Monday, November 28, 2011

Average Daily S&P 500 Change By Month

Earlier this month, I posted that the trailing 90 day volatility in the S&P 500 has been the 4th highest since 1951.  The last week has only continued to push the average daily S&P 500 change higher, and today's 3% move certainly hasn't done anything to ameliorate day to day volatility.

To put the month so far in context, below is a chart of the average daily move on the S&P 500 by month so far in 2011.

The 1.5% average move means that the value of the 500 largest publicly traded US companies has swung by about $180B each day.

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