If you are a long-time reader of our site, you are probably familiar with the term all or nothing day. For those that aren’t, we define an all or nothing day as one where the net number of advancing issues in the S&P 500 for a given day is either above +400 or below -400. Throughout most of the year, all or nothing days in the S&P 500 were few and far between. For example, in the 159 trading days from the start of the year through 8/19, there were a total of 13 all or nothing days in the S&P 500. Since then, there have been 11 in the span of just 15 trading days!
While it is common to see an uptick in the number of all or nothing days in the S&P 500 as volatility picks up, the frequency of all or nothing days in the S&P 500 over the last 15 trading days is unheard of. Using our breadth data going back to 1990, we have never seen a 15-trading day period where the S&P 500 saw as many or more all or nothing days than it has in the current period. The prior record was back during the financial crisis when we saw ten over a 15-trading period in late 2008. Looking at the chart below, one could even make the case that the current frequency of all or nothing days in the last three weeks is a record for the entire history of the S&P 500. As shown, all or nothing days were few and far between from 1990 through 2000. The reason for this is that the uptick in frequency of all or nothing days has coincided pretty closely with the increased popularity of ETFs, as buying or selling in securities like SPY causes buying or selling pressure in each of the securities compromising the S&P 500. While ETFs have been beneficial for investors looking for a low cost way of gaining exposure to the broad market, one of the unintended consequences has been that the daily correlation of individual stocks has increased.