Friday was another rollercoaster day of market activity, with selling in the last 45 minutes of the day wiping out earlier gains. For those caught in the maelstrom, you can console yourselves with the knowledge that these really are exceptional times, even as they seem to be becoming the norm.
Dshort.com has a nice table of historical intraday volatility on the Dow since 1928. Over the 80-year period, average intraday volatility is about 1.8 per cent, according to the web site. But, there have been 64 days when it exceeded 8 per cent and 14 of those have happened since Sept. 29, this year. More over:
The current bear market has had a record-breaking nine consecutive days of 8% plus volatility. Second place goes to the Crash of 1929, with eight super-volatile days spread over a 14 market-day period (10/23/29 to 11/13/29).
So, where does this volatility lead us? These 64 manic-depressive days were evenly split (32:32) between up and down days. The range is astonishing - from a 15.3% gain in March 1933 to a 22.6% decline on Black Monday, the Crash of 1987. But if you combine the stats, the results are unremarkable. The sum of the 64 gains and losses is 3.7%. The average is 0.1%.______
Related links:
Why the hell are share prices going up and down? - FT Alphaville
Crazy markets - FT Alphaville
______
