#VIXindicator The Upside Warning, which went into effect on March 30th, was canceled today when $VIX spiked above 19.73, which is 25% above Friday’s close.
This UpW produced a 3.4% increase from the SPX close on March 30th to yesterday’s high of 4,186.93.
If we close with VIX above 19.73 it will mean a Downside Warning.
#Market #VIXIndicator This morning we hit a new high since the last Downside Warning, exceeding the April 4th peak. Next stop might be the Feb 2nd high of 4195.
#VIXIndicator An Upside Warning took effect at the close today after three consecutive closes of $VIX below the 78.6 Fib line drawn from pre-correction low and correction high. This could mean higher prices in coming days or weeks.
Here is data on last several Upside Warnings.
Nov 23, 2022: close on that day: 4,027. Subsequent high was 4195 on Feb 2. 47 trading days, +4.2%
Aug 5, 2022: close on that day: 4145. Subsequent high was 4325 on Aug 16. 7 trading days, +4.3%
Mar 29, 2022: (failed) close on that day: 4631. SPX did not go higher. UpW was canceled after 6 trading days
Dec 27, 2021: close on that day: 4791. Subsequent high was 4818 on Jan 4. 6 trading days, +0.6%
Oct 18, 2021: close on that day: 4486. Subsequent high was 4743 on Nov 22. 14 trading days, +5.7%
Aug 25, 2021: close on that day: 4496. Subsequent high was 4595 on Sep 2. 6 trading days, +1.1%
Aug 13, 2021: (headfake) close on that day: 4468. Subsequent high was 4480 the next day. Canceled the day after that.
May 28, 2021: close on that day: 4204. Subsequent high was 4393 on July 7. 31 trading days, +4.5%
Mar 15, 2021: close on that day: 3969. Subsequent high was 4238 on May 7. 40 trading days, +6.8%
Feb 5, 2021: close on that day: 3886. Subsequent high was 3950 on Feb 16. 6 trading days, +1.6%
Nov 11, 2020: close that day: 3585. Subsequent high was 3726 on Dec 18. 25 trading days, +3.9%
#VIXindicator I didn’t notice this until this morning, but futures are certainly showing it. The Downside Warning was canceled at the close yesterday with the $VIX low below 20.00.
#VIXindicator Fired at the close with $VIX over 25% higher than its two-day closing low.
Here are recent Downside Warnings for reference:
Fired 9/23/22, at the SPX close of 3,693.23. The SPX low of 3,491.58 was 14 trading days later (-5.5%)
Fired 4/22/22, at the SPX close of 4,272. The SPX low of 3,637 was 39 trading days later (-14.9%)
Fired 2/11/22, at the SPX close of 4,419. The SPX low of 4,115 was 8 trading days later (-6.9%).
Fired 1/20/22, at the SPX close of 4,483. The SPX low of 4,223 was 2 trading days later (-5.8%).
Fired 11/26/21, at the SPX close of 4,585. The SPX low of 4,495 was 5 trading days later (-2.0%).
Fired 9/20/21, canceled quickly but fired again on 9/28/21, at the SPX close of 4,353. The SPX low of 4,278 was 4 trading days later (-1.7%).
Fired 8/18/21, at the SPX close of 4,427. The SPX low of 4,368 was the next day, so another FALSE warning (-1.3%).
Fired 7/19/21, at the SPX close of 4,258. The SPX low was also that day, so this was a FALSE warning.
Fired 5/11/21, at the SPX close of 4,152. The SPX low was the next day at 4,056, so basically a FALSE warning. It dipped again 5 trading days after that to 4,061, then recovered from there(-2.3%).
Fired 2/25/21, at the SPX close of 3,829. The SPX low of 3,723 was 5 trading days later (-2.8%).
Fired 1/27/21, at the SPX close of 3,750. The SPX low of 3,694 was only 2 days later (-1.5%).
Fired 9/3/20, at the SPX close of 3,455. The SPX low of 3,209 was 3 weeks later on Sep 24th (-7.1%).
#VIXindicator Well, yesterday was not an anomaly. Drop continues, I will be stopped out, and the Upside Warning in effect since late November was just canceled with the $VIX spiking higher.
