Each line starts at 100 on the September expiration close and ends on election day. The hollow marker is the lowest close inside the window, the solid marker is election day.
SPX cash closes, indexed to 100 at the September expiration close; the x-axis counts sessions so the three windows line up.
The index fell -7.4% into the Oct 15 low on the growth scare and Ebola headlines, then climbed +8.0% to close election day +0.1% from where it started.
The window opened at the cycle high and gave back -9.8% by Oct 29, the rates-driven October selloff. Election day closed -5.9% from the September expiration, the weakest of the three.
The Oct 12 low sat -7.6% below the September expiration close, the bottom of the 2022 bear market. The rally into the vote recovered most of it, and election day closed -1.2%.
Across the three cycles the window carried a drawdown of at least 7% from the expiration close and, in each case, a recovery of 4% or more from the low into election day. The election-day close itself landed between -5.9% and +0.1%.
| Session | 2014 date | Close | Index | vs Sep exp | 2018 date | Close | Index | vs Sep exp | 2022 date | Close | Index | vs Sep exp |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | Sep 19 | 2,010.40 | 100.00 | 0.00% | Sep 21 | 2,929.67 | 100.00 | 0.00% | Sep 16 | 3,873.33 | 100.00 | 0.00% |
| 1 | Sep 22 | 1,994.29 | 99.20 | -0.80% | Sep 24 | 2,919.37 | 99.65 | -0.35% | Sep 19 | 3,899.89 | 100.69 | +0.69% |
| 2 | Sep 23 | 1,982.77 | 98.63 | -1.37% | Sep 25 | 2,915.56 | 99.52 | -0.48% | Sep 20 | 3,855.93 | 99.55 | -0.45% |
| 3 | Sep 24 | 1,998.30 | 99.40 | -0.60% | Sep 26 | 2,905.97 | 99.19 | -0.81% | Sep 21 | 3,789.93 | 97.85 | -2.15% |
| 4 | Sep 25 | 1,965.99 | 97.79 | -2.21% | Sep 27 | 2,914.00 | 99.47 | -0.53% | Sep 22 | 3,757.99 | 97.02 | -2.98% |
| 5 | Sep 26 | 1,982.85 | 98.63 | -1.37% | Sep 28 | 2,913.98 | 99.46 | -0.54% | Sep 23 | 3,693.23 | 95.35 | -4.65% |
| 6 | Sep 29 | 1,977.80 | 98.38 | -1.62% | Oct 1 | 2,924.59 | 99.83 | -0.17% | Sep 26 | 3,655.04 | 94.36 | -5.64% |
| 7 | Sep 30 | 1,972.29 | 98.10 | -1.90% | Oct 2 | 2,923.43 | 99.79 | -0.21% | Sep 27 | 3,647.29 | 94.16 | -5.84% |
| 8 | Oct 1 | 1,946.16 | 96.80 | -3.20% | Oct 3 | 2,925.51 | 99.86 | -0.14% | Sep 28 | 3,719.04 | 96.02 | -3.98% |
| 9 | Oct 2 | 1,946.17 | 96.81 | -3.19% | Oct 4 | 2,901.61 | 99.04 | -0.96% | Sep 29 | 3,640.47 | 93.99 | -6.01% |
| 10 | Oct 3 | 1,967.90 | 97.89 | -2.11% | Oct 5 | 2,885.57 | 98.49 | -1.51% | Sep 30 | 3,585.62 | 92.57 | -7.43% |
| 11 | Oct 6 | 1,964.82 | 97.73 | -2.27% | Oct 8 | 2,884.43 | 98.46 | -1.54% | Oct 3 | 3,678.43 | 94.97 | -5.03% |
| 12 | Oct 7 | 1,935.10 | 96.25 | -3.75% | Oct 9 | 2,880.34 | 98.32 | -1.68% | Oct 4 | 3,790.93 | 97.87 | -2.13% |
