YESTERDAY FLOWS: In the midst of yesterday’s large down move SPX & SPY Options saw yet another day of bullish flow with heavy put selling Short interest in most major indices decreased yesterday with S&P days to cover at 2.1 SVXY saw a 113% increase in short interest SPX saw another $111M premium sold OCTOBER 18th EXPIRY SPY is trading significantly below its Oct18 $198 pin strike, P/C Ratio of 2.69, OI Put Wall of $190 VXX is trading significantly above its Oct18 $30 pin strike, P/C Ratio of 0.89, OI Call Walls of $35 and $40 VOLATILITY: Both the VIX and the S&P have reached 100% IV percentile visualized in the IV/HV Index Short term breadth is indicating a potential upside retest in the coming sessions which will crush long volatility positions TVIX premarket is showing a potential retest of $4.20-$4.40 area INTERMEDIATE TERM: The monthly S&P chart is showing a significant test of the longer uptrend = MACD showing a bearish crossover + Directional indicators moving down = RSI having broken 70 (currently 61.80) + Stochastics at 83 and moving down to retest 80 While the very short term possibilities are constructive, the market closed below its 50-period weekly MA and the Technicals are bearish which should not be overlooked. If the market continues to slide 1795-1840 is possible, directional indicators on the VIX are showing increasing trending so we want to see a drop in VIX ideally below 20-21 in the near term for a sustainable reversal to occur.
Posted on: Tue, 14 Oct 2014 13:01:59 +0000
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