Rennie Yang

Quantitative research

[Rennie Yang @MarketTells]

$VIX <20 after one month >20

[Rennie Yang @MarketTells]

The last 25 occurrences of this breadth signal all led to a higher $SPX one month later...

[Rennie Yang @MarketTells]

$SPX +2.5% days post-2020...

[Rennie Yang @MarketTells]

After holding above for 3+ months, $SPX breaks 200d avg and keeps moving lower over the next week. This happened on Thursday. Very small sample...

[Rennie Yang @MarketTells]

Volume weirdly light on Thursday. NYSE volume lowest in a month. Scanning for a 1% down day for $SPX and a one-month low w/ NYSE volume also a one-month low, we find zero occurrences since 2000.

[Rennie Yang @MarketTells]

Setting up for only the 12th occurrence since 1995 of three straight $SPX down days into triple witching expiration. One week later S&P avg gain 2.7% vs 0.4% avg loss...

[Rennie Yang @MarketTells]

Swing model went short March 2nd and remains in cash as of March 19th. The long-only version has outperformed $SPX buy & hold by 27% since 2015. The long/short version has outperformed by 82%. Based on a single input (NYSE $TICK). Our rates have increased, but through Sunday lock in our old rate via this link... https://t.co/Y1pJbNiyGS

[Rennie Yang @MarketTells]

If today's losses stick into the close & $SPX -1%, would be only the 10th time since 1990 that the S&P lost 1% on a Fed Day and another 1% the following session. S&P higher three sessions later 8/9 and three weeks later 9/9...

[Rennie Yang @MarketTells]

Advance decline line for high-yield bonds continues to weaken, taking out its November low. A model I track, based on this line & the work of @mcclellanosc went to cash March 6th.

[Rennie Yang @MarketTells]

Only the 17th time we've seen $VIX close down 25% from its intraday high...

[Rennie Yang @MarketTells]

NYSE $TICK held below +100 for the first hour of Monday's session. That's occurred nineteen times since 2015. Table shows $SPX performance over the remainder of the session (10:30-16:00 ET)...

NYSE TICK Intraday High <+100 First Sixty Minutes
02/23/26... SPX ???
12/31/25... SPX -0.5%
04/21/25... SPX -0.2%
12/13/24... SPX -0.1%
08/15/23... SPX -0.3%
07/06/23... SPX +0.4%
08/22/22... SPX -0.4%
02/18/21... SPX +0.6%
10/28/20... SPX -0.7%
10/31/19... SPX +0.3%
08/05/19... SPX -0.9%
10/04/18... SPX -0.1%
09/24/18... SPX +0.1%
07/25/18... SPX +0.9%
06/21/18... SPX -0.1%
01/18/18... SPX +0.0%
10/25/17... SPX -0.1%
03/14/17... SPX +0.2%
10/11/16... SPX -0.5%
11/09/15... SPX -0.0%

[Rennie Yang @MarketTells]

$TLT +1% third time in six sessions

[Rennie Yang @MarketTells]

Note sent to subscribers Wednesday night pointing to potential $SPX weakness over next 1-2 sessions...

[Rennie Yang @MarketTells]

$SPX Confusion Index, similar to Fosback's High-Low Logic, crossed the 2% level on Wednesday. Only the 13th occurrence in 30 years...

[Rennie Yang @MarketTells]

Subs got word after Tuesday's close that this rare bearish signal was triggered. $SPX higher one session later only once out of 12 occurrences. Average loss 1.2%...

[Rennie Yang @MarketTells]

This new high study from earlier this month suggests $SPX 6900 area will remain short-term support into early February...

[Rennie Yang @MarketTells]

Note to clients on Thursday evening noted good odds of a Friday $SPX selloff based on post-Fed $BKX performance...

[Rennie Yang @MarketTells]

First $VIX close under 15 in months. $SPX green three weeks later every time...

[Rennie Yang @MarketTells]

$NFLX