Although volatility still reigns supreme in small caps and the group formerly known as the highfliers, the broader market couldn’t be more relaxed as the proverbial summer doldrums have set in early. Over the last three months the spread between the S&P 500’s intraday high and low has been less than 5% (chart below). To find a three month range where the S&P 500 traded in a narrower range over a three month period, you have to go eight years back all the way to October 2006.
For the S&P 500 to trade in such a narrow range over a three month period is certainly not a common occurrence. First of all, going back to 1984, there have only been six other periods where the S&P 500 traded in a narrower range after not having done so for at least six months. Additionally, the average spread between the S&P 500’s intraday high and intraday low over a three month period is 13.2%, or more than 2.5 times the current three month high-low spread.
Earlier today, we sent out a report to clients highlighting the S&P 500's performance during and after periods where the index traded within a 5% range over a three month period. Current clients who would like to view the report can click on the link below. If you are interested in reading the report but are not yet a client, sign up for our 5-day free trial to Bespoke Premium today!