This is the 3rd day in a row that we are seeing $VIX and $VX futures rise along with $SPX. Unusual action.

A bunch of Fed Day studies to help you prep for tomorrow... quantifiableedges.com/category/fed...

Since the 9/11/2001 attacks and tragedy, September 11th has been a very strong day for the market. See study below, which will be included in tonight's subscriber letter. $SPX $SPY

The Reversal Tendency of Labor Day Week: quantifiableedges.com/the-reversal... $SPX $SPY $QUANT $STUDY #seasonality

First trading day of the month has generally been strong...except August: quantifiableedges.com/first-tradin... $SPX $SPY #seasonality $QUANT $STUDY

$SPX 21-day realized vol closing at lowest level (6.24) since July 2024. $VIX may seem low at 15, but it is almost 9 points above realized. Opportunities for real vol this week with earnings, $FED and jobs report. But if realized stays low through this, $VIX could be a good bit lower next week.

$FED Day coming Wednesday. A few notes about Wed odds for you to prep as we approach... edge has been stronger with selling ahead of announcement. 3 examples: quantifiableedges.com/action-mon-t... and quantifiableedges.com/why-a-new-hi... and quantifiableedges.com/strong-selli...

I really liked this recent paper, by Tom Carlson. It presents a interesting approach to a Defense First strategy. papers.ssrn.com/sol3/papers.... $QUANT $STUDY

July has historically seen the best 1st day of any month. Performance from 1989 - 2024 can be seen in the attached chart. Note the last 14 years in a row have closed higher!

$SPX is very close to a new all-time high. Interestingly, the 50ma is still below the 200ma (Death Cross formation). It takes a sharp rally to accomplish that. I looked back and found only 4 previous instances where $SPX closed at a new high while Death Cross was still in effect. $SPY $QUANT $STUDY

One interesting aspect of Monday's action was how large the rally was compared to the recent range. $SPX moved from a 10-day low close on Fri to closing > 10ma. Only 10th time since 1961. Previous 9 showed no short-term edge. (Basically coinflip next few days.) Still interesting to me. $SPY $STUDY

Here's an interesting little study that popped up while I was doing my research this weekend... $SPY $SPX $QUANT $STUDY

Interesting podcast conversation between @menlobear and @McClellanOsc this weekend: youtu.be/8uysmVS66zg?...

$TYX (30-yr treasury rate) currently at 5.07%. Hasn't closed above 5% since Oct 23 when it peaked at 5.1%.

$SPX gain currently is 2.5%. $VIX down almost 3 points to 19.2. $SPX 2.5% daily moves equate to $VIX about 40. So why is $VIX down so much? Answer: Perceived risk is gone. Trade war is "over". Nobody wants to pay up for SPX options 30-days out. I don't think $VIX will melt all summer... 1/2

$VIX $VX futures (front 2 months) have not closed in contango since March 27th. Threatening to do so today with May just slightly above June as I type.

During the 70s and 80s you might see moves persist for several days while $SPX was below its 200ma. 90s - now it has been rare. Since 1989, 3/20/2003 is the only other time until today $SPX has closed up 7 days in a row but < 200ma. $SPY

Thursday saw 2 strong breadth thrust signals trigger. I discussed them in the sub letter last night, but also in blog in recent past: Zweig Breadth Thrust: quantifiableedges.com/a-look-at-zw... Triple 70: quantifiableedges.com/triple-70-br... $SPX $SPY

$SPX will complete a "Death Cross" formation today. I updated my research in this blog post this morning: quantifiableedges.com/97-years-of-... $SPY $QUANT $STUDY

May futures 6 points < Apr, so they are unlikely to drop much today. VIX ETFs move with futures. Even big $SPX rally can't swim against this current, and $SVIX $VXX $UXVY not acting as they would with VIX contango in bull market environment when $SPX rallies. 2/2

Today is great example of poor environment for short-vol ETF trading: Realized vol > $VIX. (VIX "undervalued" and less inclined to go down.) VIX 4-5 points > front month (roll yield), so Apr futures unlikely to drop, since these will collide Wed morning with VIX. 1/2

Market on Wednesday: Yea! Tariffs delayed 90 days! Immediate uncertainty gone! All countries eager to negotiate?!? Risk is over! To the moon! Market on Thursday: Wait...(sinking in)...you mean we have at least 90 more days of this crap?

