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Comments

Brad

The peak in the # of 1% days was 19, 47, and 9 days after the closing lows in '74, '87, and '02 respectively. IF IF IF we had the low for this move 3 days ago, there will be quite a few more 1% days over the next few weeks. So this measure certainly has room to go higher, and may yet reflect the extremes of those periods.

Uldis

S&P has another version on this, see here: http://www.businessweek.com/investing/insights/blog/archives/2008/03/sp_500_actual_v.html

Frank

The version in Businessweek is misleading to say the least (at least concerning the use of "volatility"), especially with respect to their conclusion that "market volatility shot up to 38.6% for the second half of 2007 and now stands at 51.9% for 2008 - a level not seen since 1938".

In fact the (annualized) variance for the just finished 3-month period between December 21, 2007 and March 19, 2008 has been 578.38 (settlement value of the CFE March '08 3-month variance futures contract), that means the annualized realized volatility (square root of variance) has been 24.05%.

Although that is the highest realized volatility since April 2, 2003 (annualized 3-month variance of 585.79), going back only until January 2, 1986, 475 out of a total of 5601 trading days saw a historical rolling 3-month (63 trading days) annualized variance higher than 578.38 (24.05%).

The highest realized 3-month (63 trading days) annualized variance has been 4007.98 (63.31%) on January 12, 1988, the 3-month period following Black Monday on October 19, 1987.

One remark: The measurement of the rolling 3-month (63 trading days) annualized variance does not take into account the SOQ (special opening quotations) of the S&P 500 (closing values only) as it is the case concerning the settlement value of the CFE 3-month variance future on March 19, 2008 (but that would cause only a very minor deviation, if any).

The conclusions stated above concerning the rolling annualized realized 3-month variance are almost perfectly compliant to Bespoke's measurement of historical rolling 1% and 2% moves in the S&P 500.

I beg your pardon for not being a native speaker.

Kunst

"I beg your pardon for not being a native speaker."

You could have fooled me. Superb writing.

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