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SV Ratio : Calling TURNS based on the Spy-to-Vix Ratio

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Calling TURNS: when Spy-Vix RATIO Moves "Outside the Snake"

 

: : : 2013-year-of-Snake_zpsh482qaz9.jpg : : :

 

Will the stock market go OUTSIDE the Snake soon?

 

We seem to be very close to another "outside the snake" SELL Signal on SPY ... update

 

Snake_zpsj6whk9cx.png

 

A Put to Buy, might be the "Shemitah Bellwether":

SPY-Sept-210p: now at: $8.34 (3.97% of 210-strike), with: spy-210.8/vix-12.60 = 16.73
SPY-Sept-210p: now at: 11.28 (5.37% of 210-strike)

 

Adam Hamilton's Real SPX chart

Beware-the-stock-bear........Zeal-real-S

 

>source: http://www.mining.com/web/beware-the-stock-bear/

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The SENSE in it: The Snake-Ratio shows the Mood Swings

Fear/VIX hits highs on Lows, and Stocks peak when VIX is Low

 

In reality, it times the Lows well, but sometimes shows a swing before SPY Highs

 

"Outside the Snake" ??

That looks like an interesting concept!

Do tell more...

How reliable are those signals ??

 

Snake2_zpsdjg9hzfd.png

 

What does the "SNAKE" Chart show?
The key data is a Ratio between:
+ SPY : the etf of the S&P-500 (recently 210.37), and
+ VIX : the volatility index for the S&P-500 (recently 12.60)
Ratio : r-16.70, as of the 4/17/2015 close
Range: 11.08 r-points : from 6.86 to 18.94, over 2014-2015,
so the latest close is 9.84 pts, or 88.8% of the way to the top of the range
===
What are those Snake movements (ie. the Blue channel)?
This represents a Bollinger Band around the 76day Moving Average of the data.
Bollinger bands widen when the data is more volatile, and narrow when it is less volatile. A movement out of the "snake" bands is a rarity. And they can be taken as potential turning points, or about to lead to a Turn in Stocks.

Historical : 11 signals in 3 years

Signal-Level : - Date - : - SPY - : - VIX- : Chg.-- : %.-Chg.

BUY : 04.52 : 06/04/12 : 127.13 : 27.73 : -- n/a- : -- n/a - :

SELL: 10.01 : 08/17/12 : 142.18 : 13.45 : $15.05 : +11.8%

High : +04 d. : 08/21/12 : 142.54 : 15.02 : $15.36 : +12.1%

BUY : 05.90 : 12/28/12 : 139.87 : 23.23 :- 02.51 : - 1.76%

SELL: 13.29 : 03/14/13 : 156.73 : 11.30 : $16.86 : +12.1%

High : +69 d. : 05/22/13 : 169.70 : 13.05 : $19.87 : +14.2%

BUY : 07.47 : 06/24/13 : 155.73 : 21.91 :- 13.97 : - 8.23%

SELL: 13.97 : 08/05/13 : 170.96 : 11.83 : +15.23 : +9.78%

High : +00 d. : 08/05/13 : 170.96 : 11.83 : +15.23 : +9.78%

BUY : 07.90 : 10/09/13 : 164.53 : 21.34 : - 06.43 : - 3.76%

SELL: 14.36 : 11/15/13 : 180.12 : 11.99 : +15.59 : +9.48%

High : +14 d. : 11/29/14 : 181.75 : 12.93 : +17.22 : +10.5%

High : +61 d. : 01/15/14 : 184.66 : 11.81 : +20.13 : +12.2%

BUY : 07.92 : 02/03/14 : 173.83 : 21.48 : - 10.83 : - 5.86%

SELL: 18.94 : 07/03/14 : 198.20 : 10.28 : +24.37 : +14.0%

High : +19 d. : 07/24/14 : 199.06 : 11.43 : +25.86 : +14.9%

BUY : 06.86 : 10/15/14 : 186.43 : 31.06 : - 12.63 : - 6.34%

Sell ?: 17.00+ 04/??/15 : 211.00 : 12.50 : coming?: +13%+

High : +00 ds:

 

