Putting the Crude Oil Bear Market and Volatility in Context

Crude oil is once again in the news. This time it has dropped after the OPEC meeting in Doha ended without a deal. There was optimism that an oil production freeze could be put in place, but after Iran walked away from any deal last week, a freeze at this meeting was highly unlikely.

What we’ve seen from crude oil so far this year is historic on many levels. Here are some interesting stats on 2016.

  • Although crude oil was down more than 4% at 9:30 a.m. ET today, in response to the failed OPEC meeting, this type of volatility has been the norm so far this year. In fact, 76% of the days so far in 2016 have seen crude oil move at least 1% (up or down), the most ever. In 1986, 74% of the days move at least 1%, which is the current record for a full year. Of course, there’s a long way to go in this year, but what we’ve seen so far is notable.
  • The average daily gain so far for crude oil in 2016 has been an incredible 4.3%, while the average loss has been 2.5%. That daily gain is the highest ever, while the average daily loss is the third highest ever.

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  • At its lows in February, crude oil was down more than 22% for the month. Nonetheless, crude oil was able to finish green for the month. Using data back to 1983, no month was ever down that much and finished green for the month. This reversal was truly extraordinary.
  • The correlation between crude oil and the S&P 500 has been very apparent this year, as the two have been locked together for most days. Not surprisingly, the 60-day correlation between crude oil and the S&P 500 is the highest it has been since 2012.

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  • Last week, crude oil finally closed above its 200-day moving average for the first time in 427 days. This was the longest streak beneath this long-term moving average since 1983. Many consider a price below this trend line to be a bear market, so this could be viewed as the longest bear market in crude oil. The previous longest bear market was 280 days in 1993–94, so this streak dwarfed that one.

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