S&P Low HV Index

 Posted by at 2:46 pm
Jul 242016
 

Copyright reminder: The following research note is intended solely for the use of our subscribers. Redistribution in whole or in part is strictly prohibited.

The number of S&P500 components with a 10-day realized (historical) volatility under 10.0 soared to Continue reading »

Jul 222016
 

Copyright reminder: The following research note is intended solely for the use of our subscribers. Redistribution in whole or in part is strictly prohibited.

Jim Cramer has mentioned this indicator as one of his favorite market timing tools. To be clear, this is NOT the official Oscillator as published by Standard & Poors Trendline. This is a version we’ve recreated from an old paper by the indicator’s creator. The initial version that we still track is based on NYSE breadth, but the one we’re highlighting today replaces the NYSE data with SPX component breadth.

The oscillator typically holds within a range of +10 to -10 as can be seen in the longer-term chart below…

osclt

Unusually high readings are bullish developments. Notice we recently saw the highest reading of the past few years, with the Oscillator hitting an impressive 12.59 on July 12th. When a reading over 10.0 is followed by higher prices over the next week, it’s usually indicative of a runaway type move that leads to even higher prices over the next couple of weeks. That could be what is playing out now…

S&P Oscillator (SPX Components) Over 10.0,
SPX Higher One Week Later (1st occurrence in 2+ wks)
07/19/16… SPX ??? two weeks later
03/04/16… SPX +2.5% two weeks later
10/19/15… SPX +3.5% two weeks later
11/05/14… SPX +1.2% two weeks later
02/25/14… SPX +1.2% two weeks later
07/25/13… SPX +0.4% two weeks later
09/21/10… SPX +1.8% two weeks later
07/28/09… SPX +1.5% two weeks later
06/11/03… SPX -2.2% two weeks later
05/12/97… SPX +1.4% two weeks later
01/08/92… SPX +0.0% two weeks later
02/13/91… SPX -0.5% two weeks later
05/21/90… SPX +2.4% two weeks later
01/21/87… SPX +4.4% two weeks later
08/14/84… SPX +1.8% two weeks later
10/20/82… SPX +2.6% two weeks later
08/31/82… SPX +4.4% two weeks later

Shorter-term indicators like Leading TICK Volatility remain at extremely low levels since July 14th, reflecting an absence of institutional participation that should ultimately lead to a pullback. This has created a push-pull dynamic with the strong upside momentum battling a tape with no large buyers.

Scroll through our historical database of S&P Oscillator data below, or if you wish to export to a spreadsheet or elsewhere, simply click on the table below, select all (ctrl-a), copy and then paste. You can also click here for an Excel file. Daily updates can be found in the end-of-day data section of the site.

Copyright 2016 Astrikos LLC - All Rights Reserved

Model Update

 Posted by at 1:12 am
Jul 212016
 

Copyright reminder: The following research note is intended solely for the use of our subscribers. Redistribution in whole or in part is strictly prohibited.

Equities model made the following adjustment at Wednesday’s close… Continue reading »

Equal Weight S&P

 Posted by at 8:34 pm
Jul 192016
 

Copyright reminder: The following research note is intended solely for the use of our subscribers. Redistribution in whole or in part is strictly prohibited.

The Equal Weight S&P500 has Continue reading »

Lead TICK Vol, Part 2

 Posted by at 8:28 pm
Jul 142016
 

Copyright reminder: The following research note is intended solely for the use of our subscribers. Redistribution in whole or in part is strictly prohibited.

Leading TICK Volatility closed at 2.0 Thursday, sending the 5-day average not only under 5.0 but under 3.0. That extremely low reading reflects Continue reading »