The August Doldrums

It’s been a strange couple of weeks. It has reminded us of one of those scenes in a horror movie when it gets just a little too quiet… Major markets are trading in a narrow range, volume is down all over the place, Twitter’s all abuzz about the VIX falling below 15… just what is going on?

It’s been so boring, we’ve even seen Business Insider declare that ”nothing happened” several days in a row like they’re stuck on repeat (and those people will try to make anything seem like big news). Last week we took a look at flagging volume in the cash S&P 500 over the past year, but we’re seeing the same sort of activity (or rather, lack of activity) in the S&P futures market too.

For example, we took a look at the volume of the front month S&P 500 E-mini futures contract (which is generally one of the highest-volume contracts out there). The average volume over the last 7 trading days was less than 1.275 million. That’s the lowest we’ve seen since the December/January holiday season, and less than a third of the average volume for the same period last year (4.678 million).

 

But even that doesn’t tell the whole story – we charted the daily volumes, and included lines to show the average for the year (1.862 million, in green) and the average for the last 7 days (1.275 million, in red).

Only a handful of days this year have had lower volume than what we’ve seen consistently since August 6 – and two of those big dips were because of holidays (April 6th – Good Friday, and July 3rd – Independence Day). Without a crystal ball, we can’t tell if this is a windup for something bigger, or just the sputtering of a market that doesn’t have anything up its sleeve. Or the result of futures industry fear following MF Global and PFG. Either way, it doesn’t look like too many traders are jumping in just yet, so the August Doldrums might be sticking around for a while.










Speak Your Mind

*

Interested in distributing or reprinting this content? Check out our reprint policy here.

DISCLAIMER

Forex trading, commodity trading, managed futures, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors.

The entries on this blog are intended to further subscribers understanding, education, and – at times- enjoyment of the world of alternative investments through managed futures, trading systems, and managed forex, and is not intended as investment advice, or an offer or solicitation for the purchase or sale of any financial instrument. Unless distinctly noted otherwise, the data and graphs included herein are intended to be mere examples and exhibits of the topic discussed, are for educational and illustrative purposes only, and do not represent trading in actual accounts. Opinions expressed are that of the author.

*The mention of specific asset class performance (i.e. +3.2%, -4.6%) is based on the noted source index (i.e. Newedge CTA Index, S&P 500 Index, etc.), and investors should take care to understand that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship and self reporting biases, and instant history.

The mention of general asset class performance (i.e. managed futures did well, stocks were down, bonds were up) is based on Attain’s direct experience in those asset classes, estimates of performance of dozens of CTAs followed by Attain, and averaging of various indices designed to track said asset classes.

It should be noted that past market performance is not indicative of future market movement.No market data or other information is warranted by Attain Capital Management as to completeness or accuracy, express or implied, and is subject to change without notice.

Managed Futures Disclaimer:

Past Performance is Not Necessarily Indicative of Future Results. The regulations of the CFTC require that prospective clients of a managed futures program (CTA) receive a disclosure document when they are solicited to enter into an agreement whereby the CTA will direct or guide the client’s commodity interest trading and that certain risk factors be highlighted. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA.