocks fall

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What I'm looking at - OECD, low volatility, SKEW, Bullish Percent Index, emerging markets

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4 Reasons Why A Volatility Event Is On The Horizon

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.Volatility eventSeveral indicators influenced by the options market are throwing off concerning readings, showing that traders have become complacent about ...

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4 indicators suggesting a volatility event

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What I'm looking at - VIX, nonresidential fixed investment, healthcare, finance, SKEW

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The Year That Everything Rallied

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 year of everythingThrough late October, stocks, bonds, gold, and oil are all showing solid year-to-date gains. This is only the 5th year in the past 30 ...

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VIX drops below 13 for 1st time in 50 days

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What I'm looking at - bear market, profit warnings, VIX Put/Call, homebuilders, manufacturers' new orders

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Low Volume As Stocks Go Nowhere - What Does It Mean?

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.Truncated turnoverThere are a lot a technical rules that include volume, many of which simply don’t work in practice. It’s a potential issue now because ...

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What I'm looking at - Industrial Production, housing's comeback, VVIX, U.S. Dollar drop, loans

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A Record-Setting Number Of Breakout Attempts

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.4th time’s the charmThe S&P 500 has quickly gone from more than 4% below its prior 52-week high to within 1% of it. This is the fourth time in about 6 months ...

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What I'm looking at - volatility, utilities rotation, index put/call, Germany wholesale, SKEW

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Tuesday Color - VIX below 14, card rates, transport services, slow growth, utility momentum

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Momentum stocks go from -10% to +10%

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

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

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

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The last 2 times there was impeachment talk, this happened

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

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

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

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ETF Traders, Foreigners Jump In Right Before Momentum Stock Shock

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

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

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Oil's Shocking Jump Is Fooling People

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

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Oil Shock

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

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A Historic Turn In Fortunes

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

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Gold's Shocking Drop

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

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Wall Street Is The Most Confused In 20 Years

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

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

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Sectors In Sync Makes Investors Crabby

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

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

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1 Of The Whippiest, Most Uncertain Months In A Decade

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

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

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Friday Color - Wipeout, Extremes, HiLo Too High

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

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

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

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Panic-Level Selling Last Week As Bonds Hit Historic Extreme

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

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

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

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

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

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

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

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Volatility Spike - What Happens Next

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

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

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Shocks' Strong Tendency To Recover

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

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

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The Everything Rally

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

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

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

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

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Tight Range Following A Surge

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The Most Split S&P 500 In History

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

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

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

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

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

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

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Confidence Has Flipped From Dumb To Smart

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

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

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5 Weeks Of Losses - What's Next?

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

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Investors Are Leaving Early

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

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5 Signs Of Anxiety

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

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

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Are You Panicking Like Everyone Else?

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

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Stocks Just Did Something They Haven't Done All Year

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

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Monday Gap

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

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

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Tuesday Midday Color - Overseas Carnage, Sweet Sugar

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Monday Midday Color - Gapped, Slapped, And Beaned

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

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A Shocking Volatility Twist With Recovering Financials

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

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?

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

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Stocks, Bonds Rise As Volatility Diverges

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

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Wednesday Midday Color

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Breadth Momentum Crests As FX Volatility Plunges

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

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Options Bulls Return As Investors Get Whipsawed

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

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Friday Midday Color

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Thursday Midday Color

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No Volatility As Utilities' Breadth Impresses

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

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Nasdaq Hugs Its Average As Volatility Recede Despite Recession Risk

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

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

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Thursday Midday Color

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

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

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

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High Correlation Among Assets

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Sentiment Cycle; Ending The Correction

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

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

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

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

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

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

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

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

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New Low Spike; Heavy Selling Cluster

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

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

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

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

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

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Yield Curve Inversion; Intense Selling; November Flows

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

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Sentiment vs Earnings; Massive Buy Programs

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

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

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

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Nasdaq's Plunge

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Crude Collapse

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

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

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

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

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

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

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

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

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

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

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Gap To New Low

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

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

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

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

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Index Corrections As Panic Spreads

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

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Streaks End As Concern Rises

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

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Follow-Through Selling

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Just A Whiff Of Panic As Streaks End

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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All Or Nothing As Every Financial And Dow Stock Declines

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

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

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

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

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

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

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

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

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

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VIX Panic Subsides As Smart - Dumb Spread Widens

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

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

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

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

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

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

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

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

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

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

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VIX Split

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Low Vol (Again) As Tech Love Rises

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Retail Investor Confusion As The Vol Trade And Bitcoin Roll

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First Large Down Open

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Quiet Market No More

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Traders Bet On A Lower VIX

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Reversal Day As A Bottoming Signal

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Streak Without A 1% Loss About To End?

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VIX-Bashing As A Contrary Indicator

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VIX Drops With S&P; Friday-Monday Declines

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Traders Are Fleeing A Popular VIX ETF

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Back-To-Back-To-Back Reversal

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Breadth Flush Pt 2 - New Lows

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Breadth Flush

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