Courtesy of Doug Short’s Advisor Perspectives.
Pre-market futures took a dive this morning on news that the Bank of Japan’s rejection of further stimulus. The S&P 500 dropped at the open but then recovered to its 0.20% late-morning high. The index then drifted low before accelerating to a nosedive in the final hour of trading. The index closed with a 0.92% loss, but off its -1.12% intraday low in the final minutes. The 500 more or less mirrored the steeper selloff in Apple after Carl Icahn told CNBC he had exited his position in the company.
The yield on the 10-year note closed at 1.83%, down four basis points from the previous close.
Here is a snapshot of past five sessions in the S&P 500.
Here is a daily chart of the index. Volume rose on today’s selling.
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.
