Odd Stat Of The Day - 3/8/19

Well, holy crap.

We data pornographers spend a whole lifetime waiting for something this garbagey to fall in our laps.

This week, $SPX managed to be negative all 5 trading days. You’d think that would happen all the time, but it doesn’t. In fact, the last time there was a 5-day trading week where all 5 days were negative on $SPX was November 2016.

Let’s look back at every week like this one over the past 20 years (a period which includes three all-time-high peak-to-trough bear markets and five more corrections that were independent of those bears – so it’s not all just one giant bull run).

There’s a lot of good porn in here, so let’s unpack it piece by piece.

  1. Short term, this might be one of the most bullish things I’ve ever pulled out of my bum. The return the “next day” (usually a Monday) was positive 80% of the time and saw some amazing returns (5-of-10 were up more than +1.5%, with 3-of-10 over +3.3%).

  2. Which is nothing compared to the returns for the entire week following an event like this. The MEDIAN 1-week return following such an event was +4.1%, but with one major outlier of -7.2% in 2011. So be careful dumping all your money into Calls.

  3. 1 year returns are interesting as well, because we either saw a market skyrocket well into double digit returns OR we saw a terrifying bear market (the tech bust, the global financial meltdown, and the downturn of 2011 all started within a year of such an event).

  4. As always, this is the past (not the future), but an event like the one we just witnessed has been freakishly bullish for the next week-to-a-month while possibly setting up a massive tumble on markets within a year.

Stay frosty and protect yourselves at all times.