Surprise Vol. on S&P, from Russ Sears

2011-08-08 · Russ Sears
Original source

Let me try a different format for the "surprise vol" days:

With so few "starts" of volatile periods fairly balance outcomes and over so much time nothing too hang a hat on. Unless that is the lesson.

Surprise Vol.

Concurrent Day   
Inter Day Vol  Count   Positives Average    

2.75%           6      1       -2.55%        
3.00%          11      1       -2.54%       
3.25%          10      1       -2.67%       
3.50%          10      2       -1.71%

Next Day
Inter Day Vol    Positives Average    

2.75%           2         -0.47%    
3.00%           5         -0.13%     
3.25%           3         -0.40%     
3.50%           5          0.19%

Next 63 Days
Inter Day Vol       Positives Average

2.75%                4         0.97%
3.00%                5        -4.06%
3.25%                4        -3.64%
3.50%                6        -1.01%