Take a look at the chart of the S&P over the last 2+ months, and despite the volatility, we’re essentially back at the same spot we were at the beginning of August when it appeared the world was ending (for the first time). There appears a clear pattern of a few days of upside movement, followed by a few days of downside movement, and then rinse, and repeat the sequence.
This got us thinking – what have those moves looked like in magnitude and duration? Have they been about the same amount up and down, and about the same time each. Is this a new short term cycle? We measured each of the swing moves, from close to close in the cash S&P, since the lows after the initial spike down and found the following:
Those are pretty regular, with the average up move +6.81%, and the average down move -6.40%, and neither set going more than 2.5% above/below that average. How about the duration?
Again, these appear rather regular, with all between 3 and 7 days. These are little more than interesting observations at this point, but the current run up is the largest such up move since the August lows (although it still has two days to go to claim the longest such move). We’ll see what tomorrow…and the next day bring…
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