2% Moves Are Back

Sep 6, 2023

As we noted in a tweet this morning, price action of US equities has been flipped from Tuesday with large caps suffering larger losses than small caps. Looking at yesterday, the decline in the Russell 2,000 (-2.1%) dwarfed the S&P 500’s (-0.4%).  For the small cap Russell 2,000, that marked the first daily move of at least 2% (positive or negative) since June 5th when the index rallied 2.4%.  As shown below, that three month stretch without a daily move of 2% is far from the longest on record, but it does stand out as one of the largest in some time. Running for 61 trading days, it was the longest since the 133 day streak ending on 10/9/18.

As previously mentioned, today’s price action is a bit of the reverse of Tuesday, however, the S&P 500 is far from a 2% drop of its own.  In fact, the S&P 500 has been on an even longer streak without a 2% daily move.  At 136 trading  days, the current streak ranks as the longest since February 2018 (310 days). As with the Russell, the current streak would have a long way to go to reach records that lasted for years like from 2003 to 2006. Regardless, the fact of the matter is that day to day volatility by this measure has been extremely muted of late.