Rendimento das famílias trava a fundo no início do ano

[Pata-Hari]

TUESDAY a.m.
August 19, 2003



Rare VIX Reading
by David Nichols

The Volatility Index (VIX) dropped to a dramatic new low during yesterday's rally, closing at 19.28 after having moved as low as 19.08. The VIX measures the premium paid by options traders in the S&P 100 (OEX) options pit, and it's a time-tested gauge of sentiment. Essentially, when the VIX is low, it shows widespread complacency and comfort among traders, who are expectating more upside -- or at the very least, little downside. That's usually a recipe for a big decline.

Indeed, since the bear market began in earnest in September 2000, we've only had 2 other VIX readings this low. Both previous times the VIX dropped significantly down into the teens -- as it did yesterday -- the market soon went into a major "waterfall" decline.



The VIX isn't as good at precisely timing tops as it is at calling bottoms, but this is about as good as it gets for calling a top using the VIX. The VIX has moved down to 19, yet prices are still 15 points below the "breakout" point to the upside at SPX 1015. We should be within days, or at least a week or so, of starting a major descent.

The market doesn't necessarily have to head off the cliff immediately, but it will be very tough grinding on the upside with the VIX this low. All the available "sentiment fuel" has drained out of the tank already. We had a taste of this yesterday, as many indicators were soaringly bullish, yet the S&P 500 futures had a hard time making any upside progress. The market is getting really bad "mileage" right now, which usually happens at important tops.

And it's not just the VIX. For a more detailed look at current market sentiment, I want to turn to Contributing Analyst Jason Goepfert, who runs SentimenTrader.com -- available to subscribers on our web site.

Jason has a "Composite Model", where he's modeling the sentiment indicators (both published and proprietary) that are most correlated with market direction, and weighing those indicators according to their correlation. Some of the measures used in the model include sentiment surveys, proprietary models of the Commitments of Traders data, put/call and open interest put/call ratios, volatility indices, and other sentiment indicators.





Here are Jason's comments about the current reading on his Composite model:

"This bout of speculation across a variety of measures has pushed the Composite model to a very low reading. The chart of this model as posted to the site is a five-day moving average of the daily readings, and it is now approaching its lower trading band (as are all the other models as well). However, today's daily reading of 23% has been seen only three other times since 2000 -- August 2000, May 2001 and March 2002, all of which of course preceded highs of some import. "

Sentiment Dashboard
by Adam Oliensis



SENTIMENT TANK: Drained 4 points to 0.3% full of negative sentiment. There has been one day in the past year that had a lower level of bearishness, June 20, '03. From that point the SPX dropped from 996 to an intraday low of 962 during the subsequent 7 trading days.

SHORT-TERM: Hourly gauge is in a bullish advance phase. That phase may have run out of room, however, with the VIX closing at 19.28.

MID-TERM: Progressed 11 points in its advance phase to 59%. Confidence jumped up to 2 (out of 7). With the tank virtually empty this gauge may well remain stuck in its middle range between 25 and 75, which would suggest that a genuine breakout to the upside would be hard to come by. A move over 75% on this gauge, and we'll be looking for a break over 1015 on the SPX.

LONG-TERM: Remains at a neutral 93/7 but with Confidence also pipping up here to 2.

BOTTOM LINE: It is possible for the Tank to drain to 0 and stay there as the market continues to advance. When that happens it's probably from an influx of liquidity into stocks out of CASH. New money CAN overwhelm the Options Market, upon which the Tank is based. However the more likely event (as happened in June) is that when the Tank drains to 0 the market pulls back/tests down.

Last spring I wrote that the stock market would have to cross a broad chasm blindfolded and on a tightrope in order to avoid a serious correction during the summer. Well, so far it's made it through June, July and the better part of August. Its blindfold has been significantly removed (visibility on economic growth and earnings have improved), it's still up on the high wire, and the far chasm wall is a lot closer than it used to be. You gotta admire the Flying Walenda's courage, if nothing else. However, as when any journey is being made, it's easiest to lose one's step as the destination draws nigh. And the current extreme surfeit of bullishness, as represented in the all-but empty tank, probably leaves the market too confident in itself (even as economic acceleration appears to indeed be getting underway), and still vulnerable to at least a significant stumble, if not an all-out canyon-splat.