0.40.60.811.2
Volatility
Cone
'Concept'
for
SPY
VWAP
This measures
the
difference
between
a
rolling
z
‐
score
of
each
of
'SPY
richness
to
Average
Price'
and
'SPY
richness
to
VWAP'.
The
z
‐
score's
average
and
mean
is
anchored
at
the
low
and
expands
as
time
progresses.Typically
as
time
goes
by
the
z
‐
score
will
revert
to
zero
as
the
two
z
‐
score
mean
revert
and
short
‐
term
noise
is
removed.This
happens
for
the
first
month
of
the
rally
and
then
price
and
its
relative
volume
‐
impact
diverge
dramatically
from
what
we
would
expect
optically.This
is
the
quant's
equivalent
of
'pushing
on
a
string'.SPY's
price
is
moving
higher
on
less
and
less
of
a
base
of
buyers.
This
is
nothing
new
to
many
market
particpants
and
gives
no
sign
of
timing
the
snap
back
but
from
our
analysis
we
have
not
seen
the
differential
this
wide
after
almost
2
months
from
a
peak
or
trough
during
the
last
few
years.
‐
0.200.2
3 / 1 0 / 0 9 6 : 3 0 A M 3 / 1 0 / 0 9 1 1 : 3 2 A M 3 / 1 1 / 0 9 1 0 : 0 2 A M 3 / 1 2 / 0 9 8 : 3 2 A M 3 / 1 3 / 0 9 7 : 0 2 A M 3 / 1 3 / 0 9 1 2 : 0 4 P M 3 / 1 6 / 0 9 1 0 : 3 4 A M 3 / 1 7 / 0 9 9 : 0 9 A M 3 / 1 8 / 0 9 7 : 3 9 A M 3 / 1 8 / 0 9 1 2 : 4 1 P M 3 / 1 9 / 0 9 1 1 : 1 2 A M 3 / 2 0 / 0 9 9 : 4 2 A M 3 / 2 3 / 0 9 8 : 1 2 A M 3 / 2 4 / 0 9 6 : 4 2 A M 3 / 2 4 / 0 9 1 1 : 4 4 A M 3 / 2 5 / 0 9 9 : 4 6 A M 3 / 2 6 / 0 9 8 : 1 6 A M 3 / 2 7 / 0 9 6 : 4 6 A M 3 / 2 7 / 0 9 1 1 : 4 8 A M 3 / 3 0 / 0 9 1 0 : 1 9 A M 3 / 3 1 / 0 9 8 : 4 9 A M 4 / 1 / 0 9 7 : 1 9 A M 4 / 1 / 0 9 1 2 : 2 1 P M 4 / 2 / 0 9 1 0 : 5 1 A M 4 / 3 / 0 9 9 : 2 1 A M 4 / 6 / 0 9 7 : 5 1 A M 4 / 6 / 0 9 1 2 : 5 3 P M 4 / 7 / 0 9 1 1 : 2 3 A M 4 / 8 / 0 9 9 : 5 3 A M 4 / 9 / 0 9 8 : 2 3 A M 4 / 1 3 / 0 9 6 : 5 4 A M 4 / 1 3 / 0 9 1 1 : 5 6 A M 4 / 1 4 / 0 9 1 0 : 2 6 A M 4 / 1 5 / 0 9 8 : 5 6 A M 4 / 1 6 / 0 9 7 : 2 7 A M 4 / 1 6 / 0 9 1 2 : 2 9 P M 4 / 1 7 / 0 9 1 0 : 5 9 A M 4 / 2 0 / 0 9 9 : 2 9 A M 4 / 2 1 / 0 9 8 : 0 0 A M 4 / 2 2 / 0 9 6 : 3 1 A M 4 / 2 2 / 0 9 1 1 : 3 3 A M 4 / 2 3 / 0 9 1 0 : 0 3 A M 4 / 2 4 / 0 9 8 : 3 3 A M 4 / 2 7 / 0 9 7 : 0 3 A M 4 / 2 7 / 0 9 1 2 : 0 5 P M 4 / 2 8 / 0 9 1 0 : 3 5 A M 4 / 2 9 / 0 9 9 : 0 5 A M 4 / 3 0 / 0 9 7 : 3 5 A M 4 / 3 0 / 0 9 1 2 : 3 7 P M 5 / 1 / 0 9 1 1 : 0 8 A M 5 / 4 / 0 9 9 : 3 8 A M 5 / 5 / 0 9 8 : 0 8 A M
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