This week's VDX updates have TLT overbought and SPY neutral/oversold. The 17% jump in the VIX on Friday has it peaking at (hypothetically) overbought levels but there may be some carry over selling into Monday after traders consider their positions over the weekend.
Note the VDX signal thresholds have been changed from the previous 40% to the current 50% and the moving average period has been shortened from the previous 14 to the current 10 day lookback.
Next Friday is monthly options expiration and we can expect heightened intraday volatility as the good, the bad and the ugly positions are re-aligned; The market has so far avoided or ignored the Sell in May mantra and the supposedly catalyst for Friday's swoon, the Brexit, is more likely a smoke screen for institutional traders doing their usual thing rather than a genuine market mover. Reflecting on yesterday's post on arbitrage opportunities in the Mexican markets ....this is the way it was with US markets only 10 years ago when specialists controlled each NYSE stock like a personal fiefdom and floor traders minted money all day long scalping the bid/ask spread. Those were the good ole days when smart traders just tagged along with the specialist orders which were fairly transparent watching level 2 order flow. Those days are long gone.