Some Further Comments on The $VIX Futures Term Structure (Preview)

By Lawrence G. McMillan

Last week, we wrote about the term structure of the $VIX futures, and how one should heed it if it begins to  invert.  In that regard, we showed a chart of the difference in premium of the two front month $VIX futures going back a couple of years.  This week, we dusted off some previous research that showed a sometimes more reliable indicator of pending bearishness for stocks is to be wary of an inversion between the third month $VIX future (VX3) and the front month $VIX future (VX1).  The accompanying chart shows this spread going all the way back to the inception of $VIX futures trading in 2004.  

Weekly Stock Market Commentary 4/7/2016

By Lawrence G. McMillan

Stocks (as measured by the $SPX Index) have had plenty of chances to collapse or to rally to new highs. Instead they have done neither, frustrating both bulls and bears.

In looking at the $SPX chart, two things stand out to me: 1) there is still a downtrend in place, from the all-time highs on March 1st, and 2) the support level at 2322 remains untested and thus is important. The equity-only put-call ratios are mixed with the standard ratio being on a buy signal, while the weighted ratio is on a sell.

Market breadth hit a rough patch this week and because of that, both breadth oscillators rolled over to sell signals, despite positive breadth on April 6th.

Some Comments on The $VIX Futures Term Structure (Preview)

By Lawrence G. McMillan

This week, we had a customer question about the $VIX futures term structure, and I thought this might be a good time to review exactly what it is and what it means, while the market is still in a relatively calm environment. 

Weekly Stock Market Commentary 3/31/2017

By Lawrence G. McMillan

Stocks (as measured by $SPX) made their highs on the first of March and have been struggling to regain that level ever since. Last week's breakdown beneath what appeared to be important support at 2350 generated enough selling that, this past Monday, $SPX opened down nearly 20 points and seemed primed to head lower. But buyers stepped in at 2322, and it's been nothing but up, up and away ever since. So that level represents important support now.

McMillan's "Talking Trading" Interview Now Available

Larry McMillan's interview with talking Trading from back in October 2016 is now available on their website. In the interview, Larry discusses the Volatility Capture strategy, his best and worst trades and areas of potential growth in the markets.

Click here to visit the talking Trading site and listen to the interview. 

Weekly Stock Market Commentary 3/24/17

By Lawrence G. McMillan

The stock market has finally broken a support level, in terms of the Standard & Poors 500 Index ($SPX). When $SPX traded below 2350 on Tuesday, it led to a fairly severe down day. This turns the short-term picture negative. The next support level is at 2300.

Equity-only put-call ratios are quite bearish. They will remain bearish as long as they continue to trend higher.

Currently, both breadth oscillators are on buy signals. It is somewhat ironic that breadth was a laggard when the market was on its way up, but now seems to be stronger than the market on the way down.

Weekly Stock Market Commentary 3/17/2017

By Lawrence G. McMillan

The stock market, as measured by the Standard & Poors 500 Index ($SPX) rather quietly bottomed a week ago and has moved steadily higher over the ensuing week. Thus, the $SPX chart remains bullish with support at 2350 level.

Equity-only put-call ratios continue to creep higher. This has had the effect of generating sell signals, at least according to the computer programs that we use to analyze these charts. In reality, these charts won't be truly bearish until the put-call rises sharply and steadily from here.

Weekly Stock Market Commentary 3/10/17

By Lawrence G. McMillan

Things are beginning to deteriorate, somewhat in terms of price, but mostly in terms of our indicators. We've seen this scenario before, though -- most recently in late December, but the market response was subdued and volatility remained low. That combination resulted in a move to higher prices after December, and it could well be that the same is setting up now.

Even with this week's decline, though, $SPX remains in an uptrend. The pullback so far has only tested one support level, and all of the moving averages continue to slope upward. Hence it is a bullish chart.

2016 Tax Considerations: Section 1256 Contracts

By Lawrence G. McMillan

We usually try to run an article on this subject at least once during tax season. I realize that not everyone is aware of the rules governing Section 1256 contracts. Hence, since tax season is upon us, I thought this review might be of benefit to some of our subscribers – and to options and futures traders, in general.  Section 1256 trades include all futures trades, as well as futures options. They also include option trades on cash-based indices ($OEX and $SPX, and especially $VIX), but not SPY or QQQ, for example, for the underlying in those cases is an ETF, not cash.

Consecutive Days above the +4σ “modified Bollinger Band”

By Lawrence G. McMillan

The $SPX Index has stayed above the +4σ “modified Bollinger Band” since Feb 13th – a total of 13 trading days and counting.  This is rather rare, so we thought it might be interesting to see just how unique this is – and to see what happened at similar stages in the past.  In the following paragraphs, “days” refers to trading days.

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