ES is up 13.7% since the last bearish (bullish for stocks) cross in VIX’s 10- and 20-day moving averages on Nov 11. Since its recent highs, VIX has dropped from 41.16 to Friday’s lows of 19.51 – a plunge of 52.6%. Just as importantly, it broke below several trend lines of support along the way, with each breakdown triggering algos to push stocks to new highs.
As we’ve discussed many times over the past few months, 19.86 is a key price level for VIX – the 88.6% Fibonacci retracement of its rise from 11.42 on Nov 26, 2019 to 85.47 on Mar 18, 2020.After testing 19.86 in Friday’s pre-market, VIX bounced up to backtest its hapless 10-DMA – where it was unceremoniously slammed 12.6% lower – thus ramping ES 72 points higher.
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