Oct
5
The Behavior of Volatility in October, from Kim Zussman
October 5, 2011 |
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.
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