Tuesday, April 12, 2016

PONZO Updates for SPY, VIX and TLT....04.12.16

This week's PONZO forecasts suggest an increase in SPY volatility although VIX and TLT remain in a fairly confined and low volatility channels.   SPY continues to demonstrate daily ATRs > 1% which is good for delta neutral players although the technical alignment of SPY and the VIX has deteriorated to the point that the XIV/VXX relative momentum signal is now underperforming the SPY/SH signal (dollar value adjusted).  This situation is a bit worrisome since its hard to reconcile a volatile SPY with a benign VIX.
Short term the outlook is neutral (no large breakouts/breakdowns anticipated) as long as prices stay within our bullish/bearish brackets.