Today the S&P 500 turned in quite a dramatic performance. The index opened lower and plunged to its -3.04% intraday low in the early afternoon. That's the deepest intraday low since the -3.86% nosedive in November 2011. A buy-the-dip strategy subsequently kicked in, and the index closed the day with a greatly trimmed -0.81% decline.
Before the opening bell, futures had tanked with the 8:30 release of much weaker than expected Retail Sales report for September. A 21-point drop in the Empire State Manufacturing Survey didn't help.
The bond market also saw some drama. The yield on the 10-year Note closed at 2.15%, down 6 bps from yesterday. However, the intraday volatility was stunning. The TNX 10-year yield index hit a morning low of 1.87%.
Here is a 15-minute chart of the past five sessions.
Volume on today's roller coaster ride was massive -- 109% above its 50-day moving average.
A Perspective on Drawdowns
Today's intraday low in the S&P 500 was 9.48% off its record close last month. The drawdown at the close was 7.40% below the record close. We are close to the general definition of a correction, a 10% drawdown. The chart below incorporates a percent-off-high calculation to illustrate the drawdowns greater than 5% since the trough in 2009.
For a longer-term perspective, here is a pair of charts based on daily closes starting with the all-time high prior to the Great Recession.
