VMR Market Regime - Market Breadth Chart & Analysis

High Precision Market-Regime Indicator: Stocks above MA + 52 Week High Low + Advance Decline Line ➔ combined with our Regime Oscillator.

ValueRay Market Regime (VMR) - US Equity Market Breadth Indicator

Regime Oscillator: 86.17
Change 4 days: 11.76%
Change 8 days: 26.02%
Regime: Somewhat Overbought
Volatility: Bullish Uptrend
Description: measures US stock market strength from 0 (weak) to 100 (strong). Combines stocks above 50-day average, new highs/lows, and advancing vs. declining stocks. Updated daily to quickly spot momentum shifts. See How to use this indicator.

Stocks above MA (within S&P 500)   

Stocks above MA

Advance Decline Line (all NYSE, Detrended)   

Advance Decline

52 Week High Low (all NYSE)   

52 Week High Low

How to use

Regime Oscillator < 20% 20% - 80% > 80%
Change 4 Days 8% + Small Cap Opportunities Strong Buy Correction Incomming
4% + Strong Buy Buy Partial Take Profit
0% + Buy Buy Hold
- 0% Wait for Correction Hold Hold
- 4% Wait for Correction Sell Stop Loss
- 8% Correction Incomming Strong Sell Sell Short Opportunities

Recommend Options Strategies based on the ValueRay Market Regime

  • Above 80% and going Down: Bear Call Spread
    Good expectation for IV to increase: Buy with low Premium and sell on higher Premium, while the stock is going down.
  • Below 30% and going Up: Short Iron Condor
    Moderate expectation for IV to decrease: Ideally we want IV to decrease, while the stock price is in-between our short strikes.
  • Below 20% and going Up: Bull Put Spread
    Good expectation for IV to decrease: Collect Premiums now and buy them back when the Premium drops, while the stock is going up.
  • Below 20% and turning Up: Bull Call Spread
    High expectation for prices to increase and IV to decrease: Collect high Premiums and sell when the spreads becomes fully In-The-Money.

Before you buy, answer the following questions

  1. What is the current overall Market Regime?
  2. Does this stock has a sector-specific tail- or headwind?
  3. Is this stock the best in its Peer-Group?
  4. Why should other Investors buy and hold this stock?
  5. At what prices would Bagholders sell?

Other recommended sources to identify the Market Regime

  1. Is the AAII Investor Sentiment Survey above or below Historical Average?
  2. Is the VIX above or below 21, is the VIX Term Structure in Contango or Backwardation?
  3. Will the FED increase, hold or decrease the Interest Rate?
Market Regime is a crucial concept in the world of finance and investing. It refers to the measure of the overall health and direction of a financial market, typically a stock market, by examining the number of individual assets or securities participating in a particular market move. It is a quantitative assessment that helps investors and analysts gauge the underlying strength or weakness of a market trend.

We developed a contrarian market regime indicator, based on seven different momentum indices - a sophisticated approach to assess market sentiment. Our contrarian indicator looks for divergences between market sentiments and price movements. Here's a deeper dive what we take into account:

Symbol Description Alternatives
S5TW Percent of Stocks Above 20-Day Average S&P 500 MMTW for Overall / NDTW for Nasdaq
S5FI Percent of Stocks Above 50-Day Average S&P 500 MMFI for Overall / NDFI for Nasdaq
S5TH Percent of Stocks Above 200-Day Average S&P 500 MMTH for Overall / NDTH for Nasdaq
MALN 52 Weeks Lows New York Stock Exchang NYSE MALQ for Nasdaq
MAHN 52 Weeks High New York Stock Exchang NYSE MAHQ for Nasdaq
ADVN (or NSHU) Advancing Stocks NYSE ADVQ for Nasdaq
DECN (or NSHD) Declining Stocks NYSE DECQ for Nasdaq