Courtesy of Doug Short.
The S&P 500 closed out the historically volatile month of October at an all-time high, up 1.17% for the day, 2.72% for the week and 2.32% for the month. This October had a 8.35% spread between its closing low on the 15th and today’s record close.
The yield on the 10-year Note closed at 2.35%, up 3 bps from yesterday’s close but down 17 bps from the September close.
Here is a 15-minute chart of the past five sessions.
Here is a monthly chart of the index. The price volatility was accompanied by a surge in volume, 29% above its 10-month 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.
