Wild Market Stats: 'Rule 48,' Treasury Yields, Losing Streaks, and Options Action

The market has been a little nuts over the past week, as evidenced by these stats

by Andrea Kramer

Published on Aug 24, 2015 at 3:21 PM

Unless you've been hiding under a rock, the market has been a little nuts over the past week. After wrapping up their worst week since 2011, the Dow Jones Industrial Average (DJIA) and its major index peers plummeted out of the gate, with the blue-chip barometer dropping more than 1,000 points (and hitting a new annual low) at its intraday bottom.  That said, here are some interesting market stats:

  • The Nasdaq Composite (COMP) initially fell below 4,300 for the first time since October. If the COMP surrenders triple-digits again today, it'll be a third straight session.
  • Most major indexes are in "correction" territory -- usually measured by 10% off a recent high.
  • After more than doubling last week -- the biggest weekly percentage gain of the modern era -- the CBOE Volatility Index (VIX) skyrocketed to territory not charted since early 2009, reflecting widespread fear. "Early action in SPX options, which are used to calculate VIX, was so chaotic that quotes were either zero or so wide that they were unusable in the calculation," reported Trade-Alert's Henry Schwartz.

  • The Options Clearing Corporation's (OCC) all-exchange, all-equity put/call volume ratio hit 1.44 on Friday, marking the largest daily reading ever (going back to 2009), per Schaeffer's Quantitative Analyst Chris Prybal (see chart below).

150824OCC

 


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