SPY-3yrs_zpsra4uhsik.png

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TURNS on a Longer term Chart

 

SPY - over the last 10 years ... : 10-years : All-Data

 

SPY-10yrs_zps2es3qgbi.gif

 

Signal-Level : - Date - : - SPY - : - VIX- : Chg.-- : %.-Chg.

start- : 06.09 : 09/22/00 : 145.28 : 23.85*

warn : 01.37 : 07/24/02 : $77.68 : 56.74*

BUY : 01.53 : 10/10/02 : $77.07 : 50.48*

start- : 07.10 : 04/18/05 : 114.50 : 16.12*

warn : 10.19 : 07/17/07 : 156.00 : 15.31 :

SELL : 09.80 : 10/11/07 : 157.52 : 16.08 :

warn : 00.92 : 11/21/08 : $74.34 : 80.74 :

BUY : 01.29 : 03/06/09 : $67.10 : 51.95 :

warn : 08.63 : 02/18/11 : 134.06 : 15.54 :

SELL : 09.10 : 05/02/11 : 137.18 : 15.07 :

warn : 02.32 : 08/09/11 : 110.27 : 47.56 :

BUY : 02.33 : 10/04/11 : 107.43 : 46.18 :

warn : 13.25 : 12/18/14 : 212.97 : 16.07 :

SELL : 16.80 : 0?/ ??/15 : 210.00 : 12.50 :

====

*VXO

 

SPY-All_zps7rsyurqt.gif

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The Ratio was "on the edge" of the snake last week

 

Tony C. on Stocks / After SPX-2,081 close on Friday.

Excerpt: Said this:

"MEDIUM TERM: uptrend under pressure

.... If one compares the recent corrective activity from SPX 2120, and the activity during Major wave 4, you will notice they still look somewhat similar. In both cases there was a quick decline, a quick rally, and then some choppy sideways action until the correction ended. It appears this correction is now in its last leg down."

 

Today (Monday), we have this:

SPY : 210.05 +2.10 +1.01% / VIX : 12.96 -0.93 / Ratio: 16.21 (was 15.27)

 

AppleSoft_zpsodibqnx2.png

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I am adding VIX (the Volatility Index) to my Daily summary in DrBubb's Diary

 

Apr: SPY- : Chg : volume/ -VIX : -GDX +-chg: -GLD- : Chg: volume: x10.? WTI.Cr: -DXY-- -Chg- : --TLT-: Chg- : Posts/Views cum'l

21: 209.60 - 0.25 : 63.1M: 13.25 : 19.97 +0.14: 115.38 +0.66: 3.21M: 1,201.8 $56.31* 97.954 - 0.097: 129.70 - 0.59: 05: 081/ 070: 1,190

22: 210.63 +1.03 : 73.6M: 12.71 : 19.31 - 0.66: 113.83 - 1.55: 5.67M: 1,200.0 $00.00* 98.203 +0.049: 127.72 - 1.98: 07: 088/ 070: 1,260

 

Latest SV-Ratio : 210.63 / 12.71 = 16.57 ... I think we might see 17.00+

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The SV-Ratio just hit 17.25 ! (intraday)

 

SPY (211.65 +1.02) / VIX (12.28) = 17.235

.

(in edit, after the close):

Apr: SPY- : Chg : volume/ -VIX : -GDX +-chg: -GLD- : Chg: volume: x10.? WTI.Cr: -DXY-- -Chg- : --TLT-: Chg- : Posts/Views cum'l
22: 210.63 +1.03 : 73.6M: 12.71 : 19.31 -0.66: 113.83 -1.55: 5.67M: 1,186.6 $56.22* 98.203 +0.049: 127.72 -1.98: 07: 088/ 070: 1,260
23: 211.16 +0.53 : 93.1M: 12.48 : 19.78 +0.47: 114.66 +0.83: 3.45M: 1,194.3 $57.74* 97.300 -0.897: 128.27 +0.55:

.
Closing levels, SV Ratio:
SPY (211.16 +0.53) / VIX (12.48) = 16.920 / SPY-sep210p: $8.00
As reported on other thread, mid-day
SPY (211.65 +1.02) / VIX (12.28) = 17.235
Extremes of the day
SPY (211.94 +1.31) / VIX (12.12) = 17.487 / SPY-sep210p: $7.75
.

