Comparing Intraday Range Volatility and the Fed Day

Dec 19, 2013: 5:56 PM CST

Wednesday’s “Fed Day” surprise resulted in a 43 point intraday range for the S&P 500 along with a 364 point intraday range (high to low) in the Dow Jones Industrial Index.

While certainly extreme, how does a 43 point intraday range compare with the past?

Let’s take a look at the S&P 500 Range Volatility chart to see prior periods of similar high volatility in the market:

S&P 500 SP500 SPX High Volatility Range Intraday

The blue indicator at the bottom reveals the intraday range (high minus low) of the S&P 500.

The red shading simply compares yesterday’s 43 point intraday range to the previous history from 2010 to present.

During that period, there have been 14 intraday sessions with at least a 43 point intraday range.

Of these 14 sessions, 13 took place during 2011, specifically from August to November 2011.

The two ‘extraordinary circumstances’ that induced these levels of volatility included the intraday “Flash Crash” (102 point intraday range) and the multiple bearish factors including the “Debt Ceiling Debate and Debt Downgrade,” debt crisis escalating in Europe/Greece, and the end of QE2’s stimulus program.

Wednesday’s catalyst was a surprise upside reaction in the stock market in conjunction with a relatively surprising “taper” or reduction in bond purchase/stimulus program from the Federal Reserve.

Continue studying the volatility environment in which you trade, and be sure to read the prior educational post “Three Quick Indicators to Measure Volatility.”

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Corey Rosenbloom, CMT
Afraid to Trade.com

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One Response to “Comparing Intraday Range Volatility and the Fed Day”

  1. Quick Charting the Post Fed Rally with Market Internals | Afraid to Trade.com Blog Says:

    […] the Federal Reserve’s December ’surprise’ (see prior posts:  “Comparing Daily Volatility and the Fed Day“), the US Equity Markets have rallied non-stop from December […]