T2108 Status: 44.6%
T2107 Status: 45.2%
VIX Status: 18.5 (8.4% increase after jumping 24.5% the day before)
General (Short-term) Trading Call: Hold. Caveats listed below.
Active T2108 periods: Day #38 over 20%, Day #36 over 30%, Day #33 over 40%, Day #2 under 50% (underperiod), Day #6 under 60%, Day #108 under 70%
Reference Charts (click for view of last 6 months from Stockcharts.com):
S&P 500 or SPY
SDS (ProShares UltraShort S&P500)
U.S. Dollar Index (volatility index)
EEM (iShares MSCI Emerging Markets)
VIX (volatility index)
VXX (iPath S&P 500 VIX Short-Term Futures ETN)
EWG (iShares MSCI Germany Index Fund)
CAT (Caterpillar).
Commentary
Since 1990 (as far back as the data from Yahoo!finance goes), there have been just 197 trading days where the VIX increased by 3% or more and the S&P 500 maintained a positive gain on the day. The number of days drops to 79 for VIX increases of 5% or more. There are only 18 trading days since 1990 where the VIX increased by 8% or more and the S&P 500 still managed a gain.
It is very rare to observe a combination of a notable gain for the VIX along with a positive close for the S&P 500 (SPY). Yet, that is exactly what happened today with the VIX making a late day surge to gain 8.4% while the S&P 500 faded fast into the close but managed to hold onto a 0.5% gain. The last time the VIX gained at least 8% while the S&P 500 closed in the green was December 30, 2004. The VIX gained 8.1% while the S&P 500 barely eked out a positive gain of just .008%. The next to last time was May 5, 1997 when the VIX soared 15.0% even as the S&P 500 managed to gain 2.1%. This record is out of 6,276 trading days (January 3, 1990 to November 25, 2014)!
I am not yet sure what to make of this rare event (I am open to ideas!). It will take more time to run through a few possibilities and do some research. One possibility is that some big trader(s) rushed to make unhedged bets on future price levels for the S&P 500; that is, bets on options without simultaneous purchases or shorts on the S&P 500, or at least simultaneous trades that were not big enough to drive the S&P 500 into negative territory. This is pure speculation on my part. Even if my explanation has merit, I am not sure what larger implications could or should be drawn. Anyway, let's look at the related charts.
