Getting Green

 The SPY is pretty much at all-time-highs (what's new), and everything is good right? I would beg to differ. Depending on which volatility market you examine, some are pricing in a market pullback, some are suggesting times have never been better to invest. I firmly believe that the most likely outcome of the two sides is more leaned towards that of a drawdown within the S&P 500 index. In this post, I will show which volatility markets are bullish, which are bearish, and which I believe is the more correct of the two.  Update on the VIX and VVIX In my previous posts, I have spoken multiple times on the VVIX and the VIX, as they are extremely important measures in gauging how the market might preform in the future on a 30 day basis. The end of this trading week further reiterated my previous view on how there was an ever-expanding VVIX and VIX divergence. This week, the VIX closed down roughly -6% from Monday's reading of 21.24 to this Friday's close of 19.97, while the

 As a firm believer in the advantages in volatility timing for one's market timing strategies rather than simply traditional surface area of price market timing, I analyze a decent amount of data in the derivatives space. More specifically, the futures and options markets. I focus on ES contracts, which are essentially futures contracts that track the S&P 500 index, but are quoted in smaller notional values than traditional futures contracts on the S&P 500 index, which allows for more liquidity (more people are able to play with more contracts since it is more affordable) and better price discovery (with more market participants on this product, there is inherently more information conveyed, so the chances of arbitrage strategies as a result of an inefficient pricing of the given product is much less likely than the traditional futures contracts). In order to get a sense of what volatility might look like in the future (implied volatility), I analyze options on those ES con

 In my previous article, I played with the idea of a vol spike in the markets, more specifically, the S&P 500 option markets. This idea still holds with me, as today's action has not really changed much. I will give specifics on what happened today (from a volatility standpoint, of course), and how this can effect the future returns of the SPX.  Breadth Update This morning, the SPY (a SPDR ETF-Tracking security for the SPX) opened up at 389.27 and closed at 390.51 for a gain of +0.72%, reiterating the all-time-high events that have been taking place. Although great news, I still have concerns. In my previous post, I mentioned how volume was down -33.66%, -31.71%, and -26.45% against the 5 day, 15 day, and 30 day previous volume averages, respectively. Now, these numbers have gotten worse, with the 5 day, 15 day, and 30 day at -33.33%, -45.91%, and -41.84% respectively. Also, just for a fun fact, this trading day's volume is down -20.89% versus the prior day. My interpretati

The S&P 500 is at all-time highs, and pretty much all of the other major indexes are also at all-time highs or just now breaking even with respect to pre-COVID levels. Retail investors are apart of the game like never before, with roughly 20-25% of all NYSE volume coming from retail order flow. This is great, as investing services are giving people access to the markets like never before. However, this can also pose a challenge from a volatility perspective. In this blog post I will state why I believe we, with respect to the S&P 500, are likely to experience a decent amount of volatility within the next few weeks, if not more soon than that.  The VVIX For those who do not know, the VVIX is an implied volatility-of-implied volatility index. What this means is that it measures the implied volatility of the VIX index, which itself measures forward-looking implied volatility of the options listed for the S&P 500 index, hence the name "vol-of-vol index". This index is