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VIX Outlier Data and What It Means for the Market

Yesterday, we had one of the biggest intraday spikes of volatility we have seen in the history of the VIX. In fact, here is the VIX distribution since 2003 (not the beginning of the VIX, but intraday data on the VIX started in Sept 2003).

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15 comments

15 Comments

Roy H.
Aug 10

Where is the data for " NYSE and Nasdaq Derivative volume indicator" coming from?

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MD
Aug 07

My Hedge Signal - Risk Dataset does not show the red bar triggering yet. Any idea why or how to refresh?

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Vincent D.
Vincent D.
Aug 07
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Replying to

Yes, the data was revised last night. I was actually very surprised by how much that indicator had risen yesterday, considering that the day was much more green than red, despite a cluster of red in more risky assets. I think the revision fits more with what we saw. The good news is that we now compute the underlying data of this indicator ourselves by looking automatically at each of the 4000-5000 companies on the NYSE and Nasdaq, in order to be independent of TradingView. I will make sure with Zackary that from now on that I always get our own reading by email each afternoon.

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Sascha Affolter
Aug 07

If I combine Japan, the previously strong USD and the chinese Yuan (remember, Yellen's trip to China), then I assume that a new business cycle is currently emerging, in which a reset of the leveraged system is first carried out. This usually leads to an 18%-24% crash (on Nasdaq 100) until an actual bottom is found. The key event will probably be the 18 of September 2024. Similar situations were in Jan-Feb 2016 and in autumn 2018.

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Vincent D.
Vincent D.
Aug 07
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Replying to

Yes, I also think that we are in the last months of that business cycle, which should coincide with the rise of the new one. Whether the key event will be in September 2024 or a bit later, I don't know. But I am sure that the next FOMC meeting will be a turning point, and that the Fed should be part of that change, somewhere not too far off. Looking forward to a new business cycle, where optimism should have more space!

(Also could you send me an email at vincent@thewealthumbrella.com , I would like to discuss some stuff with you)

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michael
Aug 06

Vincent, great stuff here! thanks! it is somewhat uncharted territory. this analysis gives a frame of reference for start of a new uptrend but if all is well we might just look back on this as some good ol' august volatility (with some added spice!). :) i admit to kicking myself for not adhering to my sense (informed by some light analysis of seasonal tendencies) that 2nd half of Jul through Aug would be bumpy and I should trim my exposure and re enter in Sep... but it is what it is. Had I done so, it might have lined up perfectly with the low end of that frame of reference (39 days). ha!


I'm not sure exact conditions in…


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Vincent D.
Vincent D.
Aug 07
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Replying to

Well, let's not forget that September is also often a horrible month on the stock market! But yes, August has a dark history. It is actually overrepresented when it comes to black swan events like we had on Monday. Very strange. It is something I knew, but I was still surprised when I found that list on Twitter (still fighting the X name...).


August 1990 - Iraq invades Kuwait

August 1997 - Asian contagion

August 1998 - Russia defaults on debt leading to LTCM failing

August 2010 - European debt crisis

August 2011 - US debt downgrade

August 2015 - China devalues the Yuan

August 2024 - Yen carry trade blows up


I would add to that list August 2019,…


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ThankYouWUTeam
Aug 06
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Thank you! In the past you provided phase angle values for SPY and QQQ that would statistically show potentially good trades. If you were doing the same exercise for SMH have any values in mind. That you could share?

Edited
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Vincent D.
Vincent D.
Aug 08
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Replying to

BTW in bull market mode this is how the strategy use the phase angle although on a threshold of 2.8 Standard deviation.

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