5 day historical volatility by weeks of the year

5 day historical volatility
I did a quick study to see the how seasonal volatility was during the year. For this study, I looked at the standard deviation of the logarithm of the price changes for the prior 5 days, using only on the last trading day of the week for the chart. I used the SPX since 1994 from Yahoo! Finance. Here is a graph of the average, median, and top and bottom 25 percentile.  In the above change, 101 is week 1, which I am using as the week with the first Friday of the new year.  Overall, looking at the average (grey line) there is a slight downward slope from the end of January through July, then slight pick up through mid October, and then finally a slight fall until year end – except a bit of a bump around the first week in December.  The line for the bottom 25 percentile is fairly flat all year long, while the top 25% percentile has much more variability.


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