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Stock market crash - Black Monday - October 1987

On this page you will find charts, which are illustrating the trends of important indicators during the stock market crash of 1987 ("Black Monday" - 19.10.1987).

Please refer also to our most often visited web pages:
  • Current stock and bond market timing signals indicating the actual weekly trading positions of our stock and bond trading systems - switching systematically between a full investment position (buying stocks or bonds) and a cash position.
  • Current stock market risk indices indicating the actual weekly risk of global and regional stock market investments on an aggregated basis in percentage points.

On Black Monday, 19.10.1987, the S&P 500© Index lost 20.5%, the Dow Jones Industrial Average (DJIA)© lost 22.6% and the NASDAQ Composite lost "only" 11.3%. But this severe one-day US stock market crash also affected other international stock markets.

The aggregated implied volatility of at the money options on the S&P 100 (OEX)© soared from 36.37% (Friday, 16.10.1987) to 150.19% (Monday, 19.10.1987). The intra day high - and therefore the all time high since inception of this indicator - was at 152.48%!

Some possible reasons for the stock market crash of 1987 and for the rapid psychological shift of the market participants:
  • rapidly increasing short term US interest rates (the annualized yield of 3M US Treasury Bills increased from 5.30% on 20.01.1987 to the high print of the year: 7.19% on 14.10.1987 - an increase of 189 basis points)
  • rapidly increasing long term US interest rates (the yield of 30Y US Treasury Bonds increased from the low print of the year: 7.29% on 09.01.1987 to the high print of the year: 10.25% on 19.10.1987 - an increase of 296 basis points)
  • weakening US dollar (=falling against most major foreign currencies)
  • deteriorating US current account deficit
  • escalating US government debt
  • very high price-earnings-ratios (P/E)
  • very low dividend yields
  • very bullish investor sentiment figures (= too much optimism by investors)
  • deteriorating "market breadth" (e.g.: weak Advance-Decline-Line)
BUT there were no important events or major news prior to this Black Monday justifying the drastic decline of US equities and the following severe drop of other international equities!

The US stock market (benchmark: S&P500© index):
US Stock market - crash of 1987
The S&P500© index climbed to an all-time high on 25.08.1987 (Close: 336.77). Two months later (19.10.1987) the S&P500 index© was at 224,84 (-33.24%).
NYSE volume
On 19.10.1987 the NYSE volume soared to 604.330.410 traded equities. The average NYSE volume in 1987 was only 188.542.561 traded equities.
Implied volatility
Advance decline line
New Highs versus New Lows

US bonds:
US treasury bond futures
30Y Treasury bond yield

US treasury bills (3 Month):
3M Treasury bills

Gold price:

Commodity index
Crude oil

US dollar:
US dollar

US current account:
US current account

Price-earnings-ratio (P/E) - S&P500© index:
Price earnings ratio US stocks

Dividend yield - S&P500© index:
Dividend yield US stocks

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