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Where has all the stock market volatility gone? U.S. equities have been surprisingly quite the past three years. There hasn’t been a one-day change of 2 percent or more in the Standard & Poor’s 500 Index since December, Bloomberg News reported. Data compiled by Bloomberg and Deutsche Bank AG note that this is the longest such streak since February 2007, when 164 trading days passed without breaching the 2 percent threshold. Even more surprising is the lack of 1 percent moves. Eight weeks have passed without a change of that magnitude in the S&P500. “That’s the longest such streak we’ve seen in 21 years,” Business Insiderreported. Salil Mehta discusses the lack of market action at Statistical Ideas. He notes exactly how low volatility has become during the past 6 1/2 years. The following list shows what percent of total market volatility occurred in each year during that period:
Here’s another way of showing the distribution of volatility by year: 
Source: Statistical Ideas
It isn’t for a lack of catalysts: investors are awaiting the Federal Reserve’s first interest rate increase in nine years; the Greek debt saga continues to cause troubles in Europe; China’s booming stock market shows signs of excess; and the Middle East remains a disaster.
Continues here: Searching for Volatility in All the Wrong Places
Category: Data Analysis, Fixed Income/Interest Rates, Markets, Trading Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data and lack of respect for scientific knowledge. Be sure to create straw men and argue against things I have neither said nor implied. If you could repeat previously discredited memes or steer the conversation into irrelevant, off topic discussions, it would be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous. |
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