* One of the measures I rail is something I telephone vociferation upward marketplace position "stability". It basically looks at the uniformity vs. dispersion of correlation too volatility inside the stock market. I let on that stability has been breaking downward inward recent sessions. The end fourth dimension this happened was at the rattling terminate of February/very outset of March, which preceded a marketplace position dip. Indeed, since the start out of 2012, the hand quartile of stable markets convey averaged a five-day gain of +.72%. The bottom quartile of stable markets convey averaged a five-day loss of -.02%. In the middle quartiles, we've averaged five-day gains of +.52% too +.23%. We're non at that bottom quartile presently, only we've moved out of the hand one-half of the distribution.
* this blog's before observation too investigates the implications of underperformance of small-scale caps. Again, nosotros tin give the axe expect past times quartiles since the start out of 2012 too it turns out that when smaller caps (IWM) convey most underperformed the S&P 500 index (SPY) over a 10 24-hour interval period, the side past times side 5 days inward SPY convey averaged a gain of +.85%. The side past times side 3 quartiles average, respectively, +.05%, +.09%, too +.53%. Interestingly, we've seen momentum when small-scale caps convey meaningfully outperformed large caps too reversal when they've meaningfully underperformed.
* I don't run across a like human relationship betwixt SPY outcomes too the grade to which NASDAQ shares (QQQ) underperform. Indeed, next the instances inward the hand quartile of QQQ underperformance over a 20-day menstruum since 2012, the side past times side twenty days inward SPY average a gain of exclusively +.60, compared amongst an average 20-day gain of 1.61% over the residuum of occasions.
* Sentiment matters. Since 2012, the hand quartile of days based on unmarried 24-hour interval stock index put-call ratios convey averaged a side past times side 20-day gain of 2.22%. The bottom quartile of days (lowest index put/call ratios) convey averaged a side past times side 20-day gain of .78%. The hand quartile of days based on unmarried 24-hour interval unmarried equity put-call ratios convey averaged a side past times side 20-day gain of 2.11%. The bottom quartile of days convey averaged a gain of .81%.
* Volatility matters equally well. Since 2012, the lowest quartile of VIX days convey averaged a side past times side five-day gain of exclusively .03%. The highest quartile of VIX days convey averaged a side past times side five-day gain of .87%.
* Divergences? The skillful tidings is that SPY has been exclusively virtually 2% off its all-time highs during the past times 3 trading sessions. The bad tidings is that stocks making novel monthly highs savage curt of those making fresh monthly lows past times 376 to 993 3 days ago; past times 212 to 1461 2 days ago; too past times 328 to 646 yesterday. There has been much to a greater extent than weakness than the large cap indexes suggest.
Further Reading: A Different Way of Looking at New High too Low Data
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