Can the S&P 500 Index (SPX) Snap Its Longest Losing Streak Since 2012?

The SPDR S&P 500 ETF (SPY) is just off its biggest swing since the financial crisis

Aug 26, 2015 at 11:38 AM
facebook twitter linkedin

The past week has been, well, crazy, for lack of a more intellectual term. The major market indexes have swung wildly in intraday action -- echoing a recently sounded volatility alarm -- and are on pace for their worst month in years. Against this backdrop -- and with another major pop higher this morning -- we're adding more interesting stats to the running list.

It looked like things were about to take a turn for the better yesterday morning, but the roller coaster ride continued, with stocks succumbing to a major afternoon sell-off. In fact, the SPDR S&P 500 ETF Trust (SPY) gapped higher by more than 3%, only to close 1.2% lower. 

The only other one-day turnaround that large (going back to the SPY's inception in 1993) was on Oct. 14, 2008 -- in the midst of the financial crisis -- per Schaeffer's Senior Quantitative Analyst Rocky White. Following that intraday about-face, the SPY surrendered another 9.9% the next day, and wound up dropping 14.1% over the subsequent month. This morning, the SPY jumped 2.6% higher out of the gate, and was last seen in the $189.80 ballpark.


Meanwhile, yesterday's eleventh-hour plunge extended the S&P 500 Index (SPX) losing streak to six sessions -- its longest since July 2012. Following that run lower, which concluded with a much milder loss of 2.9%, the SPX rebounded 1.7% the next day, and was up 3.1% the next week. Going out three months, the broad-market barometer was 7.3% higher.

The last time the S&P lost seven straight was in November 2011, culminating in a 7.6% drop. The index rebounded with a vengeance over the subsequent three months, adding 17.7%. Since 1990, the longest streak has been eight days, which last happened during the financial crisis in 2008. That drop translated into a loss of 15.6% for the SPX -- the last time the index gave up this much, this fast.


Breaking down the six-day losing streaks since 1990 -- there have been 19 -- the SPX has been positive the next day 73.7% of the time, averaging a return of 0.3%. Going out three months, the index has been positive 63.2% after a six-day losing streak, averaging a gain of 3.2%. For comparison, the SPX's anytime three-month return is a milder 2.1%, with the index positive 68.2% of the time.


The SPX is up 1.9% this morning. Is this the day we bounce? As we learned yesterday, anything can happen in this volatile environment.

If you are not making money with options, you aren’t buying options like this…

There is no options strategy that more perfectly approaches trading the fastest moving and most volatile stocks available in the marketplace than this one. In fact, there is no strategy that better utilizes put options for optimal returns and a real trading edge over other traders in the exact same market. New options traders fail out at an incredible rate without proper trade research, execution timing, and option picking. Capitalize on Schaeffer’s 100+ years of options trading excellence with the most coveted product launch in company history. Don't waste another second... join us right now before the next round of trades are released!



Special Offers from Schaeffer's Trading Partners