Narrow SPX Range and Low Realized Volatility

Thursday, 1 August 2013

Narrow S&P500 Range in the Last 3 Weeks

S&P500 range in the last 14 trading days (ending 7/31) was 1671.84 – 1698.78 = 26.94 points = 1.60%. Such narrow range (normally common even for individual trading days), sustained over such a long period, has been very rare in S&P500 history.

In the last 50 years, the only other periods when 14-day S&P500 range was 1.60% or smaller were:

  • March-April 2006
  • June 2005
  • August 1995
  • December 1994 – January 1995
  • Multiple periods in 1993
  • August-September 1985
14-day periods with S&P500 range smaller than 1.60%

The picture is very similar also for other similar period lengths, such as 10 or 12 trading days.

Of course, the range will now expand, as S&P500 breaks above 1700 as I am publishing this.

S&P500 Realized Volatility

Realized volatility of S&P500 has been very low in the recent weeks: 6.93% when measured over 21 trading days ending 7/31 and 4.44% for the last 10 trading days.

S&P500 10-day historical volatility S&P500 21-day historical volatility

As you can see in the charts above, these realized volatility readings are very low, but not uncommon in the last years. Moreover, they are far from all-time S&P500 record low historical volatility. There have been many occasions with 10-day historical volatility below 4% and in the 1960’s even below 3%.