Quantitative market research / Data-driven Analysis. Historical stats support a thesis - they don’t replace one. Not investment advice. DYOR.
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HB Research retweeted
Pretty solid: On the 12 previous days when the QQQ/LQD RSI(14) was at or below 25.5, QQQ was higher one week later in 11 cases (92%). It was higher after both 9 and 12 months in all 12 cases.
Small sample, with some overlapping observations.
LQD is the "iShares iBoxx $ Investment Grade Corporate Bond ETF"
Not even during the pandemic did this ratio reach such extreme levels.
This suggests potential short-term relief and a positive bias for the month ahead.
This setup has occurred only 12 times since August 2002 (unfortunately, LQD wasn't listed during most of the dot-com bear market).
The average 1-month return was +5.08% for QQQ, with positive returns in 9 out of 12 occurrences.
Pretty solid: On the 12 previous days when the QQQ/LQD RSI(14) was at or below 25.5, QQQ was higher one week later in 11 cases (92%). It was higher after both 9 and 12 months in all 12 cases.
Small sample, with some overlapping observations.
LQD is the "iShares iBoxx $ Investment Grade Corporate Bond ETF"
Not even during the pandemic did this ratio reach such extreme levels.
This suggests potential short-term relief and a positive bias for the month ahead.
This setup has occurred only 12 times since August 2002 (unfortunately, LQD wasn't listed during most of the dot-com bear market).
The average 1-month return was +5.08% for QQQ, with positive returns in 9 out of 12 occurrences.
Asset managers have never been more net long 10-year Treasury futures relative to open interest. At 51%, positioning reached a record high in CFTC data going back to 2006.
HB Research retweeted
Asset managers’ net positioning in VIX futures hit a record low in October, measured as a share of open interest. It has since recovered but remains historically short.
Asset managers’ net positioning in VIX futures hit a record low in October, measured as a share of open interest. It has since recovered but remains historically short.
HB Research retweeted
The equity put/call ratio reached 1.05 today, its highest reading since April 17, 2024.
The charts start in June 2012, when Cboe began excluding ETF and other ETP options from its equity series. A 20-trading-day cooldown limits repeated counting of clustered signals.
(SPX version in comments)
HB Research retweeted
The S&P 500 fell 4.35% today, a move seen on 42 prior days since 1970, mostly during crises. Their median 12M return was +24.7%, versus +11.3% for a typical SPX day 12M return. A large historical gap, though the signals overlap and the result does not survive adjustment across 10 horizons.
The equity put/call ratio reached 1.05 today, its highest reading since April 17, 2024.
The charts start in June 2012, when Cboe began excluding ETF and other ETP options from its equity series. A 20-trading-day cooldown limits repeated counting of clustered signals.
(SPX version in comments)
The S&P 500 fell 4.35% today, a move seen on 42 prior days since 1970, mostly during crises. Their median 12M return was +24.7%, versus +11.3% for a typical SPX day 12M return. A large historical gap, though the signals overlap and the result does not survive adjustment across 10 horizons.
Managed money’s net-long position in RBOB gasoline futures is near a historical extreme as a share of open interest. Is gasoline due for a sharper pullback?
Periods above the current threshold are shaded grey.
HB Research retweeted
VIX spiked >69% intraday vs. yesterday’s close, only the 6th time since 2004. The last three: Dec ’24’s Fed selloff, Aug ’24’s yen carry unwind, and 2018’s Volmageddon.
HB Research retweeted
VXN spiked 53% intraday today. After 12 prior ≥40% spikes since Sep 2003, NDX was higher 12M later every time; 83% were up after 1M. Capitulation low or different this time?
Market still open: VXN may rise. 45%/50% charts in comments (smaller samples). Dot-com bust not covered.
Since its 2023 launch, MAGS has had only six prior intraday drops of at least 6%, clustered into three episodes. All six were higher 12 months later, but the sample is far too small and overlapping to call it a reliable signal.
VIX spiked >69% intraday vs. yesterday’s close, only the 6th time since 2004. The last three: Dec ’24’s Fed selloff, Aug ’24’s yen carry unwind, and 2018’s Volmageddon.
VXN spiked 53% intraday today. After 12 prior ≥40% spikes since Sep 2003, NDX was higher 12M later every time; 83% were up after 1M. Capitulation low or different this time?
Market still open: VXN may rise. 45%/50% charts in comments (smaller samples). Dot-com bust not covered.
HB Research retweeted
Since 1987, the Nasdaq 100 has opened at least 2.5% lower while still above its 200-day moving average on 14 occasions.
small sample