Tony C's E-wave work suggested a Drop, followed by a higher high.

(But he may now have a more immediately bullish count.)

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SV-Ratio closed at 17.22 ... chart > A Recent High !

 

24: 211.65 +0.49 : 51.8M: 12.29 :

 

But is not yet outside the Snake.

 

So take it as a "WARNING Signal"

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Revisiting the SV-Ratio Turn indicator...

 

Apr: SPY- : Chg : volume/ VIX : GDX: +-chg : -GLD- : Chg: volume: x10.? / SVratio: Sp210p: 132/R
23: 211.16 +0.53 : 93.1M: 12.48 : 19.78 +0.47: 114.66 +0.83: 3.45M: 1,194.3 :: r-16.92 : $ 7.75 : 7.80
24: 211.65 +0.49 : 51.8M: 12.29 : 19.36 - 0.42: 113.05 - 1.61: 7.10M: 1,179.8 :: r-17.22 : $ 7.85 : 7.67
==
26: 210.77 -0.88 : 71.0M: 13.12 : 19.76 +0.40: 115.33 +2.28: 7.40M: 1,201.2 :: r-16.06 : $ 8.20 : 8.22
27: 211.44 +0.67 : 81.4M: 12.41 : 20.53 +0.77: 116.33 +1.00: 8.02M: 1,211.5 :: r-17.04 : $ 8.50 : 7.75
28: 210.57 -0.87 : 119.M: 13.39 : 20.72 +0.19: 115.51 - 0.82: 7.14M: 1,204.1 :: r-15.73 : $ 8.20 : 8.39
29: 208.46 -2.11 : 143.M: 14.55 : 20.11 - 0.61: 113.47 - 2.04: 8.95M: 1,183.5 :: r-14.33 : $ 9.23 : 9.21

=========

That Quick-and-dirty estimate, using 132 / the SV-ratio gives a pretty accurate estimate.

If that continues to work, then a drop in the SV-ratio to 7.00 would yield and value of $18.86

for the SPY-Sep-210-put !

 

A few days ago, I saw a potential buying window for the Puts:

The SV-Ratio just hit 17.25 ! (intraday)

 

SPY (211.65 +1.02) / VIX (12.28) = 17.235

.

(in edit, after the close):

Apr: SPY- : Chg : volume/ -VIX : -GDX +-chg: -GLD- : Chg: volume: x10.? WTI.Cr: -DXY-- -Chg- : --TLT-: Chg- : Posts/Views cum'l
22: 210.63 +1.03 : 73.6M: 12.71 : 19.31 -0.66: 113.83 -1.55: 5.67M: 1,186.6 $56.22* 98.203 +0.049: 127.72 -1.98: 07: 088/ 070: 1,260
23: 211.16 +0.53 : 93.1M: 12.48 : 19.78 +0.47: 114.66 +0.83: 3.45M: 1,194.3 $57.74* 97.300 -0.897: 128.27 +0.55:

.
Closing levels, SV Ratio:
SPY (211.16 +0.53) / VIX (12.48) = 16.920 / SPY-sep210p: $8.00
As reported on other thread, mid-day
SPY (211.65 +1.02) / VIX (12.28) = 17.235
Extremes of the day
SPY (211.94 +1.31) / VIX (12.12) = 17.487 / SPY-sep210p: $7.75

 

Using r-17.25, I get an estimate of 132 /17.25 = $7.65 - that was an accurate "guess"

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An SV Ratio extreme yesterday? SVR-17.52 !

