Courtesy of Doug Short.
The S&P 500 opened higher and rallied to its 1.90% intraday high in the late morning. The afternoon was a bit less jubilant, and the index finished Friday with a 1.29% advance, thus ending a highly volatile week with a loss of 1.02%. This was the fourth consecutive weekly decline — the longest such string of red since the four-week selloff in summer of 2011. Prior to that was the six-week dive in May of 2011.
I refer to the past week as “highly volatile” because of the 5.02% high-low spread.
The yield on the 10-year Note closed at 2.22%, up 5 bps from yesterday’s close but 9 bps below last week’s close.
Here is a 15-minute chart of the week.
Here is a weekly chart of the SPY ETF, which gives us a better picture of investor behavior. Trading volume was 126% above its 10-week moving average..
A Perspective on Drawdowns
How close were we to an “official” correction, generally defined as a 10% drawdown from a high (based on daily closes)? The chart below incorporates a percent-off-high calculation to illustrate the drawdowns greater than 5% since the trough in 2009.
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.
