Courtesy of Doug Short’s Advisor Perspectives.
In yesterday’s S&P 500 update we asked: “Will a Brexit “stay” vote trigger a record close in tomorrow’s trade?” Au contraire, mon ami (use of a Eurozone language intended). The “leave” vote triggered a global selloff. The S&P 500 plunged at the open and sold off steadily to its -3.82% intraday low in the final hour. Some volatility in the final minutes trimmed the loss to -3.60%. The index is now back in the red at -0.32% year-to-date. A preliminary read of trading volume is the second highest of the year. Today’s decline was the largest since the -3.94% selloff in August of last year.
The flight to treasuries was substantial. The 10-year note closed at 1.57%, down 17 basis points from the previous session.
Here is a snapshot of past five sessions in the S&P 500.
Here is a daily chart of the index, which has dropped below its 50-day moving average. Volume, as we mentioned above, increased dramatically.
Here’s a look at the VIX volatility index, the celebrated “fear gauge” market indicator. Today’s selloff lifted it will above the 20 benchmark.
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.
