Why a Rotation Day Fools Index-Level Automation
Some of the most treacherous sessions for an index trader are the calm-looking ones. On a rotation day, the S&P 500 barely moves, the VIX falls even as a major sector craters, and an index-level view sees a quiet market that is anything but. This is why rotation days carry less information at the index level than they appear to, and what an honest automation strategy does about a regime it cannot fully see.