Our benchmark S&P 500 continued the post-FOMC rally with a modest morning rally to its 0.58% intraday high in the late morning. It trended sideways through the lunch hour, slumped a bit and then rose early in the final hour to a narrow range prior to its 0.44% closing gain. Today was the 53rd market day of 2016 and the first year-to-date finish in the green, up 0.27% for 2016. The index gained 1.32% for the week, extending its current rally to five consecutive weeks.
The yield on the 10-year note closed at 1.88%, down three bps from the previous close.
Here is a snapshot of past five sessions in the S&P 500.
Here is a weekly chart of the SPY ETF, which gives a better sense of investor particpation than the underlying index (espcially during a options-expiration week). Volume has remained light during this five-week rally, which suggest a continuing aura of caution for many.
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.