#VIXindicator After peaking at 4100 on Dec 13th, $SPX made a hammock on a pullback. But the Upside Warning was never canceled. Now it is coming through with a new high on SPX and new low on $VIX.
#VIXIndicator An Upside Warning took effect on Wednesday after three consecutive closes of $VIX below the 78.6 Fib line drawn from pre-correction low and correction high. This could mean higher prices in coming days or weeks.
Here is data on last several Upside Warnings.
Aug 5, 2022: close on that day: 4145. Subsequent high was 4325 on Aug 16. 7 trading days, +4.3%
Mar 29, 2022: (failed) close on that day: 4631. SPX did not go higher. UpW was canceled after 6 trading days
Dec 27, 2021: close on that day: 4791. Subsequent high was 4818 on Jan 4. 6 trading days, +0.6%
Oct 18, 2021: close on that day: 4486. Subsequent high was 4743 on Nov 22. 14 trading days, +5.7%
Aug 25, 2021: close on that day: 4496. Subsequent high was 4595 on Sep 2. 6 trading days, +1.1%
Aug 13, 2021: (headfake) close on that day: 4468. Subsequent high was 4480 the next day. Canceled the day after that.
May 28, 2021: close on that day: 4204. Subsequent high was 4393 on July 7. 31 trading days, +4.5%
Mar 15, 2021: close on that day: 3969. Subsequent high was 4238 on May 7. 40 trading days, +6.8%
Feb 5, 2021: close on that day: 3886. Subsequent high was 3950 on Feb 16. 6 trading days, +1.6%
Nov 11, 2020: close that day: 3585. Subsequent high was 3726 on Dec 18. 25 trading days, +3.9%
#VIXIndicator $VIX closes at 22.36, ending the Downside Warning that started on Sept 22. If we get two more days closing under 22.50, it will mean an Upside Warning. Not surprising as Thanksgiving week is usually mildly bullish. And $SPX was actually down on the day… but volatility dropped steadily.
#VIXIndicator Almost got the Downside Warning canceled on Friday. Closed $VIX at 22.52, needed 22.49. Next week should tell us whether the near term direction will continue higher or reverse lower.
#VIXindicator A warning fired at the close today with the $VIX over 29.00. The last warning in April took 39 trading days before reaching the market low, about a 15% drop. Before that, this warning was not a great indicator in 2021, with many small drops & short-lived drops. This time, we have been dropping for weeks and it took awhile to finally fire.
Here are recent Downside Warnings for reference:
Fired 4/22/22, at the SPX close of 4,272. The SPX low of 3,637 was 39 trading days later (-14.9%)
Fired 2/11/22, at the SPX close of 4,419. The SPX low of 4,115 was 8 trading days later (-6.9%).
Fired 1/20/22, at the SPX close of 4,483. The SPX low of 4,223 was 2 trading days later (-5.8%).
Fired 11/26/21, at the SPX close of 4,585. The SPX low of 4,495 was 5 trading days later (-2.0%).
Fired 9/20/21, canceled quickly but fired again on 9/28/21, at the SPX close of 4,353. The SPX low of 4,278 was 4 trading days later (-1.7%).
Fired 8/18/21, at the SPX close of 4,427. The SPX low of 4,368 was the next day, so another FALSE warning (-1.3%).
Fired 7/19/21, at the SPX close of 4,258. The SPX low was also that day, so this was a FALSE warning.
Fired 5/11/21, at the SPX close of 4,152. The SPX low was the next day at 4,056, so basically a FALSE warning. It dipped again 5 trading days after that to 4,061, then recovered from there(-2.3%).
Fired 2/25/21, at the SPX close of 3,829. The SPX low of 3,723 was 5 trading days later (-2.8%).
ired 1/27/21, at the SPX close of 3,750. The SPX low of 3,694 was only 2 days later (-1.5%).
Fired 9/3/20, at the SPX close of 3,455. The SPX low of 3,209 was 3 weeks later on Sep 24th (-7.1%).