 

A rather extreme reading was hit in Monday's early trading:

 

May: SPY- : Chg : volume/ VIX : GDX: +-chg: -GLD- : Chg: volume: x10.? WTI.Cr:/ SVratio

#14

01: 210.72 +2.26 : 90.2M: 12.70 : 20.27 +0.16: 113.08 - 0.39: 7.36M: 1,177.2 $59.42* / R-16.59

02: 210.72 - sat - : 00.0M: 12.70 : 20.27 +0.00: 113.08 - sat -: 0.00M: 1,177.2 $59.42* /

03: 210.72 - sun- : 00.0M: 12.70 : 20.27 +0.00: 113.08 - sun-: 0.00M: 1,177.2 $59.42* /

04: 211.32 +0.60 : 64.6M: 12.85 : 20.41 +0.14: 114.10 +1.02: 3.62M: 1,187.3 $59.02* / R-16.44

 

VIX / Volatility Index for S&P500 ... 10-days : SPY-10d

VIX-10d_zpsjhnilb4h.gif

 

But let's take the Ratio at its extreme of yesterday

 

======== : 04/24F: 04/27M: Friday: Mon.- : Extreme :

SPY ------ : 211.65 : 210.77 : 210.72 : 211.32 : 212.02 :

SPY-High : 211.97 : 212.48 : 210.77 : 212.02 :

VIX ------- : v12.29 : v13.12 : v12.70 : v12.85 : v12.10 :

VIX - Low : v12.16 : v12.33 : v12.68 : v12.10 :

SV-Ratio- : r-17.22 : r16.06 : r16.59 : r16.44 : r-17.52 : !! (does not show in SVR chart)

132 /SVR : E- 7.66 : E-8.22 : E-7.96 : E-8.03 : E-7.53 ::

210p-Sep : $ 7.85 :: $ 8.20 :: $ 8.04 : $ 7.66 :: $ 7.45 ::

 

 

(Catching up with Tony Caldaro - from his Weekend Review):

 

" Primary III may be in the process of topping out "

 

After making an all time high on Monday, then watching the market fail again to build on those highs, and observing some market leaders lose more than 20% seemingly in hours, we decided to take a look at our long term indicators. We review these indicators when there is a potential completed five wave structure in the market. When we look at the four major indices, the SPX, DOW, NDX and NAZ, we can count a potential five wave structure completed from late 2011. If Major wave 5 is a simple, non-subdividing, uptrend. Thus far it qualifies with recent uptrend highs in the SPX/NAZ/NDX and a downtrend confirmation in the DOW.

Our long term indicators are a combination of six important indices and indicators. At bull market highs, historically, they have all displayed negative divergences as the general market has made new highs. Suggesting extreme caution. At the 2011 Primary I high, 4 of the 6 displayed negative divergences, suggesting caution. The market then had a steep decline in Primary II. In 2013 negative divergences started to build, but the SPX/NAZ/NDX continued to uptrend and they cleared. Currently four of our six indicators have not made new highs since 2014. So negative divergences are building again.

As we reviewed the charts we noticed the weekly RSI/MACD have negative divergences as well (see chart above). The monthly RSI has been in a negative divergence since 2013, and we have just had the first negative MACD crossover since 2011 (see chart below). The last observation is this. During the 2011 Primary I topping out phase the SPX remained in a 120 point trading range for seven months before Primary II kicked in to the downside. Currently the SPX has just entered the seven month of a 150 point trading range, even though the market is 50% higher in value.

spxmonthly.png?w=640&h=485

What all this analysis suggests, is that it is time to get somewhat defensive until this market starts impulsing again. Primary III may be in the process of topping out. The key level to watch going forward is the 1973 pivot range. Should the market break that range to the downside Primary IV would probably be underway. Then a revisit to the October 2014 low at SPX 1821 would be quite normal, and expected. For now, until the SPX breaks 2040 to the downside it could remain in the same choppy pattern it has for the past two months. Medium term support remains at the 2085 and 2070 pivots, with resistance at the 2131 and 2198 pivots.

spxdaily.png?w=640&h=485

SHORT TERM

It has been a tough couple of months for those trying to count the short term wave patterns. All potential impulse waves since March ending up looking just as corrective as the pullbacks.

==

> https://caldaro.wordpress.com/2015/05/02/weekend-update-498/

Options are cheap now - Might it be a great time to buy some Insurance this week?

