S&P500 volatility

[Slimprofits]

Clarification of question: Since January 3, 2012 (first trading day of the year) through the close of the markets yesterday, March 25, 2014, during how many days has the % change (from open to close of trading) in either direction been greater than or equal to 2%? Please do not cheat!

[Slimprofits]

Re: S&P500 volatility

Well it's just about time for this poll to close and not to many folks are interested anyways... The answer is only eleven days. And the largest % change (from open to close), in either direction was -2.55%. Forget Helicopter Ben, I think a better nickname for Bernanke is Ironing Board Ben.

[Slimprofits]

Re: S&P500 volatility

http://www.investing.com/indices/us-...istorical-data DATA SOURCE

[charliebrown]

Re: S&P500 volatility

For the purpose of writing options, I track 30 day volatility as expressed as the standard deviation of prices for 30 day rolling averages.
This has been very low too. Currently it is .71%. More normally it is around 3%. Mid December it hit a record low of .5% (SD/Average)
I only have 10 years of data.

[Milton Kuo]

Re: S&P500 volatility

Well it's just about time for this poll to close and not to many folks are interested anyways... The answer is only eleven days. And the largest % change (from open to close), in either direction was -2.55%. Forget Helicopter Ben, I think a better nickname for Bernanke is Ironing Board Ben.

I participated in this poll and my guess was "Less than 10." If you had asked me for a number instead of a range, I probably would have guessed zero or one days of 2% or greater volatility. The data point is interesting, though. It's difficult for me to believe the Federal Reserve can be this stupid but it seems they're going to try yet again to remove stimulus from the market and expect that the deflationary effects of stimulus removal will be counterbalanced by intrinsic growth resulting in a leveling off of asset prices to a new, "permanently higher plateau."

They failed in 1994 and 2000 before spectacularly failing in 2008 and here they go again. I guess it's easy to touch the hot stove and get badly burned, over and over, when it's not your hand. I wonder if the Federal Reserve will ever figure out that goosed asset prices never move downward as smoothly as they do upward.

[Slimprofits]

Re: S&P500 volatility

I participated in this poll and my guess was "Less than 10." If you had asked me for a number instead of a range, I probably would have guessed zero or one days of 2% or greater volatility.

I attempted to frame the poll in a way that wouldn't reveal the correct answer.

I wonder if the Federal Reserve will ever figure out that goosed asset prices never move downward as smoothly as they do upward.

You nailed it right there, but isn't that a maxim that applies to life in general?

[Slimprofits]

Re: S&P500 volatility

For the purpose of writing options, I track 30 day volatility as expressed as the standard deviation of prices for 30 day rolling averages.
This has been very low too. Currently it is .71%. More normally it is around 3%. Mid December it hit a record low of .5% (SD/Average)
I only have 10 years of data.

The Great Moderation of stock price movements?

[Slimprofits]

Re: S&P500 volatility

http://www.bloombergview.com/article...-of-volatility ----- pretty pictures of Ironing Board Ben's handiwork.

[charliebrown]

Re: S&P500 volatility

For those interested, this same number (30 day SD/30 day average) today set a new decade low of .45% for SPY. EFA also set a record low of .65%.
One year volatility on DBC is 1.93% very close to the record low of 1.9% observed on 4/14/14. Great moderation indeed!
If there is no MO, will the big boys start cashing in their MO MO chips??

[Slimprofits]

Re: S&P500 volatility

For those interested, this same number (30 day SD/30 day average) today set a new decade low of .45% for SPY. EFA also set a record low of .65%. One year volatility on DBC is 1.93% very close to the record low of 1.9% observed on 4/14/14. Great moderation indeed! If there is no MO, will the big boys start cashing in their MO MO chips??

Thanks for the update. It appears that the entirety of the stock markets is on extra-strength Adderall.

[lektrode]

Re: S&P500 volatility

Thanks for the update. It appears that the entirety of the stock markets is on extra-strength Adderall.

or maybe xtasy...

[lektrode]

Re: S&P500 volatility

and could this be 'the calm before the storm' ?

[Slimprofits]

Re: S&P500 volatility

http://www.bloombergview.com/article...-of-volatility ----- pretty pictures of Ironing Board Ben's handiwork.

The Economist mag. weighs in on the lack of volatility:

http://www.economist.com/blogs/freee...n_is_no_virtue

[btattoo]

Re: S&P500 volatility

Slim, thanks for the poll and the most recent Economist link. I missed the poll initially.

I'm re-reading antifragile now and the ironing of the S&P reminds me of the way forest fires are contained and then unnatural conditions are created so that instead of a few small fires each year we get big disastrous ones once in a while. I'm still waiting for EJ for guidance on shorting the S&P this fall.

[Slimprofits]

Re: S&P500 volatility

The chart below, courtesy of Credit Suisse, shows how trading volume this year compares to average volumes over the past 15 years.

Here’s a look at intraday volatility in the S&P 500. As the chart below shows, the market is fluctuating much less on a daily basis now than it was at the end of last year.

Finally, here’s a look at the number of trading days where the S&P 500 has moved by at least 2%. So far in 2014, there have only been three instances where the market moved by more than 2% in a given day. That compares to seven such days last year, 12 in 2012, 68 in 2011 and 133 during the depths of the financial crisis in 2008.

http://blogs.wsj.com/moneybeat/2014/...-three-charts/