With the measure of 20-day S&p 500 (SPX) Index realized volatility having fallen to 6.35% Thursday before finishing the week at 6.44%, the lowest reading since February 1, 2013’s reading of 5.41%, we thought it might be worthwhile to look at exactly how often the measure of equity market volatility registered even lower readings and in the process look at the actual distribution of this risk measure.

First the table:

Sources: Yahoo Finance, Differential Research LLC

Since 1950, 20-day realized volatility for the S&P 500 (SPX) Index has been at or below 6.50% a total of 9.42% of the time. The range of observations for the entire period extends from a low of 2.32% recorded on February 4, 1965 to a high of 94.14% calculated for the 20-day period ending November 12, 1987. While 50% of the observations are below the median of 11.14%, the right-tail observations lift the mean or average for the period to 12.95%.

Sources: Yahoo Finance, Differential Research LLC

data sources: CFE, Trade-Alert LLC, Yahoo Finance and Differential Research LLC

The risk of loss in trading commodity futures and options is substantial. Before trading, you should carefully consider your financial position to determine if futures trading is appropriate. When trading futures and/or options, it is possible to lose more than the full value of your account. All funds committed should be risk capital. Past performance is not necessarily indicative of future results.

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