Where Did The Volatility Go?

The incredibly nonvolatile equity market continues. As we noted two weeks ago, the Dow was in the midst of the tightest monthly range ever. Although more equity new highs have been made since then, we’d still have to call the market action incredibly slow.

For instance, the S&P 500 hasn’t closed down more than 1% for an incredible 74 days in a row, the longest streak since 2006. It has also closed within 1.5% of the all-time high for 54 straight days, the third-longest such streak going back 45 years. Then, on Thursday and Friday of last week, the S&P 500 in a daily range of less than 0.33%, for the first time back-to-back since late December 2016. You have to go back 28 months to find the time it happened before that.

Speaking of the small intraday ranges, the S&P 500 has now gone 29 consecutive days without trading in a range of more than 1%. Considering the average daily range going back to 1970 is 1.5%, this is an incredibly slow stretch for equities. Per Ryan Detrick, Senior Market Strategist, “You have to go back to September 1995 to find the last time we saw 29 consecutive days without a 1% intraday range on the S&P 500. Although things are boring, the good news is these periods of small daily ranges rarely lead to large sell-offs once they are over.”


Although a very small sample size, the returns after the three times the S&P 500 made it 29 days without a 1% daily range were consistent with periods that did not see large sell-offs, which could be a positive sign for equities.




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