NYSE Margin Debt Dips In April For Second Consecutive Month: Risk Rank At No. 53

May 23, 2014 10:40 AM ETSPY, IVV24 Comments
J.J. McGrath profile picture
J.J. McGrath


  • New York Stock Exchange margin debt dropped to about $437.16 billion in April from about $450.28 billion in March, the exchange reported.
  • Since hitting its all-time high around $465.72 billion in February, NYSE margin debt has fallen circa -$28.57 billion, or -6.13 percent.
  • The two-month decline in NYSE margin debt is the steepest in the data series since the SPDR S&P 500 ETF’s bear market in 2011.

NYSE has reported monthly data on securities market credit in three discrete series (Margin Debt, Free Credit Cash Accounts and Credit Balances in Margin Accounts) since 2003 and on margin debt itself since 1959. NYSE margin debt is the aggregated dollar value of issues bought on margin (i.e., borrowed money) across the exchange. Many equity-market participants consider it a gauge of speculation in the stock market. The U.S. Federal Reserve currently has the initial margin requirement set at 50 percent.

The recent two-month decline in NYSE margin debt is the steepest observed in the data series since the SPDR S&P 500 ETF's (SPY) bear market in 2011, when on an intraday basis SPY dipped to $107.43 on Oct. 4 from $137.18 on May 2, a drop of $29.75, or 21.69 percent.

There is a strong positive correlation between NYSE margin debt and SPY, so it is unsurprising excellent coincident or leading indicators of long-term movements in the exchange-traded fund based on the S&P 500 have been built employing NYSE data on securities market credit in general and margin debt in particular.

My own analyses of the relevant NYSE data series historically have focused on two main metrics, the Margin Debt Directional Indicator, or MDDI, and the Securities Market Credit Risk Rank, or SMC Risk Rank, as described in "NYSE Margin Debt As An Indicator Of Long-Term Movements In S&P 500."

Figure 1: MDDI, May 2013-April 2014

Source: This chart is based on a proprietary analysis of monthly margin-debt data at NYSE's online site.

The MDDI centers on a comparative assessment of NYSE margin debt in the two most recent months of the data series that began in January 1959.

If the latest value of the MDDI (MDDI in Figure 1) is higher than its six-month simple moving average (

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J.J. McGrath profile picture
In cyberspace, I am best known as MackTheKnife, the winner of the Zacks $100,000 Challenge 2007. In meatspace, I am best known as J.J. McGrath, an editor and writer based in New York. You can follow me @JJMcGrath3000 on Twitter, as JJMcGrath on StockTwits and as J.J. McGrath on Google+.

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