· EZU +1.3%, EMXC +2.0%, EWJ +1.6%, EWU +0.4%, FXI -2.0% · USO -1.7%, DBA +0.1%, CPER +0.0%, GLD -0.7%, SLV -0.8% · SHY -0.1%, TLT -0.3%, IGOV +0.4%
Volatility Alerts (≥1.0σ True Range)
Assets experiencing unusually wide trading range comparedto log-normal historical baseline.
1-Day Horizon
| Ticker |
Range |
△1d |
Z-Score |
|
KRWUSD
|
1.7% |
+1.1% |
+2.0σ |
|
CHFUSD
|
1.2% |
+0.2% |
+1.2σ |
|
USO
|
5.4% |
-1.7% |
+1.1σ |
7-Day Horizon
| Ticker |
Range |
△7d |
Z-Score |
|
MXNUSD
|
4.3% |
-2.4% |
+1.4σ |
28-Day Horizon
| Ticker |
Range |
△28d |
Z-Score |
|
MXNUSD
|
9.3% |
-6.9% |
+2.0σ |
|
CADUSD
|
3.7% |
-2.9% |
+1.1σ |
365-Day Horizon
| Ticker |
Range |
△365d |
Z-Score |
|
USO
|
147.5% |
+105.9% |
+2.0σ |
|
EMXC
|
63.9% |
+52.0% |
+1.5σ |
|
SLV
|
163.4% |
+28.5% |
+1.4σ |
Friday, Oct 2
-
Employment Situation (Today's Print):
Actual: 29k vs Consensus: 89k —
Payrolls missed sharply alongside -60k in net prior revisions, while unemployment ticked up to 4.2% and wage growth cooled to 0.1% MoM, cementing expectations for a Fed rate pause.
Stock Indices
| Symbol |
Price |
△1 |
△7 |
△28 |
△365 |
| SPY |
769.64 |
0.7% |
-0.2% |
0% |
16% |
| QQQ |
749.58 |
1.0% |
0.7% |
4% |
24% |
| IWM |
281.63 |
0.8% |
-0.2% |
-5% |
16% |
| RSP |
209.70 |
0.3% |
-0.7% |
-4% |
11% |
| IJR |
138.38 |
1.0% |
0.1% |
-5% |
17% |
International
| Symbol |
Price |
△1 |
△7 |
△28 |
△365 |
| EZU |
67.03 |
1.3% |
-2.4% |
-5% |
9% |
| EMXC |
101.29 |
2.0% |
0.1% |
0% |
52% |
| EWJ |
98.92 |
1.6% |
1.0% |
1% |
29% |
| EWU |
46.08 |
0.4% |
-2.6% |
-5% |
13% |
| FXI |
33.23 |
-2.0% |
-2.1% |
-7% |
-19% |
Commodities
| Symbol |
Price |
△1 |
△7 |
△28 |
△365 |
| USO |
147.28 |
-1.7% |
-0.7% |
4% |
106% |
| DBA |
28.21 |
0.1% |
-1.2% |
-2% |
10% |
| CPER |
39.52 |
0.0% |
-2.7% |
-1% |
29% |
| GLD |
380.18 |
-0.7% |
-3.4% |
-7% |
7% |
| SLV |
54.64 |
-0.8% |
-6.0% |
-9% |
28% |
Bond
| Symbol |
Price |
△1 |
△7 |
△28 |
△365 |
| SHY |
81.04 |
-0.1% |
-0.2% |
-1% |
1% |
| TLT |
77.48 |
-0.3% |
-2.3% |
-6% |
-10% |
| IGOV |
39.81 |
0.4% |
-0.8% |
-4% |
-5% |
Crypto
| Symbol |
Price |
△1 |
△7 |
△28 |
△365 |
| BTC-USD |
84,353.68 |
-0.5% |
0.6% |
6% |
-30% |
| ETH-USD |
2,667.59 |
-1.3% |
-0.8% |
9% |
-41% |
| DOGE-USD |
0.0915 |
-3.1% |
-6.0% |
8% |
-65% |
Fx Eur
| Symbol |
Price |
△1 |
△7 |
△28 |
△365 |
| EURUSD |
1.13 |
0.1% |
-1.3% |
-3% |
-4% |
| GBPUSD |
1.32 |
0.3% |
-0.1% |
-2% |
-2% |
| SEKUSD |
0.0997 |
0.2% |
-1.4% |
-5% |
-6% |
| NOKUSD |
0.1040 |
0.2% |
-1.2% |
-3% |
4% |
| CHFUSD |
1.21 |
0.2% |
-0.0% |
-2% |
-4% |
Fx Asia
| Symbol |
