SPX Historical (Realized) Volatility Plunges to Single Digits

The stock market’s slow melt up persists despite the recent trend of weakening market internals. With the October 19th selloff no longer included in the calculation, 10-day historical volatility for the S&P500 has plunged to the 6.0 area. That’s  a very low reading from a historical perspective, with only one occurrence in the last three years. Since 1990, we’ve seen the SPX 10-day historical volatility fall below the 6.0 level a total of 48 separate sessions. In 39 out of those 48 occurrences, or 81% of the time, the S&P500 was trading at a higher level ten sessions later. That’s significantly greater than the 58% at-any-time odds for a higher SPX ten days later in the same time frame. In only 3 cases out of 47 was the S&P down 1%+ two weeks later, while it was up 1%+ 24 times…

SPX 10-day Historical Volatility Falls Below 6.0
03/19/10… S&P500 +2.4% ten sessions later
02/08/07… S&P500 +0.2% ten sessions later
01/17/07… S&P500 +0.5% ten sessions later
12/18/06… S&P500 -0.3% ten sessions later
12/13/06… S&P500 +0.8% ten sessions later
11/20/06… S&P500 +1.0% ten sessions later
10/25/06… S&P500 +0.3% ten sessions later
10/18/06… S&P500 +0.1% ten sessions later
08/29/06… S&P500 +1.1% ten sessions later
08/11/06… S&P500 +2.2% ten sessions later
05/02/06… S&P500 -1.6% ten sessions later (*)
12/20/05… S&P500 +1.1% ten sessions later
12/15/05… S&P500 -1.8% ten sessions later (*)
11/20/96… S&P500 +0.1% ten sessions later
09/27/96… S&P500 +2.1% ten sessions later
06/19/96… S&P500 +1.6% ten sessions later
04/29/96… S&P500 +1.1% ten sessions later
01/08/96… S&P500 -0.8% ten sessions later
10/16/95… S&P500 +0.0% ten sessions later
10/05/95… S&P500 +1.4% ten sessions later
08/24/95… S&P500 +2.7% ten sessions later
08/08/95… S&P500 -0.2% ten sessions later
05/17/95… S&P500 +1.2% ten sessions later
05/01/95… S&P500 +2.6% ten sessions later
04/07/95… S&P500 +1.3% ten sessions later
03/30/95… S&P500 +1.4% ten sessions later
02/17/95… S&P500 +0.8% ten sessions later
02/01/95… S&P500 +3.0% ten sessions later
01/30/95… S&P500 +2.8% ten sessions later
01/03/95… S&P500 +2.4% ten sessions later
12/29/94… S&P500 +1.0% ten sessions later
08/03/94… S&P500 +0.8% ten sessions later
07/28/94… S&P500 +1.0% ten sessions later
07/15/94… S&P500 +0.9% ten sessions later
06/02/94… S&P500 +0.9% ten sessions later
01/24/94… S&P500 -0.0% ten sessions later
01/03/94… S&P500 +1.7% ten sessions later
12/29/93… S&P500 +0.8% ten sessions later
12/23/93… S&P500 +0.5% ten sessions later
10/29/93… S&P500 -0.5% ten sessions later
09/08/93… S&P500 -0.1% ten sessions later
08/26/93… S&P500 +0.2% ten sessions later
08/11/93… S&P500 +2.2% ten sessions later
05/10/93… S&P500 +1.2% ten sessions later
01/22/93… S&P500 +2.9% ten sessions later
12/03/92… S&P500 +1.3% ten sessions later
09/08/92… S&P500 +0.7% ten sessions later
03/25/92… S&P500 -3.2% ten sessions later (*)

For 10-day HV to close under 6.0 today, the SPX needs to settle below 1192.50. But even if that doesn’t occur today, we could easily see a sub-6.0 close tomorrow if stocks don’t move too significantly in either direction. For instance, based on the current SPX price of 1193, virtually any close in the 1184-1205 range would send the 10-day HV under 6.

Categories : Archived Intraday Commentary, Intraday Commentary

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