Lack of Intraday Volatility Consistent with Short to Intermediate Term Market Peak

December 04, 2013
By Knowledge Leaders Team in Uncategorized

Over the last few years the range of intraday price swings for the S&P 500 (the intraday high minus the intraday low) has been a good indicator of short to intermediate term peaks and troughs in the market. We read low levels of intraday volatility to be a sign of investor complacency and high levels to be the opposite. We highlight this now because a few days ago the 5-day average intraday range (shown by the red line on the right axis, inverted) hit the lowest level outside of a New Years holiday since April of 2007.


This may all be changing, however, as so far today we have seen a 21 point swing, or 1.2%, in the S&P 500. This would be the biggest intraday move in about three weeks.


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