Economy & Policy

Motion sickness quantified

By Barbara Kiviat | December 2, 2008 | +

You may have noticed that yesterday was a rough day for the market. And last week had gone so well, too. Shoot. This morning I was talking to some folks over at the electronic trading platform Liquidnet, and one of them pointed me to a Citigroup report that lends nice context to the recent volatility. Here’s a look at some different time periods and the number of days the S&P 500 has moved up or down more than 5% during the trading day:

1950-2000: 27 days
2000-2006: 7 days
Jan. 1-Sept. 30, 2008: 20 days
Since Oct. 1, 2008: 22 days

Historically, we’ve seen a 5% swing less than 1% of the time. Through September, we were running at about 10%. These days, we’re hitting the threshold more than half the time. Wear your seatbelts.

Barbara!

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  • markwolfinger

    I’m interested in these statistics.
    What happened during 2007?

  • bryanfromhouston

    I’m more of a fan of the following statement:
    .
    Get your popcorn ready!

  • bryanfromhouston

    Barbara,
    .
    Any thoughts on this? http://money.cnn.com/2008/12/01/news/economy/tully_vat.fortune/index.htm?postversion=2008120209
    .
    Would’ve sworn this could never have happened?!?!

  • Barbara Kiviat

    @markwolfinger: I’m trying to track down some more info on this. Stay tuned.

  • dumdedumdum

    does daily volatility correlate with daily trading volume? more frenetic trading activity –> more price volatility?

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