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Subscribe →SPY volume was lower than on the day after Thanksgiving. At least based on the data I have, total volume was just 35.9 million shares. Christmas Eve, a half day, saw 39.5 million shares traded, Friday, November 28, a half day saw 49.2 million shares, and even July 3 saw 51 million shares traded. The only day that saw lower volume, from what I can see, was April 27, with 33.1 million.
Hard to say where it has gone, but options volume hasn’t really increased meaningfully, so it hasn’t gone there. So I don’t know, it is strange.
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Volatility from a VIX standpoint appears to be bottoming out, and that ratio between oil vol and the VIX remains very wide at more than 4.
What is odd about this whole thing, regarding volatility, is that the ratio between oil and gold volatility is not nearly as wide. In fact, the ratio of oil to gold is only 2.8, so why do gold and oil have a historically aligned ratio, but the S&P 500 and oil do not?
Clearly, oil and gold vol are elevated, and S&P 500 vol is not.
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I can also say that, even more recently, the MOVE has started to push higher, while S&P 500 volatility has been falling.
It is the same when you look at the relationship between SPY and HYG, which is a good enough indicator of the relationship between the equity and credit markets.
You can just look at the top movers to see that today’s index rise was mostly driven by semis, with Micron, Intel, Broadcom, AMD, Lam, and Qualcomm among the top 10 movers by weighting. This tells you a lot about how the moves are made up and why things are being separated and moving apart from one another.
We have also seen what is likely to be the peak in dispersion, and so my sense is that all of the divergence will converge at some point; which way they converge is another question.
–Mike
Glossary by ChatGPT
- Dispersion — A measure of how differently individual stocks or sectors are performing relative to one another within the broader market.
- HYG — The iShares iBoxx High Yield Corporate Bond ETF, commonly used as a proxy for the high-yield credit market.
- MOVE Index — An index that measures implied volatility in the U.S. Treasury market.
- SPY — The SPDR S&P 500 ETF Trust, a widely traded ETF tracking the S&P 500 Index.
- VIX — The CBOE Volatility Index, often referred to as the market’s “fear gauge,” measuring expected S&P 500 volatility.
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This report contains independent commentary to be used for informational and educational purposes only. Michael Kramer is a member and investment adviser representative with Mott Capital Management. Mr. Kramer is not affiliated with this company and does not serve on the board of any related company that issued this stock. All opinions and analyses presented by Michael Kramer in this analysis or market report are solely Michael Kramer’s views. Readers should not treat any opinion, viewpoint, or prediction expressed by Michael Kramer as a specific solicitation or recommendation to buy or sell a particular security or follow a particular strategy. Michael Kramer’s analyses are based upon information and independent research that he considers reliable, but neither Michael Kramer nor Mott Capital Management guarantees its completeness or accuracy, and it should not be relied upon as such. Michael Kramer is not under any obligation to update or correct any information presented in his analyses. Mr. Kramer’s statements, guidance, and opinions are subject to change without notice. Past performance is not indicative of future results. Neither Michael Kramer nor Mott Capital Management guarantees any specific outcome or profit. You should be aware of the real risk of loss in following any strategy or investment commentary presented in this analysis. Strategies or investments discussed may fluctuate in price or value. Investments or strategies mentioned in this analysis may not be suitable for you. This material does not consider your particular investment objectives, financial situation, or needs and is not intended as a recommendation appropriate for you. You must make an independent decision regarding investments or strategies in this analysis. Upon request, the advisor will provide a list of all recommendations made during the past twelve months. Before acting on information in this analysis, you should consider whether it is suitable for your circumstances and strongly consider seeking advice from your own financial or investment adviser to determine the suitability of any investment.
This report contains independent commentary to be used for informational and educational purposes only. Michael Kramer is a member and investment adviser representative with Mott Capital Management. Mr. Kramer is not affiliated with this company and does not serve on the board of any related company that issued this stock. All opinions and analyses presented by Michael Kramer in this analysis or market report are solely Michael Kramer’s views. Readers should not treat any opinion, viewpoint, or prediction expressed by Michael Kramer as a specific solicitation or recommendation to buy or sell a particular security or follow a particular strategy. Michael Kramer’s analyses are based upon information and independent research that he considers reliable, but neither Michael Kramer nor Mott Capital Management guarantees its completeness or accuracy, and it should not be relied upon as such. Michael Kramer is not under any obligation to update or correct any information presented in his analyses. Mr. Kramer’s statements, guidance, and opinions are subject to change without notice. Past performance is not indicative of future results. Neither Michael Kramer nor Mott Capital Management guarantees any specific outcome or profit. You should be aware of the real risk of loss in following any strategy or investment commentary presented in this analysis. Strategies or investments discussed may fluctuate in price or value. Investments or strategies mentioned in this analysis may not be suitable for you. This material does not consider your particular investment objectives, financial situation, or needs and is not intended as a recommendation appropriate for you. You must make an independent decision regarding investments or strategies in this analysis. Upon request, the advisor will provide a list of all recommendations made during the past twelve months. Before acting on information in this analysis, you should consider whether it is suitable for your circumstances and strongly consider seeking advice from your own financial or investment adviser to determine the suitability of any investment.
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