I'll discuss this tonight in the newsletter, however I'll post
some info now. Currently the DVT prices between the daily SPX and
weekly is quite large. For example the current daily DVT is 3613,
while the weekly is 3322, which is almost a 300 point
difference!
You would expect the weekly DVT would be quite a bit lower on
average and it is, however when I look back at the past history,
the major corrections/pullbacks tend to occur whenever the daily
and weekly DVT prices converge and are NOT so wide, usually you get
the major corrections when the point difference is 100 points or
less. This also makes sense because the daily and weekly DVT prices
tend to converge when prices have consolidated for a while
(sideways move/chop) which allows daily MA's like the 20 and 50 day
MA's to 'flatten out' which is when prices are most vulnerable to a
hard rug pull.
Currently we are seeing a 300 point difference between the daily
and weekly DVT prices for the SPX. What that tells me is that while
we may soon get a pullback in the market, it probably won't be one
of those large corrections that occur whenever they are tight and
close together. I'd say the next pullback won't hit the
weekly DVT basically and simply be a correction that won't be too
deep and will be bought again.
here's a couple images, the stat table, and a chart showing the
currently weekly and daily charts. On the left weekly chart I point
out a few of those recent major corrections , while on the daily I
show the Feb one.
anyway interest concept but makes logical sense as well
Posted by jonesy85 on 28th of Dec 2020 at 02:07 pm
this is great stuff Matt. Any further analysis or color
you can add from other larger sell offs in history? Does this
help at all with the daily &vs 2hr time frames for corrections?
thanks!
Something I've noticed regarding the daily and weekly SPX DVT's
Posted by matt on 28th of Dec 2020 at 11:45 am
I'll discuss this tonight in the newsletter, however I'll post some info now. Currently the DVT prices between the daily SPX and weekly is quite large. For example the current daily DVT is 3613, while the weekly is 3322, which is almost a 300 point difference!
You would expect the weekly DVT would be quite a bit lower on average and it is, however when I look back at the past history, the major corrections/pullbacks tend to occur whenever the daily and weekly DVT prices converge and are NOT so wide, usually you get the major corrections when the point difference is 100 points or less. This also makes sense because the daily and weekly DVT prices tend to converge when prices have consolidated for a while (sideways move/chop) which allows daily MA's like the 20 and 50 day MA's to 'flatten out' which is when prices are most vulnerable to a hard rug pull.
Currently we are seeing a 300 point difference between the daily and weekly DVT prices for the SPX. What that tells me is that while we may soon get a pullback in the market, it probably won't be one of those large corrections that occur whenever they are tight and close together. I'd say the next pullback won't hit the weekly DVT basically and simply be a correction that won't be too deep and will be bought again.
here's a couple images, the stat table, and a chart showing the currently weekly and daily charts. On the left weekly chart I point out a few of those recent major corrections , while on the daily I show the Feb one.
anyway interest concept but makes logical sense as well
this is great stuff Matt.
Posted by jonesy85 on 28th of Dec 2020 at 02:07 pm
this is great stuff Matt. Any further analysis or color you can add from other larger sell offs in history? Does this help at all with the daily &vs 2hr time frames for corrections? thanks!
makes perfect sense.. thanks
Posted by ruscitti on 28th of Dec 2020 at 12:48 pm
makes perfect sense.. thanks
Good stuff!
Posted by brophy on 28th of Dec 2020 at 12:32 pm
Good stuff!
I don't know if it's
Posted by timebandit on 28th of Dec 2020 at 12:23 pm
I don't know if it's possible, but I wonder what a chart of the Daily DVT minus the Weekly DVT would look like when lined up with SPX price...
Regardless, this is really good information. Thanks!
Good stuff, thank you for
Posted by shecar on 28th of Dec 2020 at 12:07 pm
Good stuff, thank you for doing the work on this.