The Behavior of Volatility in October, from Kim Zussman

2011-10-05 · Kim Zussman
Original source

Daily SPY was used to calculate volatility as normalized range:

norm range = (H-L) / {(H+L)/2}

The attached compares mean normalized daily range by month; first period was 2000-2005, and the second period 2006-sept 2011.

In both periods, mean normalized daily range for Octobers (month 10) exceeds the global mean.