S&P500, $SPY short-term (10-day) Sector Correlations are ultra low closing at .06. In 2021 this condition has preceded sell-offs. Image
Minor-sell offs that is. Black candles highlight days when the short-term #correlation was between 0 and .1. Image
There have been two persistent periods of low-correlation amongst S&P500 sectors those were 2000/2001 and 2017 -- in 2000/2001 it was unfavorable for the index and in 2017 favorable...
Across all data, the mean return has been negative for mean returns of -1.65%. ImageImage
The evidence that suggests it might be foreshadowing short-term turbulence. $VIX has remain elevated trading 10 pts above realized volatility (black dots) despite the index taking a nap -- and yet it has not materially spiked.

Black dots highlighted a spread of 10pts or higher Image
It has been high both before the minor sell offs of 2021, and at the bottoms.

The blue line shows the 1 week rate of change of the spread, it's not really gone anywhere, closing at 2 points as of Friday the 19th.
Likewise you can see that that by applying a 50 day percentage rank to that spread (90pct to 100pct filtered in black dots), it has been high at both tops and bottoms. Image
And the periodic reminder until I get ATM vol.
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All this data can be tracked and backtested on. tradewell.app

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More from @HalfersPower

17 Oct
The ratio of $VIX: 3M VIX is in steep contango, closing .80 on Friday [1] and dropping clues to the next market moves. Historically when contango has been this steep, $VIX has gone⬆️over the following month by 15% Vs. anytime $VIX returns* of 3% [2] ~Super~ Bearish right? ImageImage
*Sorry if $VIX % Returns make you mad.

Over the following month $VIX ended higher 75.9% of the time. So what did $VIX futures do...

$VXX returned on average -5.27% during the same time period compared to it's anytime return of -3.55%. Contango at work.
And how about the S&P500 ETF $SPY?

It was consistently some of the least volatile action over the following 1 month compared the anytime $SPY returns.

So if you were looking to get all bear'd up, you might have to look elsewhere! ImageImage
Read 4 tweets
19 Sep
What to look for in the week to come... the $DIX closed quite elevated at 47.5%. ⬇️
Over the next week the S&P500 returned 1.46% on average compared to anytime returns of .31% in the past ~decade. A elevated $DIX did not preclude short term risk capping out at about -5%, historically. ImageImage
In the intermediate term this has been overwhelmingly bullish with the S&P returning 9% over the next 60 trading days with the 5th percentile return at 0%. Image
Read 10 tweets

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