Feb

14

DJIA realized 20 day volatility using close-close daily returns of DJIA since 1928-present. I calculated every 20 trading days  the stdev of the prior 20 days return (non-overlapping). The current level of 0.004945 (about 1/2% per day, equivalent to 7.85% per year) is low but not that unusual in the series — ranking between the 14th and 15th percentile.

The attached graph of 20D stdev over the period shows many periods of persistent low volatility of much longer duration than the present.

But on the other hand perhaps painful memories are more durable than pleasant ones.


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