Interesting article on the @NAAIM_Official exposure index and the current divergence Tom has noticed. .

First trading day of the month has generally been strong. except August: $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.

$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: and and Also notable is that the edge basically.

I really liked this recent paper, by Tom Carlson. It presents a interesting approach to a Defense First strategy. $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.

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.

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:

$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.

$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.

RT @RyanRedfernCMT: I'm at @NAAIM_Official Uncommon Knowledge conference reading my daily @QuantifiablEdgs newsletter. And who is sitting….

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: .Triple 70: $SPX $SPY

RT @Callum_Thomas: ICYMI: Weekly S&P500 ChartStorm blog post Thanks + follow reco to chart sources.@topdowncharts….

$SPX will complete a "Death Cross" formation today. I updated my research in this blog post this morning: $SPY $QUANT $STUDY

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. May futures 6.

21-day realized vol for $SPX is now 46. Hasn't been this high since 2020, when it peaked at 95. The 46 should continue to rise over the next several days, since low-volatility days from mid-March will be falling off the back of the calculation. $VIX is typically above realized,.