Thursday, July 02, 2015
Volatility Is Stealthy Reemerging Into The Equity Market
Earlier this week we highlighted that we’d seen the first 2% down day in the S&P 500 since the 4th quarter of 2014. In that post we showed just how depressed volatility has been by showing that no rolling six month period since 2012 saw more than two or three 2% down days for the broad index. Chart below:
In this post we show a modified chart of the one above in which we simply count the number of 1% down days over the previous rolling six month period. This chart, as you would expect, is more volatile, but it’s also quicker to pick up turning points in the stock market. Since the end of 2014 the indicator has rather quietly moved from 5 to 13. The S&P 500 is still up on the year (just barely), but by this measure there is more volatility underneath the surface than we’ve see since 2012.
Posted by Bud Fox at 1:27 PM