ryanbrennan's blog

By Lawrence G. McMillan

Stocks continue to have trouble rallying, but at least support has shown up in the 1870 area of $SPX. If that level is broken on a closing basis, it would mark the end of any short-term rally attempts.

Even though both equity-only put-call ratios are on sell signals and pressing against new highs, they are in deeply oversold territory.

Market breadth has improved this week. As a result, both breadth oscillators are now on buy signals.

By Lawrence G. McMillan

A “modified Bollinger Band” (mBB) buy signal is nearly upon us.  It almost occurred today (Thursday, January 13th), but missed by a couple of points.  We began to wonder how past sharp market declines lined up with the eventual mBB buy signal.  Was the first signal successful, or did it take a number of probes before the market eventually bottomed.  Was the mBB buy signal the bottom of the market, or did it continue on downward at a later time?

By Lawrence G. McMillan

The market has finally stabilized to some extent.  Even though $SPX had wide swings in the past week, there was a net gain over the past five trading days.

There is strong support at 1820 (see Figure 1), because that is where this January's decline halted, and where the declines of April and October 2014 also halted.   A breach of that area would be quite negative.

By Lawrence G. McMillan

Composite Implied Volatility (CIV) – for an individual stock – is calculated by weighting the individual implied volatilities of each option that traded on that stocks, by volume trading and by distance in- or out-of-the-money (at-the-money gets the most weight).  We calculate this daily and store it in a database.  Later, then, it is a simple matter to determine the percentile of the stock’s CIV by comparing the most recent reading to the past 600 (or whatever) readings.  

By Lawrence G. McMillan

Stocks remain under extreme pressure, but it finally looks like the oversold conditions are starting to have some effect. An oversold rally is now underway.

By Lawrence G. McMillan

The fall in the price of $SPX has continued, adding to the worst start of any year -- ever. As a result, there are severe oversold conditions, and buy signals are pending on many fronts. But few buy signals have been confirmed, and markets can continue to decline precipitously while they are oversold.

By Lawrence G. McMillan

Recently, the CBOE’s Volatility Index ($VXST) closed above all three of the other CBOE Volatility Indices.   At the time, it struck me as being a rather rare occurrence, and it seemed there might be some considerations as to forthcoming market movement.  Consequently, a rather extensive study was performed, and indeed a trading system did emerge, as this article will reveal.

By Lawrence G. McMillan

The stock market has taken a real beating in the new year. Massive oversold conditions have arisen, and a sharp, but short-lived rally is possible at any time. The larger picture, though, is an intermediate-term bearish one.

$SPX has been down-trending since early December, when the first pattern of lower highs was established. The current pattern of lower highs and lower lows remains intact, and that is bearish.

By Lawrence G. McMillan

Usually we make this the topic of a longer article at year-end, but frankly we are not holding positions for anywhere near a year, so this is just a mental exercise – not having a lot to do with our style of trading.