Arms Index Extremely Extended

The Arms Index or TRIN is an indicator that I watch closely for short to intermediate-term setups. The indicator which combines ratios of advancing issues to declining issues and advancing volume to declining volume is a reasonably reliable contrary signal. Since mid-October the Arms Index has been generating a number of historically high signals. In the chart below, I used a 10 day exponential...

A Graphical History of the ISM and the S&P 500 Index

I am sure many out there are wondering just how bad an Institute for Supply Management (ISM) index of 36.2 is in the historical context and just what it may mean for the stock market. Rather than a bunch of statistics, I thought the chart below might help. It identifies the six previous instances since 1950 in which the ISM index dipped as low as the current level. Not surprisingly, historical ...

VIX Drops 30% in Five Days for Eighth Time in 19 Years

A reader asked about the historical significance of the VIX dropping 30.9% in the last five trading sessions. This has only happened six times since the beginning of the VIX data history in 1990. If we lower the bar to a 30% drop in five days, we pick up a total 8 instances; and if we move the threshold down to a 25% drop in five days, the number increases to 32 occasions, including quite a few...

VIX and More: The Month in Words

Anyone who has yet to experiment with Wordle is missing out. First brought to my attention by Barry Ritholtz at The Big Picture, Wordle is a site that lets users turn text into a word cloud, with a wide array of creative options. Wordle can be used purely for fun, for analysis, or for any number of purposes. It might also have some value as an archival tool too. Without further ado, here is a W...

Chart of the Week: Yields on U.S. 10-Year Treasury Notes Below 3%

The chart of the week looks like it will now be a regular feature in this space. This week’s theme, once again, has a bond focus and extends the flight to safety theme from last week. The graphic below captures the full 46 year history of the yield on the 10-Year U.S. Treasury Note. While difficult to discern from the graph, this is the first week the yield on that bond has ever closed below 3....

Recent Highlights in Volatility

I am moving closer and closer to a regular feature along the lines of “The Week in Volatility.” I’m not quite there yet, so today I am going to turn the keyboard over to others around the blogosphere who have posted some interesting articles of note about volatility from the past week: Berkshire Hathaway’s Peculiar Volatility Numbers, Berkshire’s CDS and Counterparty Hedging, and Berkshire’s Pu...

Happy Thanksgiving to All

When you are done with all the turkey, stuffing and pumpkin pie, consider some exercise. The chart below, courtesy of the Mayo Clinic, spells out how much exercise it will take to burn off the gastronomic excesses of the day: [source: Mayo Clinic]

ProShares Rolls Out Commodity and Currency 2x and -2x ETFs

Just 12 days ago I came out with what I thought was a bold statement in Prediction: Direxion Triple ETFs Will Revolutionize Day Trading. I was going to do a follow-up to show how volume has skyrocketed in these ETFs, but Bespoke beat me to it in today’s 3x ETFs on Fire. Bespoke includes some excellent graphics that capture the extreme volatility in these ETFs as well as the snowballing volume t...

Recent Gold Volatility

I have been receiving quite a few questions about gold and gold volatility lately, so with gold receiving a lot of attention in the press, I thought this would be a good time to check in on the commodity and on the CBOE’s gold volatility index (GVZ), which was launched back in August. Gold is something every investor should be watching these days as it reflects the ebb and flow of opinions abou...

A. Schulman Confounds the Imagination

Kudos to Michelle Leder at footnoted.org for some excellent spadework involving yesterday’s proxy filing for plastics company A. Schulman (SHLM). In “Gone Fishing – Seriously…” Leder flagged the section I have highlighted below in bold italics, but I thought it might be even more interesting to put the outlandish excerpt in the context of the broader scope of original document. The quotation is...