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Will the Zero-Volatility Trend in the S&P 500 Continue in June?
The SPY ETF hasn't moved more than 1% in the past 31 days.
Phil Erlanger    

This article was originally posted on the Buzz & Banter where subscribers can follow over 30 professional traders as they share their ideas in real time. Want access to the Buzz plus unlimited market commentary? Click here to learn more about MVPRO+.

A bit more than a week ago, Minyanville's Michael Sedacca and I were instant messaging about a tweet I put up on the lack of a +/-1% in SPDR S&P 500 ETF TRUST (NYSEARCA:SPY).


Click to enlarge


Michael asked me to offer up some more comments on this concept. Now the SPY has gone 35 trading days without a down -1% move. The +1% or more move is now at 31 trading days. No wonder the VIX (INDEXCBOE:VIX) has fallen to new lows since SPY has been in this drought. Even Goldman Sachs President Gary Cohn last week weighed in on the lack of volume.


Click to enlarge


So June begins with the above streak and a low VIX. Is something about to change? There is probably a good chance. Why? First, the seasonality of June is not a positive one for stocks. The chart is optimized and June has been a weak one since 2009.The correlation on this is high at 0.77 with this year's correlation is high as well at 0.54; 1 is a perfect correlation, 0 is no correlation and -1 is an inverse correlation.


Click to enlarge


In June of 2013 there were 10 trading days that saw SPY more down and five of the days saw drops of -1% or more. June of 2012 saw SPY drop on eight trading days of which five were down -1% or more. So to expect the market to motor from here is rather foolish given the history presented in this article.

Since last Tuesday's gap open, the iShares Russell 2000 Index ETF (NYSEARCA:IWM) has closed below its open each day. If it does it again, that will be five days in a row. Currently, the IWM is higher than its open. This number is $111.64.

It is easier to be bullish than bearish, but the above data makes it hard to be excited about the month ahead -- especially if you have broad equity market as opposed to only large-cap exposure.
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No positions in stocks mentioned.

The information on this website solely reflects the analysis of or opinion about the performance of securities and financial markets by the writers whose articles appear on the site. The views expressed by the writers are not necessarily the views of Minyanville Media, Inc. or members of its management. Nothing contained on the website is intended to constitute a recommendation or advice addressed to an individual investor or category of investors to purchase, sell or hold any security, or to take any action with respect to the prospective movement of the securities markets or to solicit the purchase or sale of any security. Any investment decisions must be made by the reader either individually or in consultation with his or her investment professional. Minyanville writers and staff may trade or hold positions in securities that are discussed in articles appearing on the website. Writers of articles are required to disclose whether they have a position in any stock or fund discussed in an article, but are not permitted to disclose the size or direction of the position. Nothing on this website is intended to solicit business of any kind for a writer's business or fund. Minyanville management and staff as well as contributing writers will not respond to emails or other communications requesting investment advice.

Copyright 2011 Minyanville Media, Inc. All Rights Reserved.

More From Phil Erlanger
Will the Zero-Volatility Trend in the S&P 500 Continue in June?
The SPY ETF hasn't moved more than 1% in the past 31 days.
Phil Erlanger    

This article was originally posted on the Buzz & Banter where subscribers can follow over 30 professional traders as they share their ideas in real time. Want access to the Buzz plus unlimited market commentary? Click here to learn more about MVPRO+.

A bit more than a week ago, Minyanville's Michael Sedacca and I were instant messaging about a tweet I put up on the lack of a +/-1% in SPDR S&P 500 ETF TRUST (NYSEARCA:SPY).


Click to enlarge


Michael asked me to offer up some more comments on this concept. Now the SPY has gone 35 trading days without a down -1% move. The +1% or more move is now at 31 trading days. No wonder the VIX (INDEXCBOE:VIX) has fallen to new lows since SPY has been in this drought. Even Goldman Sachs President Gary Cohn last week weighed in on the lack of volume.


Click to enlarge


So June begins with the above streak and a low VIX. Is something about to change? There is probably a good chance. Why? First, the seasonality of June is not a positive one for stocks. The chart is optimized and June has been a weak one since 2009.The correlation on this is high at 0.77 with this year's correlation is high as well at 0.54; 1 is a perfect correlation, 0 is no correlation and -1 is an inverse correlation.


Click to enlarge


In June of 2013 there were 10 trading days that saw SPY more down and five of the days saw drops of -1% or more. June of 2012 saw SPY drop on eight trading days of which five were down -1% or more. So to expect the market to motor from here is rather foolish given the history presented in this article.

