Courtesy of Doug Short.
The S&P 500 ended the third quarter with a day of fairly average price volatility. Today’s 0.82% intraday range from its 0.37% high to its -0.45% low is at the 55th percentile of the 188 market days in 2014. The loss for the day was -0.28%, giving us a -1.55% decline for the month, but the quarter ended with a modest gain of 0.62%.
The yield on the 10-year Note closed at 2.52%, up 2 bps from yesterday’s close and up 17 bps from the August close.
Here is a daily chart of the index. Thirteen of the 21 market days in September were declines, but the index is up 6.70% year-to-date.
On the monthly chart we can see that the price remains above its 10-month moving average.
A Perspective on Drawdowns
The chart below incorporates a percent-off-high calculation to illustrate the drawdowns greater than 5% since the trough in 2009.
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For a longer-term perspective, here is a pair of charts based on daily closes starting with the all-time high prior to the Great Recession.
