INDEX ANALYSIS: All three index caught a nice bounce off the floor today with the Crypto Index (right) still having exhibited the least downside skew as illustrated by the ARENA (top) indicator, never crossing -1 standard deviation to the downside. When looking at the Nasdaq (left) and SPX (center) we can see that both indexes recently breached -1 standard deviation on their respective ARENA (top) indicators. We also see the Crypto Index (right) exhibiting higher upside skew, having recently breached +2 standard deviation to the upside during the late March/Ukraine rally while the Nasdaq (left) and the SPX (center) only rose above +1 standard deviation during the rally.
Moving down to the PIG RSI (middle) we see the Nasdaq (left) continuing to remain the deepest oversold followed by the SPX (center) and the Crypto Index (right), with all three indexes exhibiting a similar “floor bounce” illustrated by signal line (yellow) pointing upward on all three PIG RSI (middle) indicators.
From our HISTORICAL VOLATILITY PERCENTILE (bottom) indicator we see both the Nasdaq (left) and the SPX (center) exhibiting high (red) to elevated (orange) levels of historical volatility while the Crypto Index (right) remains relatively calm (blue) despite significant trend correlation to both the Nasdaq (left) and SPX (center) at the time of writing this report.
In summary we can say that the Crypto Index is exhibiting less instability from a historical volatility perspective relative to both the Nasdaq and the SPX in part because it rallied harder to the upside (ARENA, top) at the end of March/beginning of April and hasn’t sold off as deeply (RSI, middle). This more positive price/volume skew distribution in the Crypto Index relative to the NDX and SPX creates the conditions for a lower, respective historical volatility reading… but will it hold? Stay tuned to stay informed.
(The above charts are for educational purposes only and are not intended as financial advice.)
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