"Safe is expensive"

1. HY Bond A/D Line. "Here's an update on the High Yield market using advance-decline data. Short version: It still sucks and you can't be surprised if equities get worse."

2. Risk appetite. Goldman's Risk Appetite Indicator entered the week more than 2 SD below its average.

3. Inverted call skew. "The percent of stocks in the S&P top 100 trading with inverted call skew (a sign of extreme bullish sentiment) has dropped from a high of 44% in early October to just 10% now."

4. SPX trend strength. "Within the S&P indexes, the percentage of stocks with 50-day averages above their 200-day averages has begun to meaningfully recede - reversing and more the gains seen earlier this year."

5. Safe is expensive. "The S&P 500 Low Vol Index now trades at ~19x, back near the highs of the year. The Dividend Yield factor is in 90th percentile, and the Valuation factor is trading in the 80th percentile (10y). Meanwhile, Growth (40th pctl) and Momentum (30th pctl) have become cheap."

ICYMI