The August Doldrums

It’s been a strange couple of weeks. It has reminded us of one of those scenes in a horror movie when it gets just a little too quiet… Major markets are trading in a narrow range, volume is down all over the place, Twitter’s all abuzz about the VIX falling below 15… just what is going on?

It’s been so boring, we’ve even seen Business Insider declare that ”nothing happened” several days in a row like they’re stuck on repeat (and those people will try to make anything seem like big news). Last week we took a look at flagging volume in the cash S&P 500 over the past year, but we’re seeing the same sort of activity (or rather, lack of activity) in the S&P futures market too.

For example, we took a look at the volume of the front month S&P 500 E-mini futures contract (which is generally one of the highest-volume contracts out there). The average volume over the last 7 trading days was less than 1.275 million. That’s the lowest we’ve seen since the December/January holiday season, and less than a third of the average volume for the same period last year (4.678 million).


But even that doesn’t tell the whole story – we charted the daily volumes, and included lines to show the average for the year (1.862 million, in green) and the average for the last 7 days (1.275 million, in red).

Only a handful of days this year have had lower volume than what we’ve seen consistently since August 6 – and two of those big dips were because of holidays (April 6th – Good Friday, and July 3rd – Independence Day). Without a crystal ball, we can’t tell if this is a windup for something bigger, or just the sputtering of a market that doesn’t have anything up its sleeve. Or the result of futures industry fear following MF Global and PFG. Either way, it doesn’t look like too many traders are jumping in just yet, so the August Doldrums might be sticking around for a while.

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