Upside Warning in effect

#VIXIndicator Feels like it’s a few days late but it still should mean more upside in the coming days or weeks.

Downside Warning canceled

#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.

Downside Warning is already back!


This is what the DW is meant for…

….too bad it got canceled on Friday. This has been the Summer of Swings for the #VIXindicator.

Downside Warning canceled

#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.

Downside Warning in effect

#VIXindicator Let’s see if this one has more depth than the recent head fakes we’ve been getting.

Upside Warning canceled

#VIXIndicator $VIX finally showed some gumption this morning. Likely downside warning coming at the close.

SPX trades

#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.

Upside Warning canceled

#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.

Upside Warning is ON

#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%

Upside Warning imminent

#VIXindicator It should take effect at the close Friday, unless the day is volatile.

Downside warning was canceled

#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.

Downside Warning in effect

#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.

Upside Warning was canceled this morning

#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%.

SPX trades

#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.

Upside Warning in effect

#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%

Sky’s the limit?

#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.

Downside Warning is in effect

#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.

Upside Warning es finito

#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.

Upside Warning in effect

#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%

Downside Warning canceled

#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.

Downside Warning in effect

#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.

Upside Warning canceled

#VIXIndicator The $VIX spike above 26.67 just killed the Upside Warning. We’ll go into a Downside one if we close above it.

Upside Warning in effect

#VIXIndicator Well, that was a quickie. Back to the moon!

Downside Warning canceled

#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.

Downside Warning taking effect at the close

#VIXIndicator Over 25% higher at the close means new Downside Warning… we are likely to see lower prices in the coming days or weeks.

Upside Warning canceled

#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.

SPX trades

#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.

Downside Warning canceled

….at the open with SPX hitting new all-time highs. #VIXIndicator

Downside Warning in effect!

#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.”


Upside to come

The #VIXIndicator fired a bullish signal at the close. This indicates the likelihood of a further move higher in the coming days or weeks.

Upside coming?

#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.

Triple header

#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:

Screen Shot 2020-05-15 at 7.25.20 AM

So much for that.

#VIXIndicator The Downside Warning was reinstated at the close Wednesday, as VIX closed over 25% higher than Monday’s close.

SPX skip

#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.

Downside Warning canceled

#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.

Largest gap open since 2014

#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.

Downside Warning canceled

#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.

Highs and lows

#VIXIndicator New $VIX highs, new $SPX lows today. SPX now negative on year, lowest levels since January 6th. Highest VIX since Oct 10th.

Downside Warning in effect

#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.

Upside Warning reinstated

#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.

Upside Warning canceled

#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.

I saw Santa kissing 3200

#VIXIndicator An Upside Warning will go into effect Tuesday with a VIX close at 12.82 or lower.

Downside Warning canceled

#VIXIndicator The Downside Warning is officially canceled as the SPX notched a new all-time high. However, this high was driven by a tweet that we humans understand, based on recent history, really doesn’t mean anything. The algos respond and drive us higher. If no trade deal is reached by Sunday, or there’s no agreement to delay the tariffs, we could re-enter a Downside Warning quickly and easily.

My opinion: I don’t think a trade deal will be reached until after the election. However, I do think the tariffs will be delayed. I don’t know how that will affect the markets, but Monday we could be anywhere.

Another Downside bust

#VIXIndicator Well, that’s two Downside Warnings in a row that turned out to be only one-day warnings for a brief intraday low, then rocket back to the skies. I’m going to keep tracking them, but include a notice that they have not always been working. Meanwhile, I will research the history to determine if there are any concurrent indicators that can distinguish between accurate and inaccurate warnings.

For 2019, the Warning on 4/5 was good; 8/1 was okay; but 10/2 and 12/2 were head fakes.

Downside Warning in effect

#VIXIndicator The $VIX close today was 14.91, which is over 25% higher than Wednesday’s close, triggering a Downside Warning. Based on past behavior, the chance for a further drop in the coming days or weeks is high. That said, the last one (on Oct 2nd) didn’t pan out, with only a slightly lower intraday low the next day, before cruising into record highs after that.

Upside Warning canceled

#VIXIndicator The intraday $VIX spike has canceled the Upside Warning, which had been in effect since Oct 16th.

VIX collapsing

#VIXindicator The Upside Warning coming through this time, with $VIX hitting lowest level since July 29th. $SPX came within .59 of all-time high earlier today.

Upside Warning

#VIXindicator An inside day on the VIX chart is the third close below 15.05 in a row, meaning an Upside Warning is in effect. Look for higher prices in the coming days. I’m proceeding cautiously after last month’s headfake. I only have one bullish trade (put spread sold this morning).

Expiring today: $SPX Oct 16th 2945/2955-3030/3040 condors sold yesterday for .45.

SPX Monday

#SPX1dte Sold $SPX Oct 21st 2975/2950 put spreads for 4.90. IV: 11.44%, SPX 2990. Bullish positioning following both trend and #VIXindicator.

SPX Monday call spread closed

#SPX1dte . BTC $SPX Oct 7th 2960/2985 call spread for 1.95. Condors sold for 2.85 on Wednesday. It came within expected move today. The #VIXIndicator is getting whipsawed this time around. It will suck two get to false signals in a row, but it is shaping up that way right now. Next week will give us the answers.

Downside Warning in effect

#VIXIndicator So after the failure of the Upside, we entered a Downside at today’s close. This signal usually means the market goes lower over the coming days.

Upside Warning canceled

#VIXindicator It seemed obvious days ago but it was just officially canceled. This is only the third total failure of the signal since 1999, out of 44 total, where the SPX made no new high after the signal fired, other than a brief intraday spike the very next day.