Here's what Tony C. said about Monday's price action:

"Nothing has changed from the two counts posted over the weekend. The market could be rising to finish the ‘e’ wave of a diagonal triangle, as noted on the daily chart. One of the four negatively diverging long term indicators, we noted over the weekend, improved today. In fact, if it continues to move higher it could eliminate the divergence. Then the potential P4 correction would drop to a low probability. Will keep everyone posted."

> https://caldaro.wordpress.com/2015/05/04/monday-update-453/

His minimum expectation, seems to be that we will see a new wave-E high above SPY-212.48

===

5/8 note:
21175/1285 = 16.50 x 7.55 = 124.4 / 17 = $7.31
Sp 215/210p : $9.60/ 7.42 = 129.3% // $9.49/ 7.30 = 130%

Close : 16.456 :: $8.01 x 130% = 10.43 // $7.62 : $9.82 : 1.289

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SOLD IN MAY ! (thank goodness for being lucky)

 

giphy.gif

Got Lucky with a fill on some SPY Puts.on yesterday's opening.

(I was thinking I would get a fill, if SVR was $17+, early on. Here are the calculations:
SVR: Close : 210.61 / 13.85 = 15.86 :: Taking extremes : 211.89 / 13.00 = 16.30
Put close: $9.85 x SVR-15.86 = 156.2 ... / 16.30 = $9.58 expected low (LOY: $9.60)
My Level: 156.2 / 9.15 = SVR 17.07 was implied (but the SV-Ratio never hit that level!)

 

I BOT SPY - Sep. 215 puts at $9.15 - Low for the year !

 

It filled right on the initial trading, when the market was slightly above Friday's close : SPY-10d : VIX-10d

 

SPY-10d_zps2u9nla01.gif

 

With the market opening at $209.30, then have an intrinsic value of $ 5.70

 

SVR now is:14.22 = 209.30 / 14.72... and that suggest the Puts are worth at (156.2-Gross) / 14.22 = $10.98

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An End to the long Stock Rally?

 

Tony C has finally posted a "e?" on his chart / That might mean a possible end to the rally

 

SPY-TC_zpswwzs81e4.png

 

His comment:

" With today’s rally we stretched out the upper trend line on the hourly chart, and it now crosses at SPX 2130. Allowing for some potential overshoot in the ongoing diagonal triangle scenario, we feel the upper limit of this uptrend is the OEW 2131 pivot range (2124-2138). Anything more than that and we would be forced into looking for an alternative pattern.'

 

> https://caldaro.wordpress.com/2015/05/14/thursday-update-478/

=== ===

 

I also note that this rally has come with light volume ... SPYvsIWM : SPY : IWM : XLF : Nasdaq

SPY-vsIWM_zpsg3oas0oe.gif

 

... and that the triple-top in SPY has not been confirmed by the lower high in IWM

 

What happened to SVR?

(SPY): 212.21 +2.19 / (VIX): 12.79 - 1.02 = SV-ratio : 16.59, up from 15.20

And the SPY - Sep.$215p closed at: $9.70 -9.91 (mid: $9.80)

===

 

Note: Despite the high in SPY, this put is above where I bought it on Monday

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Some sort of Top (short or long term) may be in place in equities

 

The SV-Ratio finally made a possible Top (17.65) - that's: SPY / VIX

 

SVratio_zpsuhzfnbmc.png

 

...right at the Bolly Band high - ie, the Border of "the snake"

And has since fallen to 15.26

 

That possible Top also shows up even in measures like SPX- priced in Euros

 

AC_zpsyq8hk6on.png

 

Key resistance is now near 20.00

That's near:

14.43 (Low) x 1.382 (fibo) = 19.94

There has been a possible right shoulder at 19.90

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A non-confirmation... as two Key US stock indices moved in different directions in the last week

 

SPY / S&P 500 etf ... 10-days : SPY-vs-IWM

SPY-10d_zpsplnr1due.gif

 

IWM / Russell 2,000 etf ... 10-days

IWM-10d_zps9gnurcaw.gif

 

These sorts if opposite swings are not uncommon, as the Ratio chart shows

 

