The ratio VIX/SPY goes down when SPX 0.05% goes up. This makes it easier to see the ratios lower limit (and SPX's upper limit)
Today VIX/SPY broke a support.
SPX has not yet mimicked this move
If VIX/SPY returns to baseline (as it has before) it implies a move of SPX500 to ~2183.
It is tempting to short SPY (or SPX500, ES, etc.) as it violated support at Fridays close. (top)
Here is why I am long:
Plotting SPX500 relative to the DOW or to the dollar (DXY) suggests that it is most likely to bounce up. Relative to DOW, SPX500 is on a support that has held 4 times over 4 previous months ...
While the market marches higher (bottom) the ratio SPX500/US30 is in sharp decline. This indicates LARGE out performance of the (safer) DOW index.
Open question: Why would investors abandon SPY for the DOW as futures seem to be rising?
The rate of change in the ratio between the Dow Real Estate index and the Real Estate and Housing Dev index provides a reliable indicator for impending losses in SPY.
Setting a cut off of approximately 3.5 in the ROC (this can be tweaked) is useful.
Historic trend lines for SPY, VIX and the ratio SPY/VIX suggest SPY 50 (assuming VIX 100) in the future.
Timing is estimated with fibs anchored on past crashes.
A simple hedge is to buy Puts on SPY at the lowest strike (70) with a distant expiration date (Dec, 2018 is the farthest right now but these could be ...
The indicator shows $ change in NAS100 futures vs. US30 futures.
The previouse trend of increasing change to NAS100 vs US30 has been broken.
As US30 may be considered a safe heaven relative to the NAS100 index, the trends breakdown signifies a tipping point in terms of risk.
A 'bottom wick' can be formed on the monthly chart by having an all green/up week. When combined with the red candle at the monthly level - Creates the dynamic of a 'bottom' where the bears push price down to a limit and the bulls succeed in fighting back and bring price back up - and the bottom is formed.
Bottom candles tend to have a lower wick. This represents the bears bringing down the price and the bulls overcoming the bears and bringing price back up. Hence the 'bottom'
Last week SPY decline lacks a wick. Suggests more Down to come.
Motivation: Historical data shows how the index ratio SPY/DIA gives insight into different market phases since the Dow is more attractive when risk is high. (ref: www.crossingwallstreet.com/archives/2013/09/the-dow-to-sp-500-ratio-2.html )
Daily and intraday movements can be both described and predicted using ...
2*XAUUSD*100-ZBH2016*1000, 45, a year ago
value seems to be transferring from bonds to gold.
a long gold, short bonds position produces an attractive equity curve.
The charts shows dollar value for a combined position of 3 futures:
2 long GC (gold)
1 short ZB (treasuries 30yr)
4*US30*5-NAS100*20-SPX500*50, 120, a year ago
The gold-oil gap appears to be passing through a tipping point. A surge in the long-gold short-oil position could be due to either a gold rally, an oil dump, or both. Chart shows position using one gold future and one oil future but there exists a parallel position using ETF's.