Friday, November 11, 2011

S&P 500 Average Daily Move

Another day, another triple digit move on the Dow and >1% change on the S&P 500.  The markets have certainly been volatile lately, but how does the last few months' volatility compare on a historical basis?

Below is a chart of the trailing 90 day average daily S&P 500 percentage change (absolute value).  The 1.6% average daily change over the last 90 days is the 4th highest reading since 1957.  The only periods that saw a larger average daily change were Fall 2008/Winter 2009, Fall 2002, and Winter 1988.

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