SPY-toIWM_zpsaluaimli.png

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Prior : (05/01) (05/08) : (05/15) (05/22) : (05/29) / Change / Friday (06/05) alone ===== :
IWM-: 121.97 : 122.64 : 123.65 : 124.43 : 123.89 : + 1.21 % / 125.40 : +0.90 : +0.72% : 34.17mn
XLF- : $24.34 : $24.76 : $24.70 : $24.86 : $24.60 : + 0.77 % / $24.79 : +0.14 : +0.57% : 42.38 mn
XLF/S 11.55% : 11.70%: 11.63%: 11.67%: 11.65% : + 1.46% / 11.82% -> an early warning indicator?
SPY- : 210.72 : 211.63 : 212.44 : 212.99 : 211.14 : - 0.65 % / 209.77 : -0.36 : -0.17% : 105.68 mn
VIX - : 12.70%: 12.86%: 12.38%: 12.13%: 13.84%: + 2.67 % / 14.21% >> Low for the Year: 10.28%
SVratio r16.59 : r16.46 : R17.16 : r17.56 : R15.25 : - 3.21 % / r14.76 : range: L:13.22 - H:17.56
ShPut: $08.00: $07.62 : $07.58 : $06.00: $06.82 : + 9.82 % / $07.49 (SPY-sep $210p): 3.57% /L:2.85%

 

SPY - Sep.$210put ... update - Still in a Downwards channel

ab_zps9gjgstdi.gif

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SV-ratio channel suggests stocks hit a trade-able extreme

 

... from which a decent Rally could be launched

 

SVratio_zpsm47861y1.png

 

index: Wed. - : Thu.- :
SPX : 2046.7 : 2051.3 :
VIX- : 19.66% : 19.97% :
ratio : 104.10 : 102.72 :

 

Next sell point might be a Ratio near : 175-180, or Spx-2,100 / Vix-12 = 175

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With SV-ratio at : 211.20 +1.82 / 11.83 = 17.86, down slightly from 17.89 yesterday

 

SVratio_zpsqdugvo5l.png

 

I am Looking at Puts again (fix numbers, below) : SPY-10d : vix

 

OPTION Pricing:
Mon. : Sep put-- : mid. : Oct put-- : mid. : with SPY at 210.81
215p: 6.28-6.41: 6.35 : 6.83-6.97: 6.90 : 3.21%
210p: 3.85-3.88: 3.87 : 4.55-4.63: 4.59 : 2.19%

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SV Ratio shows that Volatility is in a new region

 

SPY : 192.85

VIX- : 23.62%

Ratio : 8.16

 

SVratio2_zps6wtnsetl.png

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Stocks broke above the resistance level I had identified yesterday

 

Oct: SPY- : Chg : volume/ VIX : GDX: +-chg: -GLD- : Chg: volume: x10.?? WTI.Cr: -DXY-- -Chg.- : --TLT- : Chg : Posts/Views cum'l
07: 199.41 +1.62 : 117.M: 18.40 : 15.61 - 0.07: 109.70 - 0.16: 5.36M: 1,145.0 $48.13* 95.470 +0.117: 122.99 - 0.41 : 03: 037/ 060 : 0,492
08: 201.21 +1.80 : 145.M: 17.42 : 15.41 - 0.20: 109.14 - 0.56: 4.92M: 1,138.2 $49.67* 95.293 -0.177: 121.96 - 1.03 : 00: 042/ 091 : 0,583

========

 

My small Put options trade (SpyV30-$200 Puts) looks silly now.

Not only was I battling TC's bullish view, but I also drew the channel wrong.

This looks better. So maybe the strong resistance is still intact.

 

IWM ... update

ab_zpstej4l8ct.gif

 

SPY ... update

SPY-st_zpspyqngdik.gif

 

These charts show some resistance above.

If Tony C's count is right, we may soon break above it in a powerful mid-third-wave UPthrust.

 

One reason I did the trade was because of the gap we saw a few days ago. That still lurks...

And longer term channels can be drawn on the SPY chart, showing stocks are near the top of a channel

 

AC_zpsub4vtlhh.png

 

The SVratio may also be at a turning point

SVratio_zpsykkl1as2.png

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Here's another rendering of the above chart, but showing the Turns

 

SVratio_zpsgdudadvu.png

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