Why Reported S&P 500 Volume Jumped in December 2016
Summary
The document investigates a sharp increase in a chart’s SPX “Trading Capital,” calculated as price multiplied by volume, beginning in early December 2016. The question interprets the change as a possible surge of money into US equities and asks whether legislation or flows from other asset classes could explain it. It also notes that the Dow showed a similar move, while a separate Bloomberg chart did not show the same volume increase.
The accepted response attributes the apparent jump to a methodology change in volume reporting: the data began including consolidated tape trades across exchanges. Another response disputes the chart’s accuracy, citing a Bloomberg series that shows no corresponding post-change rise. The document therefore points to a data-definition issue rather than evidence of a sudden capital inflow. It does not establish the source series’ methodology in detail or resolve the conflicting charts independently.
Key ideas
- The reported SPX volume series showed a large jump in early December 2016.
- The accepted explanation is a change to reporting volume from the consolidated tape across exchanges.
- A separate Bloomberg chart reportedly did not show the same increase, leaving a conflict between data sources.
- The displayed price-times-volume measure alone does not establish that new funds entered the market.
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Full text
# SPX Trading Capital: What happened on December 5, 2016? # SPX Trading Capital: What happened on December 5, 2016? (I am not certain if this is the correct Stack to post this question.) What structural changes, legislative or otherwise, took place in 2016, such that on Dec 5, 2016, the Trading Capital (Price*Volume) on the SPX suddenly tripled? Prior to this date, the 200-day moving average on the SPX Trading Capital (Price*Volume) was about 10 million, ± 2 million; then it began increasing around January 2015, and reached 14M on Dec 12, 2015, and sustained $14M until December 5th, 2016. Then, quite suddenly, on December 5th 2016 it hit 51M, from 12M the day before, and on Dec 7th, it reached 61M, a level never before reached. The Question: What happened? What structural change brought this flow of funds into the S&P? I am inclined to think that some legislation went into effect in the first few days of December 2016. As of January 1, 2018, the Trading Capital has reached higher highs, keeping consistently above the 200-day MA. What is keeping the massive flow of funds coming into the US stock market? Secondary Question: From which Asset Classes is this money coming from? Per comments below, I am attaching the screenshot from the source. The DJI shows a similar phenomenon, on the same date. No surprise there. Another chart, this one from Market Watch, just trying to discard the notion that the data is wrong. ## Answer by q.t.f. (score 6, accepted) https://quant.stackexchange.com/a/38430 There was a methodology change in how volume is reported. Now it is using the consolidated tape including trades on all exchanges. See: http://stockcharts.com/articles/dont_ignore_this_chart/2016/12/whats-the-deal-with-that-intraday-volume-on-the-dow-indu.html ## Answer by AlRacoon (score 1) https://quant.stackexchange.com/a/38394 I think this is an error. This is a chart of SPX price and volume I pulled off Bloomberg. The volume does not go up after 12/7/2016 according to this chart.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.