Momentum Stock Volatility Hits Record 4x vs S&P 500
The 3-week volatility of momentum stocks relative to the S&P 500 has surged to a record 4.0x, more than quadrupling in recent weeks. This group, including AI-driven names like Nvidia and Palantir, has seen its index drop 24% in July, on track for the worst month since 2008.
A shocking statistic underscores the dramatic reversal in high-growth tech stocks: the three-week volatility of momentum stocks relative to the S&P 500 has reached an all-time high of 4.0x. This ratio has more than quadrupled in just the past several weeks.
The affected group includes prominent AI and quantum computing names such as Nvidia ($NVDA), Super Micro Computer ($SMCI), Palantir ($PLTR), D-Wave Quantum ($QBTS), and CoreWeave ($CRWV). For context, this ratio peaked at roughly 2.0x during the 2020 pandemic crash and 1.8x during the Dot-Com bust.
The U.S. momentum stock index has fallen 24% so far in July, putting it on track for its steepest monthly decline since the 2008 Financial Crisis. The market's former winners are rapidly losing favor, reflecting a sharp rotation away from high-growth names.
Source: The Kobeissi Letter