Last week we explained that; despite several pundits writing about high fear and pointing to elevated levels of the SKEW index, there is no correlation of markets falling imminently and high SKEW index levels.

Most of the major US indices are breaking up further today.

QQQ has not closed here or higher. A close here and we risk another squeeze leg higher.

S&P 500 is also breaking up and has not closed here since January this year. The ATH level marked by the red line is the big level to the upside.

VIX continues trading close the the “natural floor” level.

Short term maturities have come down substantially. Below is the term structure of the S&P 500, green one month ago, orange is showing the present curve. Short term maturities offer good value for replacing longs or using cheap optionality to speculate.

One major index that has been a relative dog lately is the Russell. Watch this one carefully, as for a total break up in markets I would like to see Russell join the party as well.

Source: charts by Bloomberg