Yesterday we highlighted a tightening pattern in the trading range over the past few sessions, and posed the question: Will tomorrow see a breakout or breakdown? The early trade suggested a breakout, thanks (it initially seemed) to ECB President Draghi’s latest stimulus move. The S&P 500 surged to its 0.80% intraday high shortly after the open. But his suggestion of no additional rate cuts reversed the rally, and the index sold off to its -1.01% intraday low. The 500 then recovered through the afternoon to its 0.02% flat finish.
The treasury market was skeptical of today’s equity gain. The yield on the 10-year note closed at 1.93%, up three 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 was unremarkable on today’s double headfake.
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.
