Jun

18

Range, from James Sogi

June 18, 2007 |

Recent moves looked a bit like the year 2000 when there were bigger moves up and down. Looking at the average weekly average of the daily range of S&P futures as a measure, and using the median as a robust way to count varying periods, it looks like that measure of volatility is rising recently.

Days  Median average weekly range
200   10
100   11
20     12
10     15

During 2000, the median S&P median weekly range exceeded 15 also. This size of larger range was more common in 2000 and during the two years after.


Comments

Name

Email

Website

Speak your mind

Archives

Resources & Links

Search