Tracking the Volatility

We're barely five months into the year, and 2022 has already given us more than a year's worth of volatility.  

In a typical year, the S&P 500 has eight trading days in which it's up or down at least 2% (using the median number of moves since 1928). But, as my colleague Evie Liu notes today, we've already had 14 of those days in 2022. And her story published before markets opened today -- so make it 15.  

The kicker, per Evie: "So far this year, one out of every six trading days has closed with a gain or loss of 2% or more for the S&P 500."

·        In 2021, the S&P 500 posted daily gains or losses of more than 2% only seven times.

·        But in 2020, as the pandemic raged, the index had 44 such moves. 

·        And it was even higher at the peak of the financial crisis in 2008, which featured 72 trading days with a change of 2% or more.  

Here's more context from Evie:

Looking back further, the most volatile years of the 20th century took place in the 1930s during the Great Depression. In 1931, 1932, and 1933, the S&P 500 shot up or down by more than 2% on 90, 132, and 94 days, respectively.

In any given year, the number of volatile up days (when the S&P 500 gained more than 2%) and volatile down days (when it lost more than 2%) are usually similar. Since the 1930s, the difference between the two has never been more than 10 days.  

You can read the rest of the story here, including charts tracking a century of volatility.