No Upside

#VIXIndicator. This Upside Warning looks to be a dud. After it fired on Thursday’s close, we only got a 0.3% intraday bump on Friday, then it’s been all lower. There’s never been a pullback this strong on an Upside Warning that ended up bouncing and coming through. This is the 43rd UpW since I started tracking in 2000, but only the fourth to not register any significant higher price after firing.

Upside Warning in effect

#VIXIndicator Look for higher prices over the next couple of weeks.

Upside Warning / Risk Reversal

#SPX1dte #VIXIndicator As an Upside Warning is preparing to fire today (VIX close below 14.50), I’m doing this Risk Reversal for next Friday. I will add more to the long if we get a pullback tomorrow or Monday.

Bought to Open $SPX Sept 27th 3045/3060 bull call spreads for 2.40.
Sold to Open $SPX Sept 27th 3000/2975 put spreads for 5.80.

Downside Warning’s minutes are numbered

#VIXIndicator The Downside Warning will most likely be canceled at today’s close. Two more consecutive days closing below 14.50 would mean an Upside Warning hitting at Monday’s close.

Downside Warning again

#VIXindicator This is one of the more whipsaw-y corrections I can remember. Today was our fifth warning. I don’t think the bottom is in yet, but betting on that after the Aug 14th warning got me ripped up as the bounce was strong and protracted. (arrows represent the 4 Downside Warnings)

Screen Shot 2019-08-23 at 1.30.37 PM

Highest VIX

#VIXindicator Today was the highest $VIX since January 3rd, when VIX was dropping from its Christmas Eve highs.

$VXX and $UVXY were higher in May, as they suffer from Contango.

SPX put spread

#SPX1dte Didn’t get any bounce to sell call spreads, so tried a put spread.

Sold $SPX Aug 7th 2725/2700 put spreads for 1.80. Hopefully I can close this tomorrow.

Two more Warnings fired today, but I gotta think at least a small relief rally will happen tomorrow. This is a pretty brutal day. #VIXindicator

Another warning

#VIXindicator I began to doubt it would show its stuff on day one, but the Downside Warning came through today, and a second warning fired at the close.

Downside Warning in effect

#VIXIndicator Although we recovered from the huge intraday drop, the VIX spiked again at the close and fired a Downside Warning. Expect more volatility and a market drop in the coming days.

Look out above

#VIXIndicator An Upside Warning went into effect at the close Friday. This signal has been over 90% effective since 2000, leading to at least a 1.5% short-term gain in the S&P. Expect new record highs over the next couple of weeks.

Downside Warning canceled

#VIXIndicator It’s been awhile since we started this Warning, so I missed the fact that it was canceled on Thursday with the new SPX high. So now we set up for either a new Downside Warning or an Upside Warning. See the sidebar for those levels.

Downside Warning

#VIXIndicator A Downside Warning is now in effect… look for continued drop, at least in the short term.

VIX Indicator

#VIXIndicator, needless to say, the minor upside warning was canceled this morning with a $VIX high of 18.80 (we only needed 16.09). Any close at 16.09 or higher will mean a Downside Warning.

Minor Upside Warning

#VIXIndicator fired this at the close. Last one we got was on March 13th, and it was good for a 1.75% move up from that day’s close to intraday high 6 days later, before we stalled and pulled back a little.

Upside Warning probably reaffirmed

#VIXIndicator With a $VIX close at 13.54 or lower today, a”minor” upside warning will fire, reaffirming market’s upside bias in the absence of any significant pullback materializing. Should mean another leg higher next week.

SPX condor roll

#SPX1dte #VIXIndicator No upside warning today so I’m selling both sides:

Sold $SPX April 12th 2800/2825-2910/2935 condors for 6.30 (IV 11.82%, SPX 2875)

Upside Warning canceled

#VIXIndicator It was only a “minor” one so not surprising that it didn’t last long or go far… VIX spiked today to reach 25% higher than yesterday’s close, so that cancels the minor upside warning. A close at 17.04 or higher would be a Downside Warning.

“Minor” upside warning

#VIXIndicator Usually the Upside Warning is canceled when we get a Downside Warning. But sometimes, like last Monday, the UpW is canceled by an intraday spike on the $VIX, with no DW taking effect. Usually when that happens, the DW comes within the next few days.

But sometimes, the VIX retreats enough to fire a “minor” upside warning… which is measured on the Fib levels from the recent intraday spike. So three closes below the 78.6% line would fire this “minor” signal.

That will happen today provided VIX closes below 14.44.

This has happened only 6 times since 2000. Below is a chart with the performance of SPX in the days after each “mUpW”, ending at the next VIX spike or DW. You can see that it is mostly positive; even the longest one that goes negative spiked pretty high before rolling over.

Screen Shot 2019-03-13 at 8.01.48 AM

Upside Warning canceled

#VIXIndicator The $VIX just took out the Upside Warning by 1-point. We need to close at 16.97 or higher for this to be a Downside Warning.

Upside Warning pullbacks

#VIXIndicator Since we’re in this pullback I looked back at other times we had a signficant pullback (more than 1%) after an Upside Warning fires. The chart below shows all of the instances since 1999.

Two of them resulted in no new highs, and we dropped significantly before the Upside Warning was technically canceled (the two rows with red in the right-most column). The other times all eventually went higher after the dip.

The center columns show the move 1-day, 2-days, etc, after the UpW. The right-hand columns show the number of days from the UpW to the new SPX high, and the percentage move to get there.

Also note that other than one time last April, this hasn’t happened any other time since 2011.

For me, the $VIX seems pretty unmoved by this week’s volatility and I still think we have higher to go before any major pullback.

Screen Shot 2019-02-08 at 1.29.08 PM