Click on thumbnail to enlarge image of today’s data.
- Dark pools still buying, long gamma remains high. Fed Minutes coming up on Thursday.
- Those overpriced 3300 calls (initially long 12/13) saw substantial profit-taking. 2670 puts (initially short 11/7) were covered.
- While some selling into the new year is to be expected, yesterday’s fall in $SPX was driven primarily by selling in Technology, especially AMZN, FB, MSFT, GOOGL, and AAPL.
- More importantly, Financials (XLF) held up relatively well, losing only a third of what $SPX lost.
- Volatility’s uptick was a pure function of $SPX options. While $VIX options sizzled, trading 2.03x their 5-day average …there was relatively little change in the volatility of volatility (VVIX).
- Implied Correlation (ICJ) saw an uptick but stayed within its range.
Taken together: So far, there is insufficient data to support a short bias in $SPX. Barring a geopolitical shock, the following factors would support a more bearish outlook: 1) coincident signals in DIX-GEX-TSMOM, 2) a concomittant rally in /ZB and selling in the Financials sector, 3) an increase in VVIX and ICJ.