Still no tricks. The same as yesterday that VIX dropped sharply before the close while SPX didn’t rise much (in fact it’s dropping before the close too), it usually means a gap up open tomorrow. Well, I know we’ve seen gap up open for 4 days in a row. However, recently, the longest consecutive gap up open days was from 12/18/2009 to 12/28/2009, total 6 days.
And yes, I’ve noticed that ISEE Equities Only Index had huge different option with the ISEE Indices & ETFs Only Index (meaning people are divided, one group bought lots of equity calls while the other group bought lots of index puts). This was an obsolete trick, since some people still like to know. Well, I didn’t find any edges for this kind of huge differences. The chart below shows all the cases since 03/09/2009 when ISEE Equities Only Index > 160 and ISEE Indices & ETFs Only Index < 50. I don’t think it mean anything meaningful although if you count the number of “Green Next Day”, it’s 18 out of 29 times.
