FINANCIAL ICEBERG
Always consider hidden risks
 TECHNICALS
Volatility:  My Canary in the Coal Mine 
 April 24 2017 (From TradingView, SPYETF, CNN Money  )
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​​As the SP500 Index (SPY ETF) is only at 2.4% below its peak price reached
​on March 1 2017 (as of daily close of April 21 2017), it is interesting to
​check the trend on a few Volatility Indexes on different asset classes..

​So we will see below seven different volatility index (from stocks to
​currencies ​to rates and  ​emerging ​markets volatility indexes) ​that will give
​us a broad view in term of risks. 
(See first chart below ).
​​
​​At a time were volatility indexes are on the rise, the ​​​​ Fear and Greed Index
​from CNN Money as of April 21 is at the Fear Level of 35. US stock behavior
lately (tiny consolidation) seems to me not in sync with either the Volatility
​indexes and the mood from market participants.

Also, the SKEW Index (an option-based indicator that measures the perceived tail risk of the distribution of SP500 log returns at a 30- day horizon. Tail risk is the risk associated with an increase in the probability of outlier returns, returns two or more standard deviations below the mean) is showing a lot of nervousness (highest 50 Day Moving Average ever). (See second chart below-redline)

​But the most interesting factor is that the relative ratio of short term volatility (daily ratio of VXST to VIX ) reached a level associated with previous more severe price correction as history suggest. That define the state of the market as Complacent and It becomes for me my Canary in the Coal Mine... ​(See third chart below - ellipses)


​​

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VIX and SP500: From a Fearless Market to Pricing Panic ​?    $SPY, $VIX Trading #vix #SP500 #stocks


Interest Rates Volatility Index ( White / Left scale )​
​CBOE China Markets ETF Volatility Index ( Pink / Right scale )​
CBOE EuroCurrency ETF Volatility Index ( Blue / Right scale )​
​CBOE Gold ETF Volatility Index ( Green / Right scale )​
CBOE Emerging Markets ETF Volatility Index ( Yellow / Right scale )
CBOE EFA ETF Volatility Index ( Orange / Right scale )​​ ​
SP500 Volatility Index ( Thick Red / Right scale )
Financialiceberg.Com
Daily CBOE SKEW INDEX​ ( Grey Line )
​20 DMA ( Yellow Line ) 50 DMA ( Red Line )

DAILY RATIO
between
SP500 Short Term Volatility Index (9 days - VXST)
over
​​SP500 Volatility Index (30 days - VIX )
SP500 Index (SPY ETF - Bottom of the chart)​
Financialiceberg.Com
Financialiceberg.Com
Financialiceberg.Com