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Writer's picturePeter Lee

Implied Volatily Indexes and Retracement Levels

Although we may be entering a strong seasonality time period (December) we have experienced an impressive stock market rally over the past two months as represented by the following returns on key US stock market indexes. Given the strong rallies in the past two months this December may turn out to be more of a consolidation month.


S&P 500 Index (SPX) has rallied from a 10/3/19 low of 2,855.94 to an all-time high of 3,154.26 on 11/27/19. In the process SPX has appreciated 298.32 points or +10.45%.


Dow Jones Industrial Average (INDU) has rallied from a 10/3/19 low of 25,743.46 recording an all-time high of 28,174.97 and gaining 2,431.51 points or +9.45%.


NASDAQ 100 Index (NDX) has jumped from a 10/3/19 low of 7,463.57 to record high of 8,445.60 producing gains of 982.03 points or +13.16%.


Healthy and sustainable rallies often require brief periods of consolidations or what we commonly refer to as backing and filling process. These consolidations alleviate overbought conditions and set the stage for the resumption of the primary trends. Without these consolidations the markets in question can transition into speculative type rallies that escalate into stock market bubbles.

Implied volatilities can warn of impending stock market corrections. However, it would need to breakout of key resistances to incite widespread investor fears. Enclosed below we have included these key technical levels to monitor for potential technical breakouts and its consequences on key US stock market indexes if implied volatilities were to rise significantly.


Also attached we have run Fibonacci Retracement studies on key US indexes based on the recent October 2019 to November 2019 rallies. In strong bull rallies, there is a tendency for market consolidations and minor corrections to find key supports just above their 38.2% retracement levels. If the 38.2% retracement levels are breeched, then it may warn of the start of deeper and more extensive corrections.


Source: Courtesy of StockCharts.com

Source: Courtesy of StockCharts.com

Source: Courtesy of StockCharts.com

Source: Courtesy of StockCharts.com

Source: Courtesy of StockCharts.com

Source: Courtesy of StockCharts.com

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