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Jonathan Poyer

There Is Still No Market Volatility! One 2% Up Day and Zero -2% Down Days in Almost a Year


After a double-digit rally in the first quarter to start the year, equities were due for a bit of a breather, and did so to start the second quarter, with the S&P dropping -4%.


But once investors caught their collective breath, it was right back to the punch bowl, with new all-time highs for the Nasdaq and the S&P 500 achieved in May and again in June.


The brief down moves in April sent volatility prices higher, with the VIX moving just over 19. But that was little more than a blip on the radar, with the market’s rise quickly evaporating any investor worries, sending the VIX down to new 2024 lows of 11.86 in just over 20 trading days.



Zooming out a bit, this has been an extremely quiet period for volatility markets, with just a single up day of more than 2% in 2024 per the following graphic from Adapt Investment Managers and zero down days of more than -2% in over 340 days per Convexitas LLC.



That main thing happening in the option/volatility space is a lot of single name volatility and next to no index volatility. This is hard to comprehend considering the index is made of single names. The dearth of index volatility has helped short option positions and allowed for greater capture of index upside.


 It’s hard to look at the chart included above and not wonder when this latest party will end. There have been longer periods of calm in the past, but as can be seen, the bill eventually comes due in the form of a large number of days with greater than 2% moves.


String a few of those together in a month and you’re on your way to a correction. String a few of those months together and you’re on your way to a bear market.


 The trick to this game, of course, is that while we all know the party will eventually end, none of us know when it will end.

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