Feb

18

How often do the S&P futures change in price (up or down) by more that 10 points?

Date         Num Days Num Days
Year Mon       Up >10   Dn >10          Tot    Diff
2000   1            5       8            13      -3
2000   2            6       6            12       0
2000   3            9       6            15       3
2000   4            4       7            11      -3
2000   5            8      10            18      -2
2000   6            6       4            10       2
2000   7            6       6            12       0
2000   8            5       2             7       3
2000   9            3       6             9      -3
2000  10            5       8            13      -3
2000  11            3      10            13      -7
2000  12            6       8            14      -2
2001   1            5       3             8       2
2001   2            3       9            12      -6
2001   3            7       8            15      -1
2001   4            9       5            14       4
2001   5            4       6            10      -2
2001   6            4       5             9      -1
2001   7            3       6             9      -3
2001   8            2       8            10      -6
2001   9            4       6            10      -2
2001  10            6       3             9       3
2001  11            7       1             8       6
2001  12            3       4             7      -1
2002   1            4       3             7       1
2002   2            6       4            10       2
2002   3            4       3             7       1
2002   4            3       4             7      -1
2002   5            5       6            11      -1
2002   6            2       7             9      -5
2002   7            5      11            16      -6
2002   8            7       7            14       0
2002   9            5       7            12      -2
2002  10            8       8            16       0
2002  11            6       4            10       2
2002  12            3       6             9      -3
2003   1            4       7            11      -3
2003   2            3       4             7      -1
2003   3            3       4             7      -1
2003   4            6       3             9       3
2003   5            5       1             6       4
2003   6            4       4             8       0
2003   7            3       4             7      -1
2003   8            0       1             1      -1
2003   9            3       3             6       0
2003  10            2       2             4       0
2003  11            2       1             3       1
2003  12            4       0             4       4
2004   1            3       1             4       2
2004   2            3       0             3       3
2004   3            5       6            11      -1
2004   4            1       3             4      -2
2004   5            2       2             4       0
2004   6            1       3             4      -2
2004   7            1       3             4      -2
2004   8            3       3             6       0
2004   9            1       1             2       0
2004  10            3       3             6       0
2004  11            2       1             3       1
2004  12            2       1             3       1
2005   1            1       2             3      -1
2005   2            3       1             4       2
2005   3            2       3             5      -1
2005   4            2       7             9      -5
2005   5            2       2             4       0
2005   6            1       1             2       0
2005   7            1       1             2       0
2005   8            1       2             3      -1
2005   9            2       2             4       0
2005  10            4       6            10      -2
2005  11            3       0             3       3
2005  12            1       1             2       0
2006   1            3       1             4       2
2006   2            2       3             5      -1
2006   3            3       0             3       3
2006   4            1       2             3      -1
2006   5            3       5             8      -2
2006   6            3       5             8      -2
2006   7            3       2             5       1
2006   8            2       0             2       2
2006   9            3       1             4       2
2006  10            2       0             2       2
2006  11            2       2             4       0
2006  12            2       0             2       2
2007   1            1       2             3      -1
2007   2            2       2             4       0
2007   3            4       4             8       0
2007   4            4       1             5       3
2007   5            3       2             5       1
2007   6            3       6             9      -3
2007   7            4       6            10      -2
2007   8           10       6            16       4
2007   9            3       3             6       0
2007  10            6       4            10       2
2007  11            6       9            15      -3
2007  12            6       7            13      -1
2008   1            7      11            18      -4
2008 2*             4       4             8       0

.                            Autocorr   0.658   0.197

The highest volatility (by this measure) occurred in January 2008, with 18 double-digit moves, although we have a tie with May 2000.

Generally, there were a lot of such days (>10) in 2000-2002, few in 2003-2006, and many again starting in July of 2007.


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