Monday, September 24, 2012

S&P 500 1% Declines

It's been almost two months since the S&P 500 had a daily decline of 1% or more.  That nearly matches the streak put together at the beginning of 2012 when we went all of January and February without a daily decline that large.  In fact, it wasn't until March 7 that the market closed down by 1% in a single trading day.

Around that time I posted a chart of the frequency of 1% declines for the S&P 500.  On average, the S&P drops by this much or more 26 times per year, and in 2011 it happened 48 times.  Below is an updated chart of the number of 1% declines in 2012 compared to 2011.

This year started slowly for volatility but picked up by mid July.  Since then though volatility has collapsed and we have had half as many large declines in 2012 as we had at this point in 2011.  The last time we had a year this mild was in 2006.

Days with large declines on S&P 500

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