| 13 | Oct 8 | 1,968.89 | 97.94 | -2.06% | Oct 10 | 2,785.68 | 95.09 | -4.91% | Oct 5 | 3,783.28 | 97.68 | -2.32% |
| 14 | Oct 9 | 1,928.21 | 95.91 | -4.09% | Oct 11 | 2,728.37 | 93.13 | -6.87% | Oct 6 | 3,744.52 | 96.67 | -3.33% |
| 15 | Oct 10 | 1,906.13 | 94.81 | -5.19% | Oct 12 | 2,767.13 | 94.45 | -5.55% | Oct 7 | 3,639.66 | 93.97 | -6.03% |
| 16 | Oct 13 | 1,874.74 | 93.25 | -6.75% | Oct 15 | 2,750.79 | 93.89 | -6.11% | Oct 10 | 3,612.39 | 93.26 | -6.74% |
| 17 | Oct 14 | 1,877.70 | 93.40 | -6.60% | Oct 16 | 2,809.92 | 95.91 | -4.09% | Oct 11 | 3,588.84 | 92.66 | -7.34% |
| 18 | Oct 15 | 1,862.49 | 92.64 | -7.36% | Oct 17 | 2,809.21 | 95.89 | -4.11% | Oct 12 | 3,577.03 | 92.35 | -7.65% |
| 19 | Oct 16 | 1,862.76 | 92.66 | -7.34% | Oct 18 | 2,768.78 | 94.51 | -5.49% | Oct 13 | 3,669.91 | 94.75 | -5.25% |
| 20 | Oct 17 | 1,886.76 | 93.85 | -6.15% | Oct 19 | 2,767.78 | 94.47 | -5.53% | Oct 14 | 3,583.07 | 92.51 | -7.49% |
| 21 | Oct 20 | 1,904.01 | 94.71 | -5.29% | Oct 22 | 2,755.88 | 94.07 | -5.93% | Oct 17 | 3,677.95 | 94.96 | -5.04% |
| 22 | Oct 21 | 1,941.28 | 96.56 | -3.44% | Oct 23 | 2,740.69 | 93.55 | -6.45% | Oct 18 | 3,719.98 | 96.04 | -3.96% |
| 23 | Oct 22 | 1,927.11 | 95.86 | -4.14% | Oct 24 | 2,656.10 | 90.66 | -9.34% | Oct 19 | 3,695.16 | 95.40 | -4.60% |
| 24 | Oct 23 | 1,950.82 | 97.04 | -2.96% | Oct 25 | 2,705.57 | 92.35 | -7.65% | Oct 20 | 3,665.78 | 94.64 | -5.36% |
| 25 | Oct 24 | 1,964.58 | 97.72 | -2.28% | Oct 26 | 2,658.69 | 90.75 | -9.25% | Oct 21 | 3,752.75 | 96.89 | -3.11% |
| 26 | Oct 27 | 1,961.63 | 97.57 | -2.43% | Oct 29 | 2,641.25 | 90.16 | -9.84% | Oct 24 | 3,797.34 | 98.04 | -1.96% |
| 27 | Oct 28 | 1,985.05 | 98.74 | -1.26% | Oct 30 | 2,682.63 | 91.57 | -8.43% | Oct 25 | 3,859.11 | 99.63 | -0.37% |
| 28 | Oct 29 | 1,982.30 | 98.60 | -1.40% | Oct 31 | 2,711.74 | 92.56 | -7.44% | Oct 26 | 3,830.60 | 98.90 | -1.10% |
| 29 | Oct 30 | 1,994.65 | 99.22 | -0.78% | Nov 1 | 2,740.37 | 93.54 | -6.46% | Oct 27 | 3,807.30 | 98.30 | -1.70% |
| 30 | Oct 31 | 2,018.05 | 100.38 | +0.38% | Nov 2 | 2,723.06 | 92.95 | -7.05% | Oct 28 | 3,901.06 | 100.72 | +0.72% |
| 31 | Nov 3 | 2,017.81 | 100.37 | +0.37% | Nov 5 | 2,738.31 | 93.47 | -6.53% | Oct 31 | 3,871.98 | 99.97 | -0.03% |
| 32 | Nov 4 | 2,012.10 | 100.08 | +0.08% | Nov 6 | 2,755.45 | 94.05 | -5.95% | Nov 1 | 3,856.10 | 99.56 | -0.44% |
| 33 | Nov 2 | 3,759.69 | 97.07 | -2.93% | ||||||||
| 34 | Nov 3 | 3,719.89 | 96.04 | -3.96% | ||||||||
| 35 | Nov 4 | 3,770.55 | 97.35 | -2.65% | ||||||||
| 36 | Nov 7 | 3,806.80 | 98.28 | -1.72% | ||||||||
| 37 | Nov 8 | 3,828.11 | 98.83 | -1.17% |
Index vol & positioning intelligence · S&P 500 cash closes · volsignals.com · @VolSignals · Informational only, not investment advice