From Doug Short: The S&P 500 posted another modest loss yesterday, extending its current selloff to nine sessions. The last nine-session selloff ended on December 11, 1980 … about five weeks shy of 36 years ago.
The index opened at its intraday low and whipsawed with indecision in the first 15 minutes of trading despite a good October employment report. It then traced a fairly symmetrical arc through the rest of the session with a mid-day peak gain of 0.50%. The afternoon saw an accelerating decline to its -0.17% close. The current nine-session loss is -3.07%.
Now for some context: The nine-day selloff in 1980 was a far more dramatic -9.37%. And consider this: We’ve had 13 nine-session sequences ending in 2016 with a cumulative decline of more than -3.07%. In fact, the single daily decline in 2016 was -3.59% on June 24th.
The 10-year Note closed the session at 1.79%, down three BPs from the previous close.
Here is a snapshot of past five sessions in the S&P 500.
Here’s a weekly chart of the index, which is down 1.94% week-over-week. Trading volume was slightly above its 50-week moving average.
A Perspective on Drawdowns
Here’s a snapshot of selloffs since the 2009 trough.
Here is a more conventional log-scale chart with drawdowns highlighted.
Here is a linear scale version of the same chart with the 50- and 200-day moving averages.
A Perspective on Volatility
For a sense of the correlation between the closing price and intraday volatility, the chart below overlays the S&P 500 since 2007 with the intraday price range. We’ve also included a 20-day moving average to help identify trends in volatility.
This article is brought to you courtesy of Advisor Perspectives.