SPX Makes Multiple New Highs

Considering the Phase One China Trade Agreement a fait accompli, along with the USMCA and continuing Federal Reserve Treasury bill buying, no one should be very surprised that the S&P 500 Index made new intraday highs every day last week, and new closing highs every day expect Tuesday. The Market Review provides details.

S&P 500 Index (SPX) 3329.62 climbed 64.27 points or +1.97% last week, making multiple new closing and intraday highs. Advancing orderly keeps overbought indicators from flashing warning signs while attention turned to improving fundamentals. Although the likelihood of a pullback decreased, just for the record, the first support is now at 3250, followed by the 50-day Moving Average at 3177.33.

CBOE Volatility Index® (VIX) 12.10 declined .46 points or -3.66% last week. Our similar IVolatility Implied Volatility Index Mean, IVXM using four at-the-money options for each expiration period along with our proprietary technique that includes the delta and vega of each option, declined .61 points or -5.99% ending at 9.58%.

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The IVXM reached its 52-week low at 8.98% on December 16.

VIX Futures Premium

This next chart shows as our calculation of Larry McMillan’s day-weighted average between the first and second-month futures contracts.

With just two trading days until January expiration, the day-weighted premium between January and February allocated 8% to January and 92% to February, for a premium, of 21.59%, well into bullish green territory vs. 20.84 week ending January 10. Since January futures contracts expire Wednesday, the premium of .45 will be gone by Tuesday.

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The premium measures the amount that futures currently trade above or below the cash VIX, (contango or backwardation) until front month futures contract converges with the next VIX futures expiration on Wednesday, January 22.

For daily updates, follow our end-of-day volume weighted premium version located about halfway down the home page in the Options Data Analysis section on our website.

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Disclaimer: IVolatility.com 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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