Looking back as far as 1980 at SPX and related indicators...
1. CBOE Options Total Put/Call Ratio (EOD)
Today=1.69 (2nd highest ever)
Feb 2007=1.70 in fat-finger episode
The price drop in Feb 2007 (previous close to low of day was 60pts...much larger than today in %) and that day's drop was retraced 26 of 60pts (43%) by the following day. That would equate to 1999 today if 1971 is the low. The entire drop from the top was retraced 70%+ within 3 weeks although it took 6 weeks to fully close the fat finger gap. There were 2 more lower lows within 2 weeks with high p/c before the downtrend ended.
2. VIX 5-day Rate of Change
Today=118% (highest ever)
Aug 8th 2011=~105% during the only larger first-time drop below the 200SMA versus today
I covered this price drop earlier today. The 200SMA wasn't recovered for nearly 3 months and a 100% retracement of the top took much longer. However, that day was retraced 2/3rd after falling more than 1.5% the next day and swiftly recovering. And that day was fully retraced after 5 days although there was 1 scary slightly higher low 2 days after August 8th and again 9 days later and 1-2 months after that.
3. RSI (14)
Today=24.84 (happens in less than one downtrend per year)
The only downtrends with lower readings=once each in 2012,2011,2008,2002,2001,2000,1998,1996,1994,1990,1987.
The RSI lows in 2012, 2011 and 2008 led to lower price lows with positive RSI divergence within weeks. However, year 2002 recovered a little better and made a half-retest of the low 2 weeks later and a lower low 10 weeks later. Year 2001 kept falling 10% for 4 days after 9-11 and then never retested the lows recovering the 10% in just a few more days. Year 2000 only fell a few more pts, fully retraced the 3% down day in 1 day plus slightly further, then made a lower low in 4 days, then another recovery, a higher low in 10 days and finally a test of the 200SMA before stair-stepping to 5%,10%,15% and 20% lower lows every few months with big retracements in between. In year 1998, SPX dropped 1% lower, then retraced 80% of the down day in 2 days, filled the gap within 6 days sandwiched by 2 lower lows, then a rally to the 200SMA and finally slightly lower lows 5 weeks after the first followed by new highs. In year 1996, there was a 4% intraday recovery on the low RSI followed by 2 more rally days and then a retest of the low 6 days after the first low.
4. BOW day
Today=$1146 (happens around once per year)
I'm not going to take the time to research past values but I've watched this for years and I only remember a few readings above $1000. Once again, like the RSI value, today's BOW reading is likely a once-per-year or less event that won't prevent lower lows but should hold things up choppily for the next few weeks.
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The only reading that kept falling more than another 1-2% for a day was immediately after the 9-11 incident in 2001, so I consider that an anomaly. The only reading that didn't really lead to a retest of the low after a rally was also year 2001, but that likely occurred because the market had already flushed 10% below the initial low reading in the terror panic. The only other example back to 1996 that did not make a lower low was 1996 but that one had a 4% intraday recovery not closing anywhere near the lows which is vastly different than the others.
What do these stats say about next week, next month, next quarter? Odds slightly favor a smaller 0-2% drop on Monday followed by 1+ week retracing 70-120% of the down day (2015-2050) sandwiched by retests of the low with a likely lower low or two within 2-4 weeks and often again within 2-4 months with a potential retest of the 200SMA in between. Basically, the next few weeks should be very volatile with 1920 and 2040 likely framing the action followed by a potential retest of 2060-2080 in Oct/Nov before the market decides to either attack the 1820 pivot OR stretch out the top a few more months like the 2007 fat finger incident. Of course, a moment like the 20%+ drop on Monday October 19th 1987 is possible this coming Monday but price action today seems to match that 1987 Monday best meaning the worst is probably over, so assuming you see something less than a 3% gap down on Monday morning, I think all the previous examples are a better fit and even Oct 20+ 1987 (the days after the 20% Monday gap down) behaved just like the examples above. Good fortune.
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