Thread by @ukarlewitz

$VIX up >40% yesterday. Others in past 30 yrs. None marked the exact low on an intraday basis $spx 1/2

Cont 2/2

New intraday low today. For the immediate term, both the $vix spike and the mega distribution day pattern have been fulfilled. Charts on both earlier today and last night $spx

$Vix closed right on the lower Bollinger today. Vertical lines are days it closed below the BB in the last 5 yrs

An August surprise typically results in a summer pop in volatility (between blue lines), but it’s been a while since $VIX entered the month well over 20

Narrator: there was no surprise this August, no pop in volatility and $VIX is still over 20

$SPX and $VIX have been unusually positively correlated. That has mostly been bad news (red lines) but not always (green lines)

October starts Thursday $spx $vix
marketwatch.com/story/heres-ho…

So far so good and little reason to expect that to change $vix

https://twitter.com/ukarlewitz/status/1310593164240060416

Up 200 pts in 6 days and then down 100 pts in 3 days. Half the month still ahead :)

https://twitter.com/ukarlewitz/status/1312070428676898818

$VIX spike above upper BB + over 20 + in backwardation = usually (but not always) near a low in $SPX

The most accurate prognosticative chart for October

https://twitter.com/ukarlewitz/status/1312070428676898818

$VIX massive dump

$VIX under 20 could initiate a grind higher

https://twitter.com/sentimentrader/status/1329111052471201796

Blue arrows when $vix <20

A little dated but this table shows the superior $SPX returns and R/R when $vix <20 versus higher. Hence, the ‘grind higher’ vs ‘things happen’ (std dev)

I like having the COTD

https://twitter.com/TheChartReport/status/1329197605801308162

High positive correlation between $SPX and $VIX the past 5 days (bottom panel). In an uptrend, $SPX usually (not always) has an upcoming burp; some big, some small, some soon, some in a month

Volatility has stayed in a tight range for 2 months. That can go on but it will not last (bottom panel). The 'grind higher' in $SPX then usually gives way. Mr Market likes regime changes, keeps everyone on their toes

$VIX up +40% today (lower panel). Here are others since 2009. Looks like a lot of bounces in $SPX that then get sold (red circles), with one exception (green arrow)

$SPX +1.8% so far after a big drop on FOMC and a massive $VIX spike was strongly odds-on. That’s usually not the end of it

https://twitter.com/ukarlewitz/status/1354522457562959875

So that happened

https://twitter.com/ukarlewitz/status/1354538424078766081

https://twitter.com/MacroCharts/status/1356573083562344448

The nearly 40% fall in $vix in the past week (lower panel) has led to inconsistent forward returns for $SPX (middle panel)