{"id":4778,"date":"2016-08-09T09:16:40","date_gmt":"2016-08-09T13:16:40","guid":{"rendered":"http:\/\/www.thet3trader.com\/?p=4778"},"modified":"2016-08-09T09:16:40","modified_gmt":"2016-08-09T13:16:40","slug":"21-days-of-nothing-fun-market-stats-to-chew-on","status":"publish","type":"post","link":"https:\/\/blog.t3live.com\/2016\/08\/09\/21-days-of-nothing-fun-market-stats-to-chew-on\/","title":{"rendered":"21 Days of Nothing: Fun Market Stats to Chew On"},"content":{"rendered":"

We really are getting a big-time summer slowdown.<\/p>\n

Some stats to chew on:<\/p>\n

-The SPX<\/strong> has now gone 21 trading days without a 1% move
\n-YTD before this 21 day span, SPX moved more than 1% on nearly 1 out of 3 trading days.
\n-During this 21 day span, SPX has moved an average of 0.3% per day
\n-YTD before this 21 day span, SPX moved an average of 0.7% each day<\/p>\n

The VIX <\/strong>is now at just 11.32, levels it hasn't seen since summer\u00a02014's extended downdraft, and August 2015's spike lows.<\/p>\n

However. the VIX is actually still trading at a premium to realized SPX volatility.<\/p>\n

The premium is currently 5.5 percentage points. According to Bloomberg data, this is higher than it's been 76% of the time over the past 5 years.<\/p>\n

Therefore, traders are to some extent already pricing in a modest volatility expansion.<\/p>\n

It does “feel” like the VIX should go up, but also keep in mind that it can stay stuck at very low levels for extended periods of time — and “should” is a dangerous word in these boring summer months.<\/p>\n

For reference, I am popping in a daily VIX chart from 2014 since so many folks are making the comparison:<\/p>\n

\"VIX2014\"<\/p>\n

As you can see, the VIX traded in the 11-14 range for 4 months from April to July, had a modest spike to 17ish in August, but didn't break 20 until October.<\/p>\n

UPDATE: Please read my latest views on the VIX here<\/a><\/strong><\/span>.<\/p>\n","protected":false},"excerpt":{"rendered":"

We really are getting a big-time summer slowdown. Some stats to chew on: -The SPX has now gone 21 trading days without a 1% move -YTD before this 21 day span, SPX moved more than 1% on nearly 1 out of 3 trading days. -During this 21 day span, SPX has moved an average of 0.3% per day -YTD before this 21 day span, SPX moved an average of 0.7% each day The VIX is now at just 11.32, levels it hasn’t seen since summer\u00a02014’s extended downdraft, and August 2015’s spike lows. However. the VIX is actually still trading at a premium to realized SPX volatility. The premium is currently 5.5 percentage points. According to Bloomberg data, this is higher than it’s been 76% of the time over the past 5 years. Therefore, traders are to some extent already pricing in a modest volatility expansion. It does “feel” like the VIX should go up, but also keep in mind that it can stay stuck at very low levels for extended periods of time — and “should” is a dangerous word in these boring summer months. For reference, I am popping in a daily VIX chart from 2014 since so many folks are making the comparison: As you can see, the VIX traded in the 11-14 range for 4 months from April to July, had a modest spike to 17ish in August, but didn’t break 20 until October. UPDATE: Please read my latest views on the VIX here.<\/p>\n","protected":false},"author":6,"featured_media":4780,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[2,1],"tags":[7,8,9,10],"class_list":["post-4778","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-articles","category-uncategorized","tag-stock-market","tag-stocks","tag-vix","tag-volatility"],"_links":{"self":[{"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/posts\/4778","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/users\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/comments?post=4778"}],"version-history":[{"count":0,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/posts\/4778\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/media\/4780"}],"wp:attachment":[{"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/media?parent=4778"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/categories?post=4778"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blog.t3live.com\/wp-json\/wp\/v2\/tags?post=4778"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}