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VIX Futures Premium

VIX futures premium ended Friday at 22.01%, with August futures replacing July futures that expired last Wednesday. Now back into the green bull zone.


Since most of the volume and open interest are in the two closest futures contracts measuring the volume-weighted premium relative to the standard 30-day VIX provides a good real-time sentiment indicator based upon actual commitments of large Asset Managers and Leveraged Funds. The chart reflects the distance from the VIX to the futures curve computed from the two front-month contracts.

Market Breadth as measured by our preferred gauge, the NYSE ratio adjusted Summation Index that considers the number of issues traded, and reported by McClellan Financial Publications, again continued lower every day last week declining 203.71 points or -56.02% declining rapidly below the 50-day Moving Average at 657.62. Since peaking on June 15 at 862.90, it continues lower and now approaches the November 2 low at 58.71 that coincided with an SPX pullback low.


While positive divergences tend to support further SPX advances, the current negative divergence seems to have little influence on the advancing SPX, at least so far.

The alternate breadth measure based on the percentage of S&P 500 Index stocks above their 50-day Moving Average ended the week at 54.51% up from 36.67% last Monday reflecting concentration in fewer large capitalized stocks.


In bull markets, a good strategy is to stay long equities and/or ETFs and then tactically hedge pullbacks as they begin developing since ordinary pullbacks can become corrections when something unexpected happens. Then corrections can become downturns when something else unexpected happens, and downturns can become bear markets when many unexpected things change medium and long-term fundamentals.

This week Covid-19 worries along with the yield on the U.S. 10-year Treasury Note  are likely to take a back seat to earnings announcements from most all of the widely followed popular big cap growth companies that will report earnings this week including Tesla (TSLA) on Monday after the close  with slightly declining options implied volatility and Pinterest (PINS) on Thursday after the close with rising options implied volatility, two stocks on our Volatility Kings™ list in Digest Issue 29 "Volatility Kings Second Quarter 2021."

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Disclaimer: is not a registered investment adviser and does not offer personalized advice specific to the needs and risk profiles of its readers.Nothing contained in this letter ...

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