Blogs

The Seasonality of $VIX

By Lawrence G. McMillan

We have often talked about the seasonality of $VIX in past issues (although not for a while).  Figure 5 shows the Composite $VIX for a year.  A composite chart is constructed in a simple manner:

1) average the $VIX for the first trading day of the year and plot it

2) repeat the procedure for each successive trading day of the year

Obviously, in any one year, the composite chart may not accurately portray the entity being charted, but it can be useful to describe seasonal patterns.

Weekly Stock Market Commentary 7/28/17

By Lawrence G. McMillan

The $SPX chart is unabashedly bullish. It continues to make new highs, remaining above the trailing moving averages and holding above support. Thus the intermediate-term outlook is still bullish, per the $SPX chart (our most important indicator).

Equity-only put-call ratios remain bullish (Figures 2 and 3). The standard ratio has developed a little "wiggle" over the past few days, but at this point the computer analysis programs are still grading this chart as being on a buy signal.

$VIX Ties Record, With Six Consecutive Closes < 10 (Preview)

By Lawrence G. McMillan

This week, there has been some publicity about the fact that $VIX is (or has?) set the record for consecutive closes below 10.  However, both articles that I saw (one by Bloomberg, one by Ryan Dietrich) cited “backdated” data that – while representative – wasn’t actually correct.  The only other time in history where $VIX closed below 10 for multiple days in a row occurred in December 1993.

Weekly Stock Market Commentary 7/21/2017

By Lawrence G. McMillan

Bulls have been totally dominant again, over the past week (and really since last November). The gap upside breakout over the minor downtrend line (blue line in Figure 1), on July 12th, was once again the beginning of a strong upward move. This was similar to the previous upside breakout gap over a downtrend line, in late April. The $SPX chart is thus strongly bullish and will remain that way until support at 2400 is broken.

Years Ending in “7" - Full Article (Preview)

By Lawrence G. McMillan

We wrote about “years ending in 7” in the February 3, 2017, issue.  The data in Figure 5 is the same graph that was published at that time.  It includes data for the Dow Jones 30 Industrials, going back to its inception in 1897.  This  graph merely shows the average data points for all of those years.  

Editorial Comment: A potentially dangerous trend

By Lawrence G. McMillan

When $SPX broke down below 2420 last week, and there was a bit of panic selling, the term structure of the $VIX futures (and of the CBOE Volatility Indices)  immediately inverted in the front end, and the futures went to a discount.  That was a bit surprising and certainly premature from a historical perspective.  After all, if the $VIX futures are going to trade at a discount with $VIX at 15, where are they going to be if $VIX explodes to 40 in a real market decline?  Yes, it turns out that the market rebounded, so that “discount” was justified by what happened later, but was it really justified at the time?  I don’t think so.  

Weekly Stock Market Commentary 7/14/2017

By Lawrence G. McMillan

First and foremost, the most bullish of our indicators is the $SPX chart itself (although some of our other indicators seem to be grudgingly improving as well). The 2400 area has been rock-solid support and until that is broken the $SPX chart will remain bullish.

Equity-only put-call ratios are technically on sell signals, according to the computer analysis programs. However, the weighted ratio (Figure 3) has curled over, so its sell signal is weakening.

Years Ending in “7"

By Lawrence G. McMillan

We wrote about “years ending in ‘7'” earlier this year. The pattern is that these are bad years for the stock market, for the most part. They generally start off fine and rally into the summer or even the fall, and then the wheels fall off. I will try to work up an article with some more specifics on this trend, but I wanted to remind subscribers that this a year to treat breakdowns – especially in the latter part of the year – with respect.

Weekly Stock Market Commentary 7/7/2017

By Lawrence G. McMillan

This stock market has been able to avoid a meaningful correction for quite some time. But now $SPX has closed below support at 2420, and the failed upside breakout of mid-June is looking like a big negative item on its chart, as well. Of course, several times in the recent past, it seemed as if $SPX were about to succumb and it didn't. Can $SPX pull this escape act off once again? If it can hold support at 2400, it will.

Weekly Stock Market Commentary 6/30/17

By Lawrence G. McMillan

A real battle has developed around the 2420-2440 area of $SPX. That has been the trading range for the entire month of June, but recently there have been some violent moves within the range, including some failed attempts to break out of it. As a result, this is setting up a more important breakout, once $SPX can find its way to clearly break out of the range.

To the casual observer, not much has been happening, but to the trader who is involved daily, there have been some interesting feints and failures.

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