Market Measures

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Depressed Market Moves

Market Measures

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Tom and Tony discuss new research on intraday market moves. All year, we have felt that market moves have been tightening, with intraday ranges being highly constrained.

The team decided to put some context around this feeling by running the numbers. First, they look at the VIX, which is seeing its lowest levels in recorded history in 2017.

Next, they look at the intraday ranges of both the S&P 500 and the Nasdaq-100. They define intraday ranges as:

(Daily High - Daily Low) / Daily Low

They then averaged these ranges on a yearly and monthly basis. The numbers definitely validate what Tom and Tony have been feeling all year. 2017 has seen the smallest intraday moves in recorded history for the S&P 500, with October of 2017 being the most constrained month. The Nasdaq data tells a similar story.

Tune in for the full discussion of this interesting data revelation!

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