Intraday SPY volatility

A quick look at the intraday range ((high – low) / open) of the SPY over the past 10 years or so.  For each month, I plot the median range for the past 23 trading days, and the dividend adjusted SPY price.  You can get a similar plot with looking at the VIX and SPY on  Current levels were the norm between 2004 and 2007, and are generally close to the lows of the .01-02 range that a majority of the data points fall.  It seems like when the prices are rising it reduces the intraday range.


Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )


Connecting to %s

%d bloggers like this: