High Volatility, but not Peak Volatility

The graph above is the S&P 500 on the right axis with a logarithmic scale, and 4-, 6- and 20-day average absolute percentage price change on the the left axis, linear scale.? As you can see, high price volatility is associated with bear market bottoms.

In terms of 4- and 6-day volatility, this market ranks third in the last 61 years, behind 1987 and 2008.? Wait another three weeks for the 20-day volatility, it could be competitive with 2008 and 1987.? 1987 was sharper and shorter than 2008 because there weren’t any systemic risk issues involved, as there are in 2008 and 2011.

Isn’t it fascinating that the volatility level is so high now — what makes this period of time so special compared to the overvaluations of 1987 or the overleverage of 2008?? I think it is overleverage again, though valuations are somewhat high.

11 thoughts on “High Volatility, but not Peak Volatility

  1. with market down, David are your cash position is lower then last month? thank you for your update

  2. A nonlinear transformation for equities is now occurring.

    The CAC for instance has lost all gains in the last two years in a three week time span…

    There is a precise pathway for the devolution…..

    Saturation Macroeconomics:

    There exists a global disparity in debt, ownership of debt, global real estate asset supply, real estate over valuation, western debt dependent consumption and eastern savings,massive trade imbalances dependent on eastern and western huge huge wage differentials, and 50 years of unsustainable corporate and taxpayer entitlements legislated by reelected politicians.

    Is there a macroeconomic saturation point in saturation of supply and saturation of debt disparities that produces nonlinear transition periods?

    In other words was the recent political intransigence and US debt downgrade merely an epiphoenomena of the global macroeconomic system’s unbalanced and saturated conditions?

    Is the equity market following a nonlinear daily trading valuation pattern that confers on the system an equivalency of the laws of physics and the self assembly laws of chemistry and biology?

    Wouldn’t it be marvelous even in the system’s collapse to determine that macroeconomic system had the characteristics and properties of a true science?

    The financial asset class with the greatest market value and greatest global participation is the US debt instrument.

    Observe the weekly composite equity and debt charts.
    Equities are in the midst of a nonlinear collapse. US debt instruments
    are the recipients of that nonlinear collapse and are in nonlinear growth
    going to 150 year low interest rates.

    For fifty years western debt expansion has been offset by
    asset and wage inflation allowing further debt expansion. While there
    are natural saturation limits to this process, the world macroeconomy
    with the new Asian labor force participation has reached a
    supersaturation point of debt and wage dysequilibrium.

    50 years of entitlement promises ? most disproportionally benefiting the financial and corporate industries who now go into the asset collapse laden with cash ? have reelected Pavlovian politicians.

    There is now a defacto consensus among US
    (and eurobond) debt holders that austerity is needed to maintain the
    quality of US debt. Qualitatively further debt expansion which drives
    the real global economy is dead.

    The deceleration in global GDP will be nonlinear. France?s quarterly GDP is one of the canaries in the coal mine.

    Equities are undergoing exquisitely predictable Lammert quantitative
    fractal collapse.

    The daily fractal pattern for the first segment of the equity
    collapse is 3/8/4 of 6-8/5 days.

    1. I looked at your blog, which put out a few posts, then stopped. I know what a fractal is, but I can’t interpret your last sentence. Translation?

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