#VIXindicator Turned out I made an error on Friday… wasn’t watching the numbers closely enough, but there was no Downside Warning. Despite the big drop, the $VIX action wasn’t as strong as you might expect and fell short of the 27.23 close required to fire the Warning. That level is still in effect today as a closing trigger.
#VIXindicator If $VIX closes at 24.45 or higher it will be Downside Warning.
#SPX1dte Bought to close $SPX Aug 22nd 4150/4130 put spreads for 3.40. Condors sold for 1.45 on Friday.
#VIXindicator Thus far the $SPX peaked at 4325 on the 16th, a 4.3% rise from the start of the Upside Warning on the 5th. It would take an intraday $VIX peak of 24.45 today to cancel the UpW.
#VIXIndicator An Upside Warning took effect on Friday after three consecutive closes of $VIX below the 78.6 Fib line drawn from pre-correction low and correction high. This could mean higher prices in coming days or weeks.
Here is data on last several Upside Warnings. The only one in 2022 completely failed, and overall the signal has not performed as strongly since 2020.
Mar 29, 2022: (failed) close on that day: 4631. SPX did not go higher. UpW was canceled after 6 trading days
Dec 27, 2021: close on that day: 4791. Subsequent high was 4818 on Jan 4. 6 trading days, +0.6%
Oct 18, 2021: close on that day: 4486. Subsequent high was 4743 on Nov 22. 14 trading days, +5.7%
Aug 25, 2021: close on that day: 4496. Subsequent high was 4595 on Sep 2. 6 trading days, +1.1%
Aug 13, 2021: (headfake) close on that day: 4468. Subsequent high was 4480 the next day. Canceled the day after that.
May 28, 2021: close on that day: 4204. Subsequent high was 4393 on July 7. 31 trading days, +4.5%
Mar 15, 2021: close on that day: 3969. Subsequent high was 4238 on May 7. 40 trading days, +6.8%
Feb 5, 2021: close on that day: 3886. Subsequent high was 3950 on Feb 16. 6 trading days, +1.6%
Nov 11, 2020: close that day: 3585. Subsequent high was 3726 on Dec 18. 25 trading days, +3.9%
#vixindicator After 97 days, looks like the Downside Warning is canceled. Amazon’s earnings popped the market higher after the bell, driving the $VIX down below 22.34 (by a penny) before its official closing time at 4:15pm.
#VIXIndicator A double warning as $VIX closed 25% above Wednesday’s close AND 50% above the the recent low of 18.45 from April 4th.
#VIXindicator Another run bites the dust.
#VIXIndicator A likelihood of higher levels in coming days or weeks.
#VIXindicator Based on the $VIX close under 21.17, the Downside Warning is canceled. It first went into effect on January 20th, was canceled on Feb 9th, only to be reinstated only two days later on Feb 11th.
The arrow on this chart shows last time it was canceled. (Feb 9th).
So while it is usually a pre-cursor to an extended rally, the better sign will come with an Upside Warning, which will require two more CONSECUTIVE closes below 21.17.
So much for Wednesday’s headfake. #VIXindicator
#VIXIndicator So the last UPSIDE warning was kind of a bust… let’s see if we get another shot this time. Two more consecutive $VIX closes below 21.17 will trigger it.
#VIXindicator At the close we are exceeding 50% above the Jan 4th VIX low of 16.34.
#VIXIndicator Yes, it was. In the premarket, $VIX peaked at 22.07, just above the 22.03 level which cancels it. This, after two weeks of volatility which couldn’t quite get it canceled.
Market behaviors change over time, and it seems the VIX may have outgrown the constraints of my indicator.
#VIXindicator This is probably the biggest drop I’ve seen since creating this indicator wherein an Upside Warning has not been canceled. It may be time to look at some of the rules and whether the behavior of $VIX and market over past couple years calls for some tweaks.
#VIXIndicator Santa has arrived.
#VIXindicator It is sometimes the case that a spike in the VIX that triggers a second or third warning is a capitulation move signaling the end of volatility. Perhaps that’s what happened on Monday, and we’re now cleared for a Santa Claus rally?
#VIXindicator Just in time for the holidays!
