Monday, April 03, 2006

An Additional Note On Low 10 Day Volatility

The ten-day high-low range in SPY of only 2.08% is well below the average range of 3.72% since March, 2003 as noted earlier. When the ten-day range has been below 2.5% (N = 136), the next ten days in SPY have averaged a loss of -.18% (70 up, 66 down). This is much weaker than the average ten-day gain of .61% (471 up, 298 down).

As with the data for the opening SPY numbers, we see that low 10-day volatility leads to subnormal performance in the intermediate term.

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