CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage. 74% of retail investor accounts lose money when trading CFDs with this provider. You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money.
Open Account
☰
CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage. 74% of retail investor accounts lose money when trading CFDs with this provider. You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money.
Open Account
✖

S&P 500 Analysis: Is the Rare Streak of Low SPX Volatility Ending?

Article By: ,  Head of Market Research
July 11, 2024 8:45 PM

If the US stock market has seemed quiet (“…a little too quiet”) of late to you, that’s because it has been.

No matter how you measure it, volatility in the S&P 500 has been near historically low levels:

  • The VIX is sporting a 12 handle, near the lowest levels that we’ve seen since early 2018
  • 30-day realized volatility (RVOL) in the index fell below 6 yesterday, its lowest reading since 2019
  • It’s been 6 weeks since the S&P 500 fell by more than -0.41% (prior to today)

The last bullet may seem somewhat arbitrary – and it absolutely is – but that is the statistic that stands out the most to me. Historically, the index has fallen by -0.41% or more roughly 26% of all days, so a 30-day streak without even that minor of a daily dip is notable indeed.

In fact, since the mid-1960s – over nearly 60 years! – we’ve only seen three such unique 30-day streaks without a -0.41% down day!

Source: StoneX

As the chart above shows, the two most recent streaks were in late-2017 and late-2019 and preceded notable drops in the index by a few months, but the 1993 occurrence took place in the early stages of the 1990s bull market, so it’s difficult to glean a strong market signal from the small sample of past placid periods.

In the coming days, I’ll aim to analyze (the end of?) this streak of low volatility from several different perspectives and explore what that may mean for future returns, but for now, the takeaway is that US stocks have been historically quiet, and given that volatility has a tendency to be cyclical, we could see an outbreak of larger moves in the near future.

S&P 500 Technical Analysis – SPX Daily Chart

Source: TradingView, StoneX

Of course, just as we explain how quiet the market has been, this morning’s cooler-than-expected CPI report has sparked a big selloff in the large-cap stocks that make up the S&P 500. The index is trading down -0.75% as we go to press, threatening to end the streak, though from a purely technical perspective, the S&P 500 uptrend remains intact. If we do see follow-through to the downside, the key level of support to watch will be 5,500, where the bullish trend line off the April lows, 21-day EMA, and previous-resistance-turned-support converge. Only a break below that level would shift the near-term bullish bias to neutral.

-- Written by Matt Weller, Global Head of Research

Check out Matt’s Daily Market Update videos on YouTube and be sure to follow Matt on Twitter: @MWellerFX

StoneX Financial Ltd (trading as "FOREX.com") is an execution-only service provider. This material, whether or not it states any opinions, is for general information purposes only and it does not take into account your personal circumstances or objectives. This material has been prepared using the thoughts and opinions of the author and these may change. However, FOREX.com does not plan to provide further updates to any material once published and it is not under any obligation to keep this material up to date.


This material is short term in nature and may only relate to facts and circumstances existing at a specific time or day. Nothing in this material is (or should be considered to be) financial, investment, legal, tax or other advice and no reliance should be placed on it. No opinion given in this material constitutes a recommendation by FOREX.com or the author that any particular investment, security, transaction or investment strategy is suitable for any specific person.


The material has not been prepared in accordance with legal requirements designed to promote the independence of investment research. Although FOREX.com is not specifically prevented from dealing before providing this material, FOREX.com does not seek to take advantage of the material prior to its dissemination. This material is not intended for distribution to, or use by, any person in any country or jurisdiction where such distribution or use would be contrary to local law or regulation. For further details see our full non-independent research disclaimer and quarterly summary.


CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage. 74% of retail investor accounts lose money when trading CFDs with this provider. You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money. CFD and Forex Trading are leveraged products and your capital is at risk. They may not be suitable for everyone. Please ensure you fully understand the risks involved by reading our full risk warning.

FOREX.com is a trading name of StoneX Financial Ltd. StoneX Financial Ltd is a company incorporated in England and Wales with UK Companies House number 05616586 and with its registered office at 1st Floor, Moor House, 120 London Wall, London, EC2Y 5ET. StoneX Financial Ltd is authorised and regulated by the Financial Conduct Authority in the UK, with FCA Register Number: 446717.

FOREX.com is a trademark of StoneX Financial Ltd. This website uses cookies to provide you with the very best experience and to know you better. By visiting our website with your browser set to allow cookies, you consent to our use of cookies as described in our Privacy Policy. FOREX.com products and services are not intended for Belgium residents.

© FOREX.COM 2024