Category Archives: Indicators

SPX:VIX Ratio At The Brink

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* N.B. See Friday’s UPDATE below…

Thursday, August 20th:

Note the aggressive selling on the SPX when the SPX:VIX ratio gets up to the 180 level. A drop and hold below the 100 major support level could spell big trouble for the SPX and the other Major U.S. Indices.

With the Momentum indicator in a downtrend on this timeframe, I wouldn’t be surprised to see a larger pullback occur in the equity markets. Watch the 2038 level on the SPX, as mentioned in my post of August 14th, for confirmation.

SPX:VIX Monthly Ratio Chart


US Stock Market Mini Update

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Reviewing the US stock market picture from a few different angles…

NFTRH been using the Equity Put/Call ratio to gauge pressure on the US stock market for all of 2015. Many people think that anxiety indicators like this and the VIX are contrary indicators (i.e. when they spike you buy the fear in the markets, which often does work well) but when smoothing out CPCE using a moving average (weekly EMA 20 in this case) you get a trend.

The market benefited over long stretches from the calm atmosphere and the down trend in put buying vs. call buying. One explanation is that the market felt safe in mommy and daddy’s arms (Bernanke and Yellen, amidst ‘peak confidence’ in the Fed with a side of Goldilocks).


ES Quantitative Analysis

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Hi Slopers, some quantitative analysis of the e-mini S&P500 for you here, courtesy of the TK+RL team.

Yesterday the market tanked and the drop continued overnight, almost reaching our first valid support area around ~2060. The news says it’s because of the Chinese Yuan depreciation and we do not what to discuss that, but only underline the fact that we had predicted lower prices for a while, without knowing what the catalyst would have been and that is how RL works: statistical models can analyze PRICE and TIME extension and tell us where the next market turn may happen, removing the need to know why. The constant search for a reason to explain the market action exposes the investor to both the risk of wong bias and wrong analysis (technical, fundamental, astrological, you name it).