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Stock Market Indicators: VIX, Volume, and Put/Call Stock Market Indicators: VIX, Volume, and Put/Call Yardeni Research, Inc. September 29, 2021 Dr. Edward Yardeni 516-972-7683 [email protected] Joe Abbott 732-497-5306 [email protected] Debbie Johnson 480-664-1333 [email protected] Mali Quintana 480-664-1333 [email protected] Please visit our sites at www.yardeni.com blog.yardeni.com thinking outside the box Table Of Contents TableTable OfOf ContentsContents Volatility 1-3 Miscellaneous 4 September 29, 2021 / VIX, Volume, and Put/Call Yardeni Research, Inc. www.yardeni.com Volatility Figure 1. 100 100 VIX: S&P 500 90 90 80 80 70 70 60 60 50 50 40 40 30 30 9/29 20 20 10 10 yardeni.com 0 0 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 Note: Shaded areas are recessions according to the National Bureau of Economic Research. Source: Chicago Board Options Exchange. Figure 2. 90 2500 S&P 500 VIX & HIGH YIELD CORPORATE BOND SPREAD 80 2000 70 S&P 500 VIX (22.6) 60 High-Yield Corporate Spread* (263.3) 1500 50 40 1000 30 9/29 20 500 10 9/28 yardeni.com 0 0 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 * US high-yield corporate bond yield less 10-year Treasury bond yield (basis points). Note: Shaded areas are recessions according to the National Bureau of Economic Research. Source: Chicago Board Options Exchange, Bank of America Merill Lynch, and Federal Reserve Board. Page 1 / September 29, 2021 / VIX, Volume, and Put/Call Yardeni Research, Inc. www.yardeni.com Volatility Figure 3. 100 100 S&P 500 VIX & INVESTORS INTELLIGENCE BEARS 80 80 S&P 500 VIX (22.6) Investors Intelligence Bears (percent) (22.1) 60 60 40 40 9/289/29 20 20 yardeni.com 0 0 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 Source: Investors Intelligence and Chicago Board Options Exchange. Note: Shaded areas denote recessions according to the National Bureau of Economic Research. Figure 4. 60 2500 HIGH-YIELD CORPORATE BOND SPREAD & INVESTORS INTELLIGENCE BEARS Investors Intelligence Bears High-Yield (percent) (22.1) Corporate Spread* (263.3) 50 2000 40 1500 30 1000 9/28 20 500 yardeni.com 10 0 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 * US high-yield corporate bond yield less 10-year Treasury bond yield (basis points). Note: Shaded areas are recessions according to the National Bureau of Economic Research. Source: Board of Governors of the Federal Reserve System, BoFa Merill Lynch, and Investors Intelligence. Page 2 / September 29, 2021 / VIX, Volume, and Put/Call Yardeni Research, Inc. www.yardeni.com Volatility Figure 5. 100 100 VIX: NASDAQ 100 Latest (26.7) 80 80 60 60 40 40 9/29 20 20 yardeni.com 0 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 Note: Shaded areas are recessions according to the National Bureau of Economic Research. Source: Chicago Board Options Exchange. Figure 6. 3.0 3.0 NASDAQ VIX (as a ratio of S&P 500 VIX) 2.5 2.5 2.0 2.0 1.5 1.5 9/29 1.0 1.0 yardeni.com .5 .5 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 Note: Shaded areas are recessions according to the National Bureau of Economic Research. Source: Chicago Board Options Exchange. Page 3 / September 29, 2021 / VIX, Volume, and Put/Call Yardeni Research, Inc. www.yardeni.com Miscellaneous Figure 7. 105 105 S&P 500 VIX Global Growth Brexit 95 and Ebola Covid 95 Greek Debt Scares ETF N. Korea Fed on Crisis/ Crisis Autopilot 85 Flash Crash Eurozone Flash Crash 85 Debt Crisis Impeach Japan Goes Scare 75 Eurozone NIRP 75 Debt Crisis Escalating 65 Trade War US-China 65 trade war Brent Drops FBI flags escalates Japan Fiscal Cliff Below $70 HRC 55 Nuclear Scare 55 Disaster 45 45 35 35 25 25 9/29 15 15 yardeni.com 5 5 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 Source: Chicago Board Options Exchange. Figure 8. 95 95 S&P 500 VIX Lehman 85 85 75 75 LTCM Barron’s WTC Dot-Com 65 Article 65 Worldcom Scandal 55 55 45 45 35 35 25 25 9/29 15 15 yardeni.com 5 5 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 Source: Chicago Board Options Exchange. Page 4 / September 29, 2021 / VIX, Volume, and Put/Call Yardeni Research, Inc. www.yardeni.com Copyright (c) Yardeni Research, Inc. 2021. All rights reserved. The information contained herein has been obtained from sources believed to be reliable, but is not necessarily complete and its accuracy cannot be guaranteed. No representation or warranty, express or implied, is made as to the fairness, accuracy, completeness, or correctness of the information and opinions contained herein. The views and the other information provided are subject to change without notice. All reports and podcasts posted on www.yardeni.com, blog.yardeni.comhttp://blog.yardeni.com, and YRI’s Apps are issued without regard to the specific investment objectives, financial situation, or particular needs of any specific recipient and are not to be construed as a solicitation or an offer to buy or sell any securities or related financial instruments. Past performance is not necessarily a guide to future results. 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