Here at Macrofugue, we occasionally publish some charts from our pool of proprietary indicators.

Realised Volatility Premium, which is simply Realised Volatility net of Implied Volatility:

When this value goes positive, it has presaged increases in implied volatility -- as options writers may have under-priced volatility relative to what has been realised.

In 5,547 daily observations, there are only 453 positive observations (8.2%).  213 of those 453 (47%) saw negative prices 240 trading days later.  Contrast that with only 1,342 observations over the whole sample (24%).

This is still not to say that evidence shows a positive expectation on buying volatility -- it doesn't.  But it does say options gamma may be particularly cheap.  We are exploring ways of funding gamma purchase with some of the carry on our portfolio.

Let's move on to our volatility dispersion chart, which plots each asset relative to its long-term trend:

While dollars are very expensive, the VIX and gold (the most dubious of these instruments) are the cheapest.

Another expression of the liquidity premium, the spread between utilities and the S&P 500, has provided a compelling positive carry gamma hedge:

Not so cheap now, though.

Sum of intra-day vs after-hours market performance:

Let us know if you want an updated version of any chart you see here at Macrofugue.