@vixologist pointed out that the $VIX 18-point drop Wed was the biggest ever. Here are all instances of 10+ point drops. Maybe it'll be different this time... $SPX $SPY

Here's a look at short-term returns following all other 1-day $SPX gains of 9% or more. $SPY

Quantifiable Edges CBI looks like it will close at 5 today (maybe 6). Could certainly see 10+ tomorrow or Thurs if the market doesn't quit falling. I was really starting to think we'd see a bounce before a CBI spike this time. Hmm. $SPX $SPY Lots of #CBI studies here: quantifiableedges.com?s=CBI

$UVIX crosses 100 today after making low of $25.85 in February. Good example of why you can't just "short and hold" these securities despite long-term decay. $VIX $VXX $UVXY

Don't look now, but $NASDAQ Composite could enter Death Cross tomorrow (50ma < 200ma). $SPX possibly only a few days away. For more info on $SPX Death Crosses, check out this old post: quantifiableedges.com/90-years-of-... $SPY

On a line chart today looks like basically nothing.

Quantifiable Edges Capitulative Breadth Indicator (CBI) finally got up off the floor today (barely), inching up from 0 to 2. That is still neutral. #CBI $SPX $SPY

This is easily the wildest action in 5 years.

$UVIX closing up > 40% for the 2nd day in a row. (Spot $VIX up 39% yesterday and currently up 46% today.) Protection has been repriced. Is it overpriced yet? We'll see... $VXX $UVXY $SVIX $SPX $SPY

2 things to keep in mind for next week: 1) Yes...it can get worse. 2) No...it won't last forever. Stay sane, my friends!

When the market becomes a shitshow, and many strategies start to get pounded, it is always good to have a strategy or two (or more) that can take advantage of the shitshow, rather than just try and "ride it out" with a traditional approach.

As of now, the Quantifiable Edges Capitulative Breadth Index (CBI) is still sitting at ZERO. You do not always need a high CBI for a bounce to occur. Hopefully we don't need it this time! #CBI $SPX $SPY

$UVIX up 47%. Wow. Vol spike kicking in now. $SVIX $VXX $UVXY $VIX

$SVIX now trading below its 8/5/24 intraday low and in a 66% drawdown from the 7/12/24 all-time high. It is a challenging time for many short-vol strategies.

Below is every time we saw $SPY gap down > 2% after closing at a 3-day high but below the 200ma. Most saw further selling from open to close that day. All saw a bounce the next. No guarantees. Just interesting. $SPX

Good Monday morning. $SPX and $NDX futures are making new 2025 lows pre-open. $VIX still needs to rise another 5+ points to make a new March 2025 intraday high. CBI at 2 to start the day. Should be an interesting week.

The Quantifiable Edges CBI is likely to close at 2 today, finishing off the "Buy at 10+. Sell on return to 3 or lower." signal from a couple of weeks ago with a modest 1.2% (approx) gain. The 2 reading means back to neutral. $SPX $SPY #CBI

Despite the index selloff yesterday, the CBI ticked down from a 5 to a 4 reading. It is basically neutral now. A move to 3 or lower is considered fully neutral, and we are almost 2 weeks out from when it reached 10. I'll be sure to update if it starts to spike again. $SPX $SPY #CBI

21-day realized volatility for $SPX, currently at 20.38, is at its highest level since August (carry-trade scare) when it peaked at 21.67. Prior to that, it had not exceeded 20 since 2022. $VIX $SPY

$RUT made a Death Cross today. (It is not as bad as it sounds.) Here is a post from a couple of years ago that examines $RUT Death Crosses... quantifiableedges.com/russell-deat... $SPX $SPY $IWM

The Quantifiable Edges CBI is looking like it will dip from 7 to 5 today. Still not back at neutral 3 or lower. So still looking for a bit more of a bounce. #CBI $SPY $SPX

Strong Selling The Day Before A Fed Day : quantifiableedges.com/strong-selli... $SPY $SPX $FED $STUDY

Quantifiable Edges CBI dips slightly to close at 7 today. $SPX $SPY #CBI

Quantifiable Edges CBI moved up to 10 on Friday despite big $SPX $SPY rally. 1st time ever it moved up through 9 while $SPX gained 2%. Only time it did with 1% gain was 3/17/2011. Study below shows all instances $SPX rose at ALL on a day the CBI crossed above 9 AND $SPX closed below the 200ma. #CBI

The Quantifiable Edges Capitulative Breadth Indicator (CBI) is finally starting to perk up. Looks like it will close at 9 today...just barely shy of an outright bullish 10+. Lots more info on the CBI can be found here: quantifiableedges.com/category/cbi/ #CBI $SPX $SPY

$SPX and $NDX are at lowest levels since September. $VIX hitting highest level since August spike. Despite low CBI, market seems more than overdue for at least a short-term bounce.

So I keep getting asked where the where the Quantifiable Edges Capitulative Breadth Indicator (CBI) is at. Interestingly...still no spike. Likely to close at just 4 today (neutral). #CBI $SPX $SPY

$SPX looks like it will just barely hold above the 200ma. $NDX on the other hand, will not. $SPY $QQQ