TDAmeritrade's IMX Index Saw Its Second Largest Drop Since December 2012

TD Ameritrade created a monthly index called the "Investor Movement Index" (IMX), a behavior-based index designed to indicate the sentiment of retail investors. The index "measures what investors are actually doing, and how they are actually positioned in the market."

If the index rises month-over-month, it likely implies investors are becoming more bullish. Data are randomly collected from a monthly sample of retail clients who have placed trades in a given month.

The index plunged 9.16 percent to 4.76 in September, marking the second-largest monthly decline since the index was created in December 2012.

"As we saw in August, many of the widely held positions within TD Ameritrade client accounts saw decreases in their volatility relative to the market, which pushed the IMX lower," the company stated. "TD Ameritrade clients were also net buyers for the month of September, which typically would work to increase the IMX reading; however, this month we saw volatility in many of those companies decrease at a faster rate than that of the overall market."

Net Buyers In September

Additionally, investors were net buyers of GoPro Inc GPRO, as it traded lower toward IPO price.

Netflix, Inc. NFLX, Walt Disney Co DIS and Twitter Inc TWTR.

Net Sellers

Investors were also net sellers of Alcatel Lucent SA (ADR) ALU, despite a move higher in September. Other popular names that were net sellers include Yahoo! Inc. YHOO, Sirius XM Holdings Inc. SIRI and McDonald's Corporation MCD.