Lack of Intraday Volatility Consistent with Short to Intermediate Term Market PeakDecember 04, 2013
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.