Category Archives: Market Statistics

VIX Manipulation Identified

Some claim there was VIX manipulation on April 18 due to a spike near the open caused by an order imbalance. I have identified the manipulation on the chart below.

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Dow Jones Industrial Average Composition Changes Can Indicate Bear Markets

When a significant change to Dow composition is made, this could be a leading indicator of a bear market as the available limited sample shows and this goes against popular beliefs that changes to the index are made to maintain … Continue reading

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Social Media A Significant Factor In Bull Markets

Social media facilitates widespread dissemination of information and assists in the market discounting all publicly available information. The result is that the upward drift due to dividends dominates in the longer-term and bear markets can only occur due to a … Continue reading

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Dow Snaps Lowest Return 10-Month Win Streak in 104 Years

The 10-month win streak in the Dow that ended last month was the longest since 1959 but at the lowest return in the last 104 years. Some key statistics are included.

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SPY ETF Volatility

Twenty one days ago there was an all-time high in S&P 500 and SPY. Since, the 21-day standard deviation of returns has surged from 0.22% to 1.62% and the 14-day ATR as percentage of closing price to 1.8% from 0.67%. … Continue reading

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