All or Nothing Days Revisited

If the declines in the VIX have you thinking that volatility in equities is beginning to abate, think again.  Earlier in the month, we highlighted how the frequency of all or nothing days in the market was at the highest levels since S&P reclassified its grouping system in 2001.  By all or nothing, we mean days where each of the 24 industry groups in the index were either all up or all down.  In the chart below, we revisit the frequency of all or nothing days using the 25-day rolling total. Over the last twenty-five trading days, there have been 12 days where either all the groups were up or all the groups were down.  Keep your seat belts on.