Aug
8
Surprise Vol. on S&P, from Russ Sears
August 8, 2011 |
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%
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