Today’s DIX value is the first significant indication that off-exchange participants were liquidating long positions, since September 30, 2019.
A few months ago, I analyzed DIX-GEX sell signals, retrospectively, here. Among the findings, DIX values below 0.39 clustered during the late phase of ascending auctions. As markets, whose rally was long in the tooth, rose further dark pool selling printed ahead of the inflection point.
The true positive rate for sell signals was 101/122 (83%). Only one rally climaxed ahead of a significant market correction without DIX-GEX signaling (Spring 2012).
Noteworthy in today’s options trading was the volume in protective puts at the 3125 and 3130 strikes in SPX December expiry.
Taken together, we might expect further upside …but we’re currently seeing the first substantive signs of an ensuing inflection point.