With the Dow down over 1% at midday, we looked at prior periods during this bull market when the index fell between one and one and a half percent intraday. We then calculated what the average return was from the low to close. Depending on the time period analyzed, the average spread between the low and the close is as low as 67 and as high as 83 basis points.
What is even more interesting about the results is that it serves as another example of how volatility has been declining, even though the Dow recently had one of its largest one day point changes in history. Over the current bull market (since 10/9/02), the Dow has been down 1% intraday on about 20% of all days, which is roughly once a week. Notice, however, how the shorter the window we used, the less frequent the occurrences. Year to date, only 12.5% of all days have shown an intraday decline of 1%, which is closer to once every two weeks.