Price |
△1 |
△7 |
△28 |
△365 |
| JPYUSD |
0.0063349 |
0.1% |
-0.5% |
-1% |
-7% |
| KRWUSD |
0.0007444 |
1.1% |
0.9% |
0% |
5% |
| TWDUSD |
0.0314 |
0.3% |
-0.2% |
-1% |
-4% |
| CNYUSD |
0.1492 |
0.0% |
-0.0% |
0% |
6% |
Fx Other
| Symbol |
Price |
△1 |
△7 |
△28 |
△365 |
| CADUSD |
0.7018 |
-0.2% |
-0.8% |
-3% |
-2% |
| AUDUSD |
0.6959 |
0.3% |
-1.0% |
-3% |
5% |
| NZDUSD |
0.5617 |
0.1% |
-1.0% |
-5% |
-4% |
| MXNUSD |
0.0551 |
0.7% |
-2.4% |
-7% |
1% |
Technicals
This chart shows the percent of the S&P 500 over 50 and 200 day simple moving averages — an indication of breadth. This is a test view and may change; feedback is welcome.
200d MA Crossovers
Stocks Crossing Above 200d Moving Average
| Ticker |
Name |
Prior Days |
Max Drawdown |
Industry |
P/OI |
5Y Avg |
| MYGN |
MYRIAD GENETICS INC |
63 |
42.0% |
None |
|
|
| RMBS |
RAMBUS INC |
84 |
27.5% |
semiconductors |
44.7 |
40.4 |
| LOPE |
Grand Canyon Education, Inc. |
162 |
15.3% |
education services |
14.1 |
15.7 |
Stocks Crossing Below 200d Moving Average
| Ticker |
Name |
Prior Days |
Max Runup |
Industry |
P/OI |
5Y Avg |
| IART |
INTEGRA LIFESCIENCES HOLDINGS CORP |
150 |
53.1% |
health care equipment |
12.5 |
23.1 |
| HTO |
H2O AMERICA |
279 |
18.5% |
water utilities |
14.1 |
12.4 |
| BR |
BROADRIDGE FINANCIAL SOLUTIONS, INC. |
59 |
15.9% |
data processing & outsourced services |
11.2 |
19.3 |
Individual Stock Volatility Scanners
Largest Volatility Spikes in the Past Day
| Ticker |
Name |
Sector |
Range |
△1d |
Z-Score |
| IART |
INTEGRA LIFESCIENCES HOLDINGS CORP |
health care |
27.4% |
-19.6% |
+6.4σ |
| AZTA |
Azenta, Inc. |
health care |
21.8% |
+12.4% |
+6.1σ |
| TRU |
TransUnion |
industrials |
14.9% |
+9.4% |
+5.8σ |
| THRM |
Gentherm Inc |
consumer discretionary |
16.3% |
-6.9% |
+5.8σ |
| STX |
Seagate Technology Holdings plc |
information technology |
19.4% |
-10.3% |
+5.5σ |
| PPC |
PILGRIMS PRIDE CORP |
consumer staples |
10.5% |
+9.1% |
+4.8σ |
| NKE |
NIKE, Inc. |
consumer discretionary |
9.9% |
-3.6% |
+4.3σ |
| SYNA |
SYNAPTICS Inc |
information technology |
14.9% |
+13.6% |
+4.2σ |
| MRP |
Millrose Properties, Inc. |
real estate |
11.1% |
-2.5% |
+4.1σ |
| WDC |
WESTERN DIGITAL CORP |
information technology |
16.2% |
-9.9% |
+3.9σ |
Largest Volatility Spikes in the Past 7 Days
| Ticker |
Name |
Sector |
Range |
△7d |
Z-Score |
| CTVA |
Corteva, Inc. |
materials |
566.3% |
-84.8% |
+27.5σ |
| MAT |
MATTEL INC /DE/ |
consumer discretionary |
39.0% |
+12.8% |
+5.9σ |
| ACN |
Accenture plc |
information technology |
32.3% |
