Monday, September 5, 2016

The Fourth And Last Volatility Shock

There have been three volatility shocks in the past year, each resulting in a 100-200 point S&P downside move. Stoned gamblers never got the memo...

Each of the past three volatility shocks were preceded by major weakening in the Chinese Yuan...

15 day rate of change:

"After all these years, the market's story is still same: It still likes bad news...There's little else to explain a gain in stocks Friday that came on the heels of yet another disappointing August jobs report...Job quality was weak, salary growth and the workweek eased, and if it wasn't for a government hiring spree, the numbers would have been considerably worse."

ZH: Sept. 4th, 2016
"Correlations across asset classes are at or near record highs...record speculative long positioning in US equities and record speculative shorts in VIX...can only end in catastrophe."

Cash balances inverted:

S&P / R2K ratio

Capital "Safe haven"