Quantifiable Edges

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.

Also notable is that the edge basically plays out between Tues close and Wed announcement... quantifiableedges.com/why-waiting-... $SPX $SPY

$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

WORRIED ABOUT THE MARKET? SCHEDULE YOUR FREE PORTFOLIO REVIEW with Thoughtful Money's endorsed financial advisors at https://www.thoughtfulmoney.comWall Stre... Current Bear Market Rally To Bring "More Pain This Year" | Tom McClellan

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%.

...Likely to see volatility come back at some point. But right now prevailing mood is that $SPX risk is behind us. 2/2

$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

A Look At Zweig Thrust Signals | Quantifiable Edges The strong breadth we have seen recently has caused the 10-day exponential moving average of the Up Issues % to rise up to 63.6%. A move through 61.5% after being below 40% within the last 10trading…

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

97 Years of Death Crosses | Quantifiable Edges The SPX is going to experience a Death Cross today at the close. I’ve written many times in the past about “Death Crosses”. A Death Cross is when the 50ma crosses below the 200ma. It is confirmation…

$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

90 Years Of Death Crosses | Quantifiable Edges The SPX could complete a “Death Cross” formation today or tomorrow, in which the 50-day moving average crosses below the 200-day moving average. In the past I have looked back to 1960 when examining…

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!