+12.9% |
+5.8σ |
| FICO |
FAIR ISAAC CORP |
information technology |
47.3% |
-23.3% |
+5.7σ |
| LQDA |
Liquidia Corp |
health care |
235.0% |
-58.1% |
+5.3σ |
| STC |
STEWART INFORMATION SERVICES CORP |
financials |
21.4% |
-12.9% |
+4.3σ |
| UTHR |
UNITED THERAPEUTICS Corp |
health care |
24.4% |
+13.9% |
+3.9σ |
| IART |
INTEGRA LIFESCIENCES HOLDINGS CORP |
health care |
32.7% |
-19.8% |
+3.2σ |
| SNPS |
SYNOPSYS INC |
information technology |
24.0% |
+14.9% |
+3.2σ |
| THRM |
Gentherm Inc |
consumer discretionary |
23.5% |
-11.1% |
+3.0σ |
Largest Volatility Spikes in the Past 28 Days
| Ticker |
Name |
Sector |
Range |
△28d |
Z-Score |
| CTVA |
Corteva, Inc. |
materials |
652.8% |
-86.4% |
+25.2σ |
| GEN |
Gen Digital Inc. |
information technology |
54.9% |
-28.3% |
+5.2σ |
| LQDA |
Liquidia Corp |
health care |
235.0% |
-58.3% |
+5.1σ |
| FICO |
FAIR ISAAC CORP |
information technology |
73.0% |
-29.0% |
+4.6σ |
| STC |
STEWART INFORMATION SERVICES CORP |
financials |
39.5% |
-23.6% |
+4.1σ |
| MRP |
Millrose Properties, Inc. |
real estate |
37.2% |
-23.1% |
+3.7σ |
| AN |
AUTONATION, INC. |
consumer discretionary |
39.2% |
-23.5% |
+3.7σ |
| CASY |
CASEYS GENERAL STORES INC |
consumer staples |
33.5% |
-18.3% |
+3.6σ |
| BXMT |
BLACKSTONE MORTGAGE TRUST, INC. |
financials |
30.5% |
-22.9% |
+3.3σ |
| COO |
COOPER COMPANIES, INC. |
health care |
36.4% |
-18.2% |
+3.3σ |
Largest Volatility Spikes in the Past 365 Days
| Ticker |
Name |
Sector |
Range |
△365d |
Z-Score |
| CTVA |
Corteva, Inc. |
materials |
668.3% |
-81.1% |
+20.7σ |
| ROL |
ROLLINS INC |
industrials |
122.1% |
-48.0% |
+5.2σ |
| LQDA |
Liquidia Corp |
health care |
319.6% |
+nan% |
+5.1σ |
| ABR |
ARBOR REALTY TRUST INC |
financials |
230.3% |
-69.2% |
+4.8σ |
| OI |
O-I Glass, Inc. /DE/ |
materials |
206.9% |
-57.4% |
+4.6σ |
| VRRM |
VERRA MOBILITY Corp |
industrials |
808.9% |
-88.4% |
+4.0σ |
| KLAC |
KLA CORP |
information technology |
1,365.6% |
-81.8% |
+3.9σ |
| AVT |
AVNET INC |
information technology |
148.7% |
+108.3% |
+3.6σ |
| DD |
DuPont de Nemours, Inc. |
industrials |
388.8% |
+287.1% |
+3.5σ |
| ACM |
AECOM |
industrials |
131.8% |
-53.7% |
+3.5σ |
About the Price Report
Goal: Convey trends in prices across select asset classes. Data related to valuations, yields, and macro are treated in separate reports.
Coming Soon: Technical & Momentum Indicators. If you see a chart or metric you think would be useful here, send it to Justin.
This report is generated daily and sent to subscribers either daily or weekly.