#VIXIndicator Another brief and shallow correction in the books as we look poised to march higher.
#VIXIndicator Pre-market $VIX high of 28.02. All we needed for cancelation was 22.10.
#VIXIndicator Feels like it’s a few days late but it still should mean more upside in the coming days or weeks.
#VIXindicator So we never got much of a drop but it certainly was choppy for a few weeks. $VIX closes tomorrow and Monday below 18.49 will mean an Upside Warning.
….too bad it got canceled on Friday. This has been the Summer of Swings for the #VIXindicator.
#VIXindicator Another dud. This is becoming less reliable… need to find another signal to go with the $VIX highs that would indicate a more likely chance of downside follow through.
#VIXindicator Let’s see if this one has more depth than the recent head fakes we’ve been getting.
#VIXIndicator $VIX finally showed some gumption this morning. Likely downside warning coming at the close.
#SPX7dteLong Sold to close $SPX Aug 27th 4475/4455 put spread for 2.75. Leaving 4485/4505 call side into tomorrow.
#SPX1dte Yesterday, expired worthless: Aug 25th 4430/4450-4515/4535 condors, sold Tuesday for .90
#VIXindicator In one of the most whipsawy periods I can remember, the Downside Warning was canceled with a new SPX high today.
#VIXIndicator, well that got ugly fast and became one of the briefest UpW’s in history. At least I collected great profits on yesterday’s swings.
#VIXIndicator An Upside Warning took effect on Friday after three consecutive closes of $VIX below the 78.6 Fib line drawn from pre-correction low and correction high. Expect higher prices in coming days or weeks.
Last four Upside Warnings:
May 28, 2021: close on that day: 4204. Subsequent high was 4393 on July 7. 31 trading days, +4.5%
Mar 15, 2021: close on that day: 3969. Subsequent high was 4238 on May 7. 40 trading days, +6.8%
Feb 5, 2021: close on that day: 3886. Subsequent high was 3950 on Feb 16. 6 trading days, +1.6%
Nov 11, 2020: close that day: 3585. Subsequent high was 3726 on Dec 18. 25 trading days, +3.9%
#VIXindicator It should take effect at the close Friday, unless the day is volatile.
#VIXindicator I forgot one of my own rules for this thing… the Downside Warning is canceled if the $SPX hits a new high, even if the $VIX hasn’t given us the cancel signal yet. So it was canceled last Friday. No Upside Warning yet.
#VIXindicator The $VIX closed over 25% above its 2-day closing low, so that’s a new Downside Warning.
Here are the last four Downside Warnings for reference:
Fired 5/11/21, at the SPX close of 4,152. The SPX low was the next day at 4,056. It dipped again 5 trading days after
that to 4,061, then recovered from there.
Fired 2/25/21, at the SPX close of 3,829. The SPX low of 3,723 was 5 trading days later.
Fired 1/27/21, at the SPX close of 3,750. The SPX low of 3,694 was only 2 days later .
Fired 9/3/20, at the SPX close of 3,455. The SPX low of 3,209 was 3 weeks later on Sep 24th.
#VIXIndicator The Upside warning that began on May 28th was canceled today. The close on May 28th was 4204, and the high was yesterday, at 4361. So this UpW was good for +3.7%.
#SPX1dte Sold to Open $SPX June 28th 4220/4240-4315/4335 condors for 1.00, SPX at 4280, IV 6.95%, deltas -.10 +.06.
The #VIXIndicator never broke its Upside Warning in last week’s swoon, so it is clearly back on, baby. Therefore, staying aggressive with the put-side deltas for now.
Expiring:June 25th 4205/4225-4300/4320 condors, sold yesterday for .90.
#SPX7dteLong Expiring with max credit of 20.00: June 25th 4230/4250 call spreads. Condors bought Monday for 15.25.
#VIXIndicator An Upside Warning took effect on Friday after three consecutive closes of $VIX below the 78.6 Fib line drawn from pre-correction low and correction high. Expect higher prices in coming days or weeks.
