Machina Quanta Traffic Volume as Alpha - Aug 3, 2025

My Journal

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“The signal catches up to the SPX” - Machina Quanta

Last week was finally interesting. My last publication July 28th, Yenmageddon vs Today, was fortuitously timely and hopefully had most of you cautious because we topped three days later.

So, after sounding like a broken record for most of July advising this will end with us losing the bid…we lost the bid. Almost the entire month of July’s returns were lost in 9 trading hours (for now).

While we have heard “the pain trade is up” over and over…that is ONLY true until VIX slams past 20 and SP500 starts gapping down. It is not coincidence that with Yenmageddon when entropy began deteriorating it took about 21 trading days (~30 calendar days) for the SP500 to top. This time it took about 19 days (< 30 calendar days), assuming we have a local top.

Timing entropy is tricky because leading indicators lead price but we can’t be certain just HOW far in advance it leads (not to mention there can be false positives on shorter time frames). In cases of extended decreases in entropy I’ve seen up to 30-60 days (calendar days) before SPX may react but ultimately it has to be used in context with what is happening in the market. In our case last week, behaviour in VVIX and VIX were the additional warning signs to me.