Cautiously Constructive: Breadth Broadens, VIX Eases; Selective Longs Pending NYLOW Below 40
IMGELD Market Breadth Update: 2025-11-12
Executive Summary (as of 2025-11-11)
Bias: TENTATIVE LONG
Exposure: 65% Long, 0% Short, 35% Cash
Breadth: NYSI (McClellan Summation Index) remains above zero, declining early in the period with a positive inflection on the latest session; NYAD (NYSE Advance–Decline Line) is net positive over five sessions despite choppiness.
Volatility: VIX (CBOE Volatility Index) and RVX (CBOE Russell 2000 Volatility Index) both trended lower; VIX near high teens, RVX mid‑20s.
Leadership is improving: NYHGH (New 52-Week Highs) expanded steadily while NYLOW (New 52-Week Lows) fell from a midweek spike but remains just above the “healthy” threshold.
Tactical: Favor selective longs in established leaders and liquid large caps; be selective with small caps until RVX compresses further and NYLOW sustains sub‑40. Avoid broad shorts; keep a cash buffer for volatility pockets.
Global Read
Participation: NYSI is constructive (>0) with a late-session turn higher after four days of easing. This supports a tentative positive bias but requires follow‑through.
Underlying flow: NYAD was volatile (−1015, +1014, −870, +1012, +759) yet summed net positive, indicating improving breadth into the latest two sessions.
Leadership breadth: NYHGH rose 39 → 159, signaling expanding leadership.
Weakness breadth: NYLOW moved 99 → 49, improving from a risk-off spike (137 on 11/07) but still above the healthy threshold (<40).
Volatility tone: VIX declined 19.0 → 17.28; RVX 24.82 → 23.64. Both are easing, supportive for risk, with the small-cap risk premium still elevated.
Interpretation: Breadth is tentatively broadening. Participation firmed late, leadership expanded, and downside breadth receded. However, the NYLOW reading near 50 and only a nascent NYSI upturn argue for patience.
Thresholds:
NYSI above 0 = constructive (in place). A rising NYSI would confirm.
NYLOW below 40 = healthy; above 100 = risk-off. Current 49 is improving but not yet healthy.
3–8 week outlook: Bias modestly constructive contingent on continued breadth improvement and contained volatility. Confirmation would be: NYSI turning and sustaining higher above zero, NYAD maintaining positive breadth on balance, NYLOW sustaining below 40, and VIX/RVX maintaining a downtrend. Invalidation would be: NYSI rolling back below zero, NYLOW prints >100 for multiple sessions, or a persistent VIX break >20 with broad NYAD deterioration.
Market Breadth Summary (Last Five Sessions)
Implementation Guidance
• For LONGS: focus on positions above the 200 / 150 SMA, confirming support, and prioritize industries with a High ImGeld Industry Score rating.
• For SHORTS: focus on positions below the 200 / 150 SMA, rejecting resistance, and prioritize industries with a Low ImGeld Industry Score rating.
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