S&P 500 Snapshot: Brexit Sell-Off Mostly Reversed

As of today's close, most of the post-Brexit equities selloff has now been erased. The S&P 500 hovered just above the flat line during the first hour of trading and then continued the upward trend of the previous two sessions. It closed today with a 1.36% gain and is a mere 0.68% below its closing high on the 23rd before the Brexit vote count. The index finished the month of June with a fractional 0.09% gain and is up 2.69% year-to-date.

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

Treasuries are less sanguine about the Brexit outcome. The yield on the 10-year note closed at 1.49%, down one basis point from the previous close and is 25 bps off its close before the Brexit vote count.

Here is a monthly chart of the S&P 500, which has been struggling below its record close in May of last year.

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.