In spite of the heightened gridlock following November's election and the fiscal cliff appearing on the horizon, it is rather ironic that two market volatility measures we track are at multi-year lows.
The first chart below shows the annual number of 'all or nothing days' for the S&P 500 going back to 1990. We consider all or nothing days in the market to be days where the net daily A/D reading in the S&P 500 exceeds plus or minus 400. So far this year, there have been 29 'all of nothing days,' putting the index on pace for a total of 30 in 2012. At this rate, the total number of all or nothing days for 2012 will be the lowest since 2006.
The next chart below shows the annual percentage spread between the VIX's annual high and low going back to 1990. So far this year, the VIX has traded in a 108.2% range from its low to high. While this may sound high, it pales in comparison to the 466% spread we saw in 2008. In fact, this year's range of 108% would be the lowest since 2005 and is the sixth lowest annual reading since 1990. While this return to normalcy is a trend welcomed by investors, for traders, the lack of volatility hurts.