Since last Tuesday's gap open, the iShares Russell 2000 Index ETF (NYSEARCA:IWM) has closed below its open each day. If it does it again, that will be five days in a row. Currently, the IWM is higher than its open. This number is $111.64.

It is easier to be bullish than bearish, but the above data makes it hard to be excited about the month ahead -- especially if you have broad equity market as opposed to only large-cap exposure.
< Previous
  • 1
Next >
No positions in stocks mentioned.

The information on this website solely reflects the analysis of or opinion about the performance of securities and financial markets by the writers whose articles appear on the site. The views expressed by the writers are not necessarily the views of Minyanville Media, Inc. or members of its management. Nothing contained on the website is intended to constitute a recommendation or advice addressed to an individual investor or category of investors to purchase, sell or hold any security, or to take any action with respect to the prospective movement of the securities markets or to solicit the purchase or sale of any security. Any investment decisions must be made by the reader either individually or in consultation with his or her investment professional. Minyanville writers and staff may trade or hold positions in securities that are discussed in articles appearing on the website. Writers of articles are required to disclose whether they have a position in any stock or fund discussed in an article, but are not permitted to disclose the size or direction of the position. Nothing on this website is intended to solicit business of any kind for a writer's business or fund. Minyanville management and staff as well as contributing writers will not respond to emails or other communications requesting investment advice.

Copyright 2011 Minyanville Media, Inc. All Rights Reserved.

More From Phil Erlanger
Daily Recap
Will the Zero-Volatility Trend in the S&P 500 Continue in June?
The SPY ETF hasn't moved more than 1% in the past 31 days.
Phil Erlanger    

This article was originally posted on the Buzz & Banter where subscribers can follow over 30 professional traders as they share their ideas in real time. Want access to the Buzz plus unlimited market commentary? Click here to learn more about MVPRO+.

A bit more than a week ago, Minyanville's Michael Sedacca and I were instant messaging about a tweet I put up on the lack of a +/-1% in SPDR S&P 500 ETF TRUST (NYSEARCA:SPY).


Click to enlarge


Michael asked me to offer up some more comments on this concept. Now the SPY has gone 35 trading days without a down -1% move. The +1% or more move is now at 31 trading days. No wonder the VIX (INDEXCBOE:VIX) has fallen to new lows since SPY has been in this drought. Even Goldman Sachs President Gary Cohn last week weighed in on the lack of volume.


Click to enlarge


So June begins with the above streak and a low VIX. Is something about to change? There is probably a good chance. Why? First, the seasonality of June is not a positive one for stocks. The chart is optimized and June has been a weak one since 2009.The correlation on this is high at 0.77 with this year's correlation is high as well at 0.54; 1 is a perfect correlation, 0 is no correlation and -1 is an inverse correlation.


Click to enlarge


In June of 2013 there were 10 trading days that saw SPY more down and five of the days saw drops of -1% or more. June of 2012 saw SPY drop on eight trading days of which five were down -1% or more. So to expect the market to motor from here is rather foolish given the history presented in this article.

Since last Tuesday's gap open, the iShares Russell 2000 Index ETF (NYSEARCA:IWM) has closed below its open each day. If it does it again, that will be five days in a row. Currently, the IWM is higher than its open. This number is $111.64.

It is easier to be bullish than bearish, but the above data makes it hard to be excited about the month ahead -- especially if you have broad equity market as opposed to only large-cap exposure.
< Previous
  • 1
Next >
No positions in stocks mentioned.

The information on this website solely reflects the analysis of or opinion about the performance of securities and financial markets by the writers whose articles appear on the site. The views expressed by the writers are not necessarily the views of Minyanville Media, Inc. or members of its management. Nothing contained on the website is intended to constitute a recommendation or advice addressed to an individual investor or category of investors to purchase, sell or hold any security, or to take any action with respect to the prospective movement of the securities markets or to solicit the purchase or sale of any security. Any investment decisions must be made by the reader either individually or in consultation with his or her investment professional. Minyanville writers and staff may trade or hold positions in securities that are discussed in articles appearing on the website. Writers of articles are required to disclose whether they have a position in any stock or fund discussed in an article, but are not permitted to disclose the size or direction of the position. Nothing on this website is intended to solicit business of any kind for a writer's business or fund. Minyanville management and staff as well as contributing writers will not respond to emails or other communications requesting investment advice.

Copyright 2011 Minyanville Media, Inc. All Rights Reserved.

More From Phil Erlanger
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