Over the last 50 trading days, the average absolute daily percentage change of the S&P 500 has been...wait for it...3.82%! That means the S&P 500 is averaging a daily move of up or down nearly 4%. This is definitely one of the craziest statistics of the current bear market, and unfortunately, the majority of the daily moves have been down. In the history of the S&P 500, there has never been a more volatile period. Back in February of last year, the 50-day average absolute change was just 0.33%. When we ever do get back to daily moves of less than 1%, traders are going to be falling asleep at their desks after going through this turmoil.
Wow! Very interesting number!
Will be my "number of the day" tomorrow ...
Thanks for your great blog!
Posted by: egghat | November 25, 2008 at 04:42 PM
S&P500 has only existed since 1957. What is this chart of, the Dow 30?
Posted by: EvilHenryPaulson | November 25, 2008 at 11:07 PM