Category: Volatility

It’s only Tuesday, but what a week it’s been thus far in the equity markets… Volatility Crashes On Monday we saw the 4th largest decline in history for the Volatility Index (VIX), a 25.9% drop. This crash in volatility may sound familiar as #7 (post-election, 11/9/16) and #11 (post-Brexit. 6/28/16) also occurred within the last year. […]

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The most peaceful market in history ended on Tuesday as the S&P 500 suffered a 1% decline intraday. At 64 trading days, the streak was 30 trading days longer than the prior record set in 1995. The S&P 500 also finished down over 1% on the day, ending the longest streak since 1995 without a […]

“All truth passes through three stages. First, it is ridiculed. Second, it is violently opposed. Third, it is accepted as being self-evident.” – Arthur Schopenhauer The degree to which misinformation is spread and believed is remarkable, a theme I expressed in last week’s writing.  But what is even more incredible is the extent to which […]

Valuation and Volatility

U.S. stock valuations are rising. One way to measure that is the CAPE ratio, which smooths earnings over a ten year period. This ratio for the S&P 500 hit 28.7 this week, which is in the 94th percentile going back to 1928. The only periods in history with a higher CAPE ratio were July through […]

Volatility and Mean Reversion

“Don’t confuse lack of volatility with stability, ever.” – Nassim Taleb Volatility is low. How low? Over the past month, the Dow Jones Industrials Average has traded in a range (from high to low) of 1.4%. Going back to 1970, that’s the least volatile period in history. At 2.2%, the same range for the S&P […]