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 ValueRay Oscillator VRO.

ValueRay Market Regime (VMR) - US Equity Market Breadth Indicator as of 06.Jul 2025

VMR: 88.82
VMR Trend 4 days: +17.84
VMR Trend 8 days: +26.13
Regime: Somewhat Overbought
Trend Analysis: Bullish Uptrend
Trading Signal: 1.6
Explanation VMR: Percentile-based US equity market breadth index (0-100) with a slight focus on stocks within the S&P 500, that blends % stocks above 20, 50 and 200-day MA, % at 52-week highs/lows and advance/decline ratio. It reads similar to RSI, but with different thresholds and better accuracy.
Explanation VMR Trend: The VMR trend measures how far the current value has moved away from the e.g. 4‑day extreme.
Trading Signal: Buy or Sell Signal: range from -5 to +5, +-2 as neutral, buy rating > 2.5, strong buy > 3.5

Market Regime - S&P 500 Analysis (SPY ETF) as of 2025-07-05 03:08:35

  • SPY Price: 625.34 USD
  • SMA 20: $604.67
  • SMA 50: $585.81
  • SMA 200: $579.21
  • 52 Weeks Low: $495.01
  • 52 Weeks High: $625.34
  • GARCH Volatility: 9.68
  • ATR: 6.21 (0.99%)
  • Relative Volume: 0.68
  • SPY VRO: 95.37 %
Explanation VRO (ValueRay Oscillator): Quantifies stock trend strength on a scale of 0-100. It reads similar to RSI, but with different thresholds and better accuracy:
Oversold <15, Bearish <40, Neutral 40-60, Bullish >60, Overbought >85. Highly oversold or Overbought conditions often leads to a reversal or sideways movement.

Stocks above MA (within S&P 500)

Stocks above MA
Explanation Stock above MA: Percent of US Stocks within the S&P 500 that are above a mixed weighting of their 20, 50 or 200 day moving average. Values above 75% or below 25% are considered as extreme values and may trigger a move in the opposite direction.

Advance Decline Line ADL (all NYSE, Detrended)

Advance Decline Line ADL
Explanation ADL: The Advance Decline Line (ADL) is a breadth indicator that shows the difference between the number of advancing and declining stocks. The numbers here are calculated by subtracting the Ticker Symbols ADVN - DECN, then cumulatively summed up and detrended. Due to its nature, there are no fixed extreme values, that could indicate a reversal.

52 Week High Low (all NYSE)

52 Week High Low
Explanation 52W high/low: The number of stocks reaching new highs or new lows in a one year time window. Values above 85% or below 25% are considered as extreme values and may trigger a move in the opposite direction.

Recommended use Table

VMR < 20% 20% - 80% > 80%
Trend 4 Days > +8% Small Cap Opportunities Strong Buy Correction Incoming
> +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 Incoming Strong Sell Sell Short Opportunities

Recommend Options Strategies based on VMR

  • Bearish turn-around / Strong Sell: Long Puts
    High expectation for IV to increase: Buy with low Premium and sell on higher Premium, while the stocks are going down.
  • Sideways or Moderate uptrend / Hold or Buy: 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.
    Sell when 50% to 80% of the Premium is collected, or when the stock price is close to the short strikes.
  • Moderate downtrend / Sell: do nothing
    Sometimes its better to stay out of the market, just wait for a better opportunity.
  • Bullish turn-around / Strong Buy: 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.

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?
The 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:

Symbols used in this Market Regime Indicator

We use the following symbols to calculate the Market Regime Indicator, which is a weighted average of the individual indicators.
Note: The Nasdaq version of the indicators are not used in the calculation, but can be used as alternatives.
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
We have an API endpoint that is optimized for AI/LLM usage and provides all information into a single JSON response:
SPY API Endpoint Limited to one call per minute