A couple of weeks ago, we did a post showing that the 50-day average daily change of the S&P 500 was higher than at any other point in the index's history. After yesterday's close, another record was eclipsed when the average daily change moved above +/-4%! As shown below, this volatility blows away even the highest levels reached during the Great Depression.
Up until the start of 2008, a daily move of 4% in a 50-day period was noteworthy. From 1945 through 2007, the S&P 500 had 49 one-day moves of 4% or more, which is an average of less than one per year. This year we've had 28! For a market as big as the United States to average a 4.02% daily change over a 50-day period is truly astounding. This is the type of volatility that we see in frontier and emerging markets -- not the biggest, most developed market in the world. The volatility bubble won't last forever, and being long it at this stage of the game is a very risky bet.