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Duality Research
1,847 posts
Duality Research
@DualityResearch
Joined November 2023
- The VIX Index just crashed more than 25% from its intraday highs today. Similar pullbacks — when the VIX was above 27 (about one standard deviation above its long-term average) — have typically coincided with market lows in the S&P 500.
- Since 1996, only two other days have seen stronger S&P 500 breadth paired with a bigger loss.
- Large speculators / hedge funds are holding their largest net short positions since the market bottomed in early April. Let that sink in.
- The S&P 500’s P/E ratio just hit a 4-year high at 22.6x, but here’s why the market isn’t really screaming “overvalued.” The act of comparing today’s multiples to their 10-year averages is, in our view, conceptually flawed. It implicitly assumes the index’s earnings structure and
- On average, the S&P 500 gained 9.21% over the next three months when the intraday VIX drawdown exceeded 25% from its highs.
The VIX Index just crashed more than 25% from its intraday highs today. Similar pullbacks — when the VIX was above 27 (about one standard deviation above its long-term average) — have typically coincided with market lows in the S&P 500. - And today, we flip the script! There has never been a day with a smaller gain and better breadth!
- Nothing really bad happens when investment grade spreads are below 100! Since credit spreads usually widen before major market peaks — which isn’t happening right now — we see these tight spreads as a sign that the corporate bond market is feeling pretty confident about US
- Interesting how the S&P 500, the average stock, and the Magnificent 7 are all sitting at the same retracement level. Will the 61.8% Fibonacci retracement from the August rally hold as support?
- Market breadth is fine for now, but with the S&P 500 recently running nearly 8% above its 200-DMA, we’ll admit that stronger participation would help support a move like that. To put things in perspective, we looked at how far the index tends to stretch above its 200-day vs how
- The last time gold dropped this much in a single day, it spent the following 3.5 years moving sideways. After doubling in 1.5 years, it wouldn’t be surprising if this marks the beginning of a prolonged consolidation phase.
- A week ago, a deGraaf Breadth Thrust triggered, as 58% of S&P 500 stocks made 20-day new highs. This means we have entered a breadth thrust regime that lasts 1 year. And when that happens? The results speak for themselves. Since 1975, we’ve seen 30 of these signals (excluding
With over 55% of S&P 500 stocks closing at 20-day highs, we’ve triggered a deGraaf breadth thrust – a historically significant signal that marks the start of a new bullish regime lasting 252 trading days. @RenMacLLC @WillieDelwiche @granthawkridge - Today’s weak participation really stands out given how the S&P 500 performed. There has never been a day with better returns and worse breadth!
- Any downside in equities is likely to be short-lived and largely contained. Why? Because there’s roughly a $120 billion gap between current institutional S&P 500 futures positioning and where it probably should be. In other words: Asset managers & hedge funds are behind the
