So far in the 2022 bear market, in each overlapping 10d period the $SPY has ended higher on day 10 32% of the time (mean return -.8%). Yet... in each 10d period the $SPY has closed higher at least once 79% of the time.

A look at historically adverse market regimes below 🔽

https://twitter.com/HalfersPower/status/1476554362663145474

In 2001, each overlapping 10-day period saw the $SPY end higher on day 10 ~41.5% of the time with a mean return of -.78%. During each 10-day period it closed higher at least once 82.35% of the time.

In backwardation via $VIX: $VIX3M next month RVOL is highest amongst the deciles (d10 >1) ~43% subsequent realized volatility.

https://twitter.com/bennpeifert/status/1519129080481738753

In our historical dataset.. since about later 2007, backwardation has had stronger relative mean returns, especially about 60 days out, but that relationship is not that strong...

The @squeezemetrics $DIX data a summary of the last ~2 years , what has changed and what has remained the same with regards to $SPY price movements.

https://twitter.com/SqueezeMetrics/status/1516417660292145158?s=20&t=hTpmx8HsHgY6rHTUr8Djbg

(1/10) ⬇️ If you aren't familiar with $DIX from ~11'-20', a high print( >.45+) subsequently had strong 60-day mean relative returns on $SPY. The chart below shows the $DIX indicator broken up into deciles. The strongest relative mean returns occurred in the 10th dec. at ~3.5%. (2/10)

A couple market observations... short-term S&P500 correlations at .67 or 89th percentile of the past 100 days despite $SPY trading back to ATHs. Conversely volatility term structure for individual stocks in the S&P500 is mostly in deep contango as measured by the ratio of 30/60 day IV (more blue = more likely in contango and vice-versa)

Last week the big news was the $VIX term structure backwardating. The chart below looks under the hood at the $SPY component term structure as calculated as ATMIV30/ATMIV60, and is then ranked on a rolling 50 day basis. As of Friday the average rank was just 68 percentile. ⬇️ The Y axis is composed of each S&P500 component. The darker the red, the more likely term structured is backwardated for that component, and the darker the blue, more likely in deep contango. Zooming in to recent data looks like this.

On Friday the SPY had a fire lit underneath it, it was the most illiquid day in a very long time. 332 of the 504 the S&P500 components printed 200 day Illiquidity Ranks above 90%. So what does it mean. The chart above shows each component of the S&P500 ranked by it's liquidity score and then sorted from top to bottom each and every day. What is transactional liquidity in the markets and how do we measure it? Pop open the image below

S&P500, $SPY short-term (10-day) Sector Correlations are ultra low closing at .06. In 2021 this condition has preceded sell-offs. Minor-sell offs that is. Black candles highlight days when the short-term #correlation was between 0 and .1.

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? *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.

What to look for in the week to come... the $DIX closed quite elevated at 47.5%.

https://twitter.com/SqueezeMetrics/status/1438983328850395138?s=20

⬇️ 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.