Spy Vwap Signaltonoise

  • April 2020
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1

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.

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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.

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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.

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3/10/09 6:30 AM 3/10/09 11:32 AM 3/11/09 10:02 AM 3/12/09 8:32 AM 3/13/09 7:02 AM 3/13/09 12:04 PM 3/16/09 10:34 AM 3/17/09 9:09 AM 3/18/09 7:39 AM 3/18/09 12:41 PM 3/19/09 11:12 AM 3/20/09 9:42 AM 3/23/09 8:12 AM 3/24/09 6:42 AM 3/24/09 11:44 AM 3/25/09 9:46 AM 3/26/09 8:16 AM 3/27/09 6:46 AM 3/27/09 11:48 AM 3/30/09 10:19 AM 3/31/09 8:49 AM 4/1/09 7:19 AM 4/1/09 12:21 PM 4/2/09 10:51 AM 4/3/09 9:21 AM 4/6/09 7:51 AM 4/6/09 12:53 PM 4/7/09 11:23 AM 4/8/09 9:53 AM 4/9/09 8:23 AM 4/13/09 6:54 AM 4/13/09 11:56 AM 4/14/09 10:26 AM 4/15/09 8:56 AM 4/16/09 7:27 AM 4/16/09 12:29 PM 4/17/09 10:59 AM 4/20/09 9:29 AM 4/21/09 8:00 AM 4/22/09 6:31 AM 4/22/09 11:33 AM 4/23/09 10:03 AM 4/24/09 8:33 AM 4/27/09 7:03 AM 4/27/09 12:05 PM 4/28/09 10:35 AM 4/29/09 9:05 AM 4/30/09 7:35 AM 4/30/09 12:37 PM 5/1/09 11:08 AM 5/4/09 9:38 AM 5/5/09 8:08 AM

0

90

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3/5/09 6:30 AM 3/5/09 11:55 AM 3/6/09 10:49 AM 3/9/09 9:42 AM 3/10/09 8:36 AM 3/11/09 7:29 AM 3/11/09 12:54 PM 3/12/09 11:47 AM 3/13/09 10:40 AM 3/16/09 9:33 AM 3/17/09 8:31 AM 3/18/09 7:24 AM 3/18/09 12:49 PM 3/19/09 11:43 AM 3/20/09 10:36 AM 3/23/09 9:29 AM 3/24/09 8:22 AM 3/25/09 6:47 AM 3/25/09 12:12 PM 3/26/09 11:05 AM 3/27/09 9:58 AM 3/30/09 8:52 AM 3/31/09 7:45 AM 4/1/09 6:38 AM 4/1/09 12:03 PM 4/2/09 10:56 AM 4/3/09 9:49 AM 4/6/09 8:42 AM 4/7/09 7:35 AM 4/7/09 1:00 PM 4/8/09 11:53 AM 4/9/09 10:46 AM 4/13/09 9:40 AM 4/14/09 8:33 AM 4/15/09 7:26 AM 4/15/09 12:51 PM 4/16/09 11:45 AM 4/17/09 10:38 AM 4/20/09 9:31 AM 4/21/09 8:25 AM 4/22/09 7:19 AM 4/22/09 12:44 PM 4/23/09 11:37 AM 4/24/09 10:30 AM 4/27/09 9:23 AM 4/28/09 8:16 AM 4/29/09 7:09 AM 4/29/09 12:34 PM 4/30/09 11:27 AM 5/1/09 10:21 AM 5/4/09 9:14 AM 5/5/09 8:07 AM

95

SPY Close

VWAP from 3/6 low

Average Price from 3/6 low

Linear (SPY Close)

80

75

70

65

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