Putting yesterday's VIX intra-day high at 65 into historical perspective...
Source: Bloomberg, RBC
Buying the dip often pays off
Since 1980, an investor buying the sp500 index 5% below its recent high would have generated a median return of 6% over the subsequent 3 months, enjoying a positive return in 84% of episodes. Source: Goldman Sachs, Mike Z.
BREAKING: Small Caps $IWM post 3%+ declines for 3 consecutive trading days for the first time since October 1987
Source: Barchart
A historical market session summarized in one chart
Japan’s stock market posted its worst drop since Wall Street’s Black Monday in 1987, contributing to fears of global turmoil in the markets. Concerns about a slowing U.S. economy and the unwinding of the global yen "carrytrade" are battering stocks. Source: Genuine Impact
Historic day in volatility
The difference between the VIX's intra-day high (65) and close (38) was the highest EVER. Source: 3Fourteen Research thru Octavian Adrian Tanase
TS Lombard: "Our analysis of past volatility bouts shows that equities take 4-5 weeks, on average, before a sustained recovery begins.
Markets tend to rebound on oversold conditions such as the current ones, but investors often sell into that strength, which can lead to a relapse. This is what happened, for instance, in 2018, an episode that bears strong similarities to the current one." Source: TS Lombard, The Market Ear
The Nikkei's 12.4% decline today was the 2nd largest in its history, trailing only the 14.9% fall during the October 1987 crash.
What happened in the year after the 1987 crash? The Nikkei 225 rose 26.5%. Those who embraced panic were rewarded. Source: Charlie Bilello
JPY FX positioning is finally NET LONG (per GS).
The yen is now free to crash again... Source: www.zerohedge.com, Goldman Sachs