Last three Upside Warnings:
Mar 15 2021: close on that day: 3969. Subsequent high was 4238 on May 7. 40 trading days, +6.8%
Feb 5, 2021: close on that day: 3886. Subsequent high was 3950 on Feb 16. 6 trading days, +1.6%
Nov 11, 2020: close that day: 3585. Subsequent high was 3726 on Dec 18. 25 trading days, +3.9%
#VIXIndicator The Downside Warning was canceled on Wednesday with the $VIX close. Two more closes below 18.28 and we’ll have an Upside Warning.
#VIXIndicator It went in effect at the close today.
Here are the last three Downside Warnings for reference:
Fired 2/25/21, at the SPX close of 3,829. The SPX low of 3,723 was 5 trading days later.
Fired 1/27/21, at the SPX close of 3,750. The SPX low of 3,694 was only 2 days later .
Fired 9/3/20, at the SPX close of 3,455. The SPX low of 3,209 was 3 weeks later on Sep 24th.
#VIXIndicator In premarket, $VIX has gone higher and ended the Upside Warning, which lasted 57 days and took us from SPX 3898 to peak of 4238. Falling prices and higher volatility are likely for coming days or weeks.
#VIXIndicator An Upside Warning took effect on Monday after three consecutive closes of $VIX below the 78.6 Fib line drawn from pre-correction low and correction high. Expect higher prices in coming days or weeks.
Last two Upside Warnings:
Feb 5, 2021: close on that day: 3886. Subsequent high was 3950 on Feb 16. 6 trading days, +1.6%
Nov 11, 2020: close that day: 3585. Subsequent high was 3726 on Dec 18. 25 trading days, +3.9%
#VIXIndicator The VIX was headed for it at the close, but SPX making a new high beats it to the punch. Downside Warning is canceled. Now, three VIX closes below 22.30 mean an Upside Warning.
#VIXIndicator Expect lower levels in the coming days or weeks.
Last DW fired on Jan 27th. The SPX low was only two days later and we rebounded from there. So it was brief.
The one before that was on Sept 3, 2020. The SPX low was 3 weeks later on Sep 24th.
#VIXIndicator The $VIX spike above 26.67 just killed the Upside Warning. We’ll go into a Downside one if we close above it.
#VIXIndicator Well, that was a quickie. Back to the moon!
#VIXIndicator It was canceled at yesterday’s close. It went into effect at close on 1/27. Highest VIX and lowest SPX were on Friday 1/29. So it was a short one.
#VIXIndicator Over 25% higher at the close means new Downside Warning… we are likely to see lower prices in the coming days or weeks.
#VIXIndicator The Upside warning was canceled this morning, with the $VIX above 26.96. Could be a pause before it resumes, or we could be headed down. A Downside Warning would take effect with a VIX close above 26.96.
#SPX1dte Sold to Open $SPX 3470/3490-3630/3650 iron condors for 1.20, SPX at 2566, IV 12.09%, deltas -.07,+.06
Expiring: Nov 20th 3485/3505-3640/3660 condors, sold yesterday for 1.15
#SPX7dteLong Expiring at max credit of 20.00: Nov 20th 3620/3600 put spreads. Condors bought Monday for 16.35.
#VIXIndicator The Upside Warning is not producing much yet, but the VIX action is so anemic that I don’t think we should be doubting it yet.
….at the open with SPX hitting new all-time highs. #VIXIndicator
#VIXIndicator A double warning today as $VIX closed up over 25% from yesterday’s close and is also up over 50% from the August 11th VIX low. Expect lower markets in the coming days or weeks.
Why is it still rising?
Earnings Season Shocker: FAAMG Earnings Grew By 2% While EPS For The Other 495 S&P Companies Plunged 38%.
Meanwhile the carnage among small caps was unprecedented with Russell 2000 EPS plunging by 97%.
“Goldman, which over the weekend turned incrementally more bullish on the economy and hiked its GDP forecast as it now expects that a covid vaccine will be discovered and widely distributed in Q1 2021, resulting in what Goldman believes will be a sharp jump in consumption in the first half of next year (whether that actually happens in a country where more than half refuse to get vaccinated is a different story completely), has done a post-mortem on Q2 earnings season and also found some more “good news.”
