S&P 500 Snapshot: A Rare Eight-Day Selloff

The S&P 500 posted another modest loss, extending its current selloff to eight sessions. The index opened fractionally higher and traded in a narrow range until the lunch hour, when it sold off to a narrow afternoon range in the shallow red. It then sank lower in the final hour to its -0.61% intraday low. Some buying in the final 15 minutes trimmed the loss to -0.44%. The eight-day decline is 2.91%. As we mentioned yesterday, the last time we had an eight-day rout was in October 2008. But the size of that selloff was a gut-wrenching -22.80%.

Should the S&P 500 extend the selloff to nine days, we'd have to go back nearly 36 years to December of 1980 for the most recent example ... a nine-day decline of 9.37%.

The 10-year Note closed the session at 1.82%, up one BP from the previous close.

Here is a snapshot of past five sessions in the S&P 500.

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Here's a daily chart of the index. Trading volume was unremarkable, certainly not reflecting any sort of panic. However the VIX closed above the 20 "fear" benchmark at 22.14. 

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For an interesting comparison, check out the volume on the savage e-ght-day selloff in 2008. 

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A Perspective on Drawdowns

Here's a snapshot of selloffs since the 2009 trough.

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Here is a more conventional log-scale chart with drawdowns highlighted. 

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Here is a linear scale version of the same chart with the 50- and 200-day moving averages. 

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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.

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