We have been studying SPX options deltas and changes in those deltas for some time. Finding a definitive indicator in this data has been a challenge, but there certainly appears to be something here. For this reason we are posting this current chart of our Delta Tilt™ indicator.
Notice that large moves down in the Delta Tilt line generally seems to precede flat to negative moves in the S&P500 Index. We are working on a more definite study here, but its notable at this moment due to the large divergence that we currently have, as seen in box at right.
