The Weekly

Friday was interesting – it was the first big down day in a while. The S&P 500 lost 1.67%. As the press reported, the last bigger drop in the S&P 500 was on June 21. The S&P 500 shed 2.23% on that day, but this was long time ago.

Since I am using both long and shorts (a big positive day could be as damaging as a big negative one) on the S&P 500, there is another piece of information which I am more interested: how far ago was the last bigger daily (positive or negative) return. The last bigger absolute daily return was on Sep 6, when the S&P 500 advanced 2.04%. This was also quite some time ago.

At the end, a single daily spike is nothing more but a good news material. What matters in practice is volatility and it’s yet to be seen whether it will pick up or not.

Back to trading. On the close of Friday, I switched from long to short on the S&P 500. This long was established on Oct 11 and was worth … 0%. In other words, all the gains evaporated during the Friday’s massacre. Nothing to worry though, we have seen worse, much worse. 🙂

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