We consider 'all or nothing' days in the market to be days where the net daily A/D reading in the S&P 500 exceeds plus or minus 400. Including today's reading of 491, there have now been 12 all or nothing days in the last four weeks (20 trading days). Going back to 1990, there has only been one other period where the frequency of all or nothing days over a four week period was at or above the current level and that occurred in the Fall of 2008.
So far this year, there have now been 32 'all or nothing' days for the S&P 500. On an annualized basis, this puts 2011 on pace to see 48 'all or nothing' days for the entire year, which would tie it with last year (2010) to be the second highest annual total since at least 1990.
While the volatility of the credit crisis has certainly contributed to the uptick in 'all or nothing' days over the last few years, an even larger contributor has been the ETF industry. It is not a coincidence that the increase in 'all or nothing' days has risen right in tandem with the explosion in volume of ETFs like SPY.
