This segment compares the market action and volatility this year to previous years using two different time frames for our market comparisons. Putting this year's market in context should help your overall understanding.
We looked at the drawdowns, directional movements, and ranges of the S&P 500 as well as SPX option (VIX) activity. We first looked at daily moves in the S&P 500 and compared this year’s moves to historical averages.
A table was displayed of the percentage of up days, down days, average up days and average down days for the years 2015, 2010-2015 and 1950-2015.
A study was conducted of the S&P 500 from 1950 to present. We isolated market movement from January 1rst to the end of July. We then recorded the High and Low print of these 7 months and compared it to the January opening print and the July closing print.
A second table was displayed of the S&P 500 January-July from 1950 to present. The table included the total range (Hi-Lo/Lo), positive range (Hi-January open/January open) and negative range (Lo-January open/January open). The table showed the average, median, largest range, and smallest range of the S&P 500 (including just 2015).
We also conducted a study on the VIX to place this year’s volatility in context. A table showed the average closing price in 2015, 2010-2014 and 1990-2014. The table showed the percentage that the 2015 VIX closes compared with the past 5 years and 25 years.
Finally, we visualized the largest drawdowns per year going back to 1950. We saw that 2015 has currently had the smallest annual drawdown since 1995 (measured from year’s high to subsequent year’s low).
Watch this segment of “Market Measures” with Tom Sosnoff and Tony Battista to learn the takeaways and to find out how putting the 2015 market action in context can help your trading.
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