First, after expecting a 60% plunge in EPS in Q2, Goldman’s David Kostin was delighted to report that S&P 500 EPS declined by “only” 34% year/year, well above both consensus expectations for a -45% decline, and Goldman’s own forecast of a nearly double drop.”
The #VIXIndicator fired a bullish signal at the close. This indicates the likelihood of a further move higher in the coming days or weeks.
#VIXIndicator – Looks like we will get an Upside Warning at the close.
I have posted for the last two years about #DoubleHeaders, where we get a Downside Warning canceled, followed by another DW without an Upside in between. They have become more common and I have been getting a bigger database to analyze. I missed an Upside Warning on May 27th. The SPX closed at 3036 that day, then ran up to its recent high of 3233 on June 8th. After that, I tweaked the Indicator again so we can catch the rallies in the #DoubleHeader environment.
So if $VIX closes below 28.02 today, we can expect another run up. However I would say it is a less reliable Upside Warning with VIX still in the high 20’s.
#VIXIndicator Since 1999, what happened this week has happened once previously: a Downside Warning going into effect after it had been canceled, with no Upside Warning in between… and then that happening AGAIN. It’s a “triple-header” of Downside Warnings (DW).
The Downside Warning was reinstated on Wednesday after being canceled Monday. The DW that preceded the big drop was on February 24th, and that was a double-header already, after the first DW on January 27.
Double-headers usually result in the SECOND drop being deeper than the first. That certainly happened this time, with the second drop being exceeded only by the 2008 financial crisis. The only triple header before now was in 2007, when the second warning didn’t go as low as the first, but the third went lowest of all.
So we don’t have enough data to build a historical model of what we are in now. But it’s interesting to see the history of these market double/triple dips.
Below is a chart of all occurrences of doubles/triples since 1999:
#VIXIndicator The Downside Warning was reinstated at the close Wednesday, as VIX closed over 25% higher than Monday’s close.
#SPX1dte Pretty sharp move at day’s end, but IV on tomorrow’s expiry is only 22%. I’m skipping this as tomorrow could be a sharp bounce or a sharp drop.
#VIXIndicator would have fired an upside warning today if the close was calm. This is why it takes 3 consecutive days of VIX closes before it fires… too many head-fakes with only 1 or 2 days.
#VIXIndicator The VIX closed below the 78.6% retracement, so that cancels the DW. Crazy stuff on a day with jobs numbers like that. If we can close well Monday and Tuesday it will set up nicely for a further rally higher.
#VIXindicator As I said below, this is the first time I’ve had an open gap breach a short strike on the #SPX1dte strategy, which I started in December 2018. Today’s SPX open price was 2.40% below Friday’s close price.
It got me thinking, how often has that happened?
Well, it used to happen fairly frequently, when the SPX price was below 2000. It happened on a fairly steady basis up into 2014.
But the last time it happened was April 10, 2014, when it opened at 1,830.65 (-2.22%). Since then, today was the ONLY day that SPX gapped 2% or more.
Needless to say a Downside Warning fired today as well.
#VIXIndicator Forgot to note that yesterday the Downside Warning was canceled when $SPX hit all-time highs. $VIX hasn’t dropped a lot, however, so it may not mean all-clear ahead.
#VIXIndicator New $VIX highs, new $SPX lows today. SPX now negative on year, lowest levels since January 6th. Highest VIX since Oct 10th.
#VIXindicator The $VIX closed well over 25% higher than Thursday’s close (2-day closing low) so a Downside Warning took effect. Highest VIX readings since October 10th. Expect further downside in the market in the coming days or weeks.
#VIXindicator We kicked off a “minor” Upside Warning last night, based on the small VIX spike from Jan 3 and 6. These occur when a volatility spike cancels a previous UpW but no Downside Warning comes. In the past, they often signal continued momentum higher.
#VIXindicator The Upside Warning was canceled this morning with the VIX spike. We can now watch for a high VIX close to trigger a Downside Warning, or if we can close back below 12.68 we can look for a reinstated Upside Warning.
#VIXIndicator An Upside Warning will go into effect Tuesday with a VIX close at 12.82 or lower.
Options Bistro 