Yesterday, depending upon your favorite index, the market was down slightly under or slightly over 3%.  It seems we’ve had a lot of these up and down moves equaling two or three percent this year. However if we look a history maybe we can put things in perspective.  Going back to 1923 I screened the Dow Jones Average for days that were minus 2.5% or greater.  Here’s a scatter plot of those days, note the years or decades of the highest concentrations.

But what if we look at 2.5% moves or greater in either direction?  While we obviously add more data points does the distribution of those data points change?

Interestingly the concentrations, the time periods, remain roughly the same.  In other words, when we have downside volatility we also have upside volatility.

Enjoy Your Weekend!

This morning of course was the important employment situation report: Non-farm payrolls were -84K vs. a consensus of: -75K, Unemployment rate 6.1% vs. a consensus of: 5.8%, Average workweek 33.7 hours vs. a consensus of: 33.7 hours, and finally Average hourly earnings +0.4% vs. a consensus of: +0.3%.

Just prior to the close at 3:55 PM ET: San Francisco Fed President Janet Yellen will speak about the U.S. economic outlook, in Los Angeles, California.

With declines in Europe and Asia the MSCI World Index has had its worst week since 2002, today: Nikkei 225 -2.75%, Hang Seng  -2.24%, Shanghai Composite -3.29%, DAX -1.38%, and the FTSE -0.94%.

Shortly after the employment report the futures were indicating: Dow -105, S&P -12.5, Naz -21.5, Oil -$1.39, and Gold +$2.40.

Have A Great Day!

Much is being said about the unwinding of the long commodities/short financials spreads that have been a favorite of many hedge funds and other institutions.  Today let’s look at the Morningstar Sector, Banking with two composite charts.

The three red lines on the right hand chart is a regression channel drawn from October high.  The red line in the A/D box is a trend line from the early 2007 peak in the advance/decline line.  There is still away to go for the A/D to take out that trend line.  The advancing-declining volume (Box 2) is dollar weighted and is attempting to turn upwards.  While many look at the July lows volume as capitulatory and it may well have been the volume on the rally has been poor.  Have all the shorts covered? Or is there fresh new buying?

The Morningstar Banking Sector is broken down further into 9 Banking Industry Groups: Money Center Banks, Regional-Northeast Banks, Regional-Mid Atlantic Banks, Regional-Southeast Banks, Regional-Midwest Banks, Regional-Southwest Banks, Regional-Pacific Banks, Foreign Regional Banks, and Savings & Loans.  Members may sign-in and view the charts and composite data for those 9 groups to determine where the best and worst performing of this sector lie.