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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:
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!
- 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)
The US stock market (benchmark: S&P500© index):
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%).
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.
US treasury bills (3 Month):
US current account:
Price-earnings-ratio (P/E) - S&P500© index:
Dividend yield - S&P500© index:
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