Feb
27
SPYs in the Early 90s, from Kim Zussman
February 27, 2013 |
SPY daily data was used to calculate a measure of intra-day volatility normalized to current price:
(H-L) / ((H+L)/2)
SPY data was also used to calculate daily intra-day return: (C/O)-1
These ratios were used to calculate the ratio: return / (intra-day volatility) (return per unit realized volatility, intraday)
The plot of return/volatility over time (1993-present) is here.
The plot looks sufficiently random but for a number of "roundish" points in the 93-94 period. Notice that for most of the series (excepting 93-94), there were no instances of "1" or "-1" (either an up day with intraday return = intraday volatility, or a down day with intraday return = -(intraday volatility) ). But there were several instances of 1, -1 in the earliest period. Also in the same 93-94 period there were a number of "0"s for the ratio - corresponding to zero return.
Hypotheses include problems with the data (Yahoo), and problems with the ETF itself.
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