CHART OF THE DAY: A Quantitative Market Timing Tool

09/26/18 08:00AM EDT

Editor's Note: Below is excerpt and chart from today's Early Look written by Hedgeye CEO Keith McCullough. Click here to learn more.

In today’s Chart of The Day, I’m showing you one of the quantitative tools I use to improve my market-timing. It’s also an important tool to gauge both market sentiment and positioning. We call it our Macro Performance & Dispersion screen. 

Once you’re done looking at the YTD Return column, focus your attention to the next column to its right – the IVOL PREMIUM/DISCOUNT column where we’re showing 30-day implied volatility vs. 30-day realized: 

  1. Post a 3-day correction, the SP500 (SPY) has moved back up to an IVOL PREMIUM of +36% vs. 30-day realized
  2. After a -1.7% down day this week, Industrials (XLI) have seen its IVOL PREMIUM pop to +36% as well
  3. Post the decline, LT Treasuries (TLT) have seen their IVOL PREMIUM rip to +25% vs. 30-day realized  

CHART OF THE DAY: A Quantitative Market Timing Tool - 09.26.18 EL Chart

CHART OF THE DAY: A Quantitative Market Timing Tool - early look

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