Twenty one days ago there was an all-time high in S&P 500 and SPY. Since, the 21-day standard deviation of returns has surged from 0.22% to 1.62% and the 14-day ATR as percentage of closing price to 1.8% from 0.67%. Below are the charts.
21-day standard deviation of returns
14-day ATR as percentage of closing price
These are very large changes but still below previous major corrections as it may be seen from the first chart and the red dotted line.
We expect volatility to increase as short volatility weak hands are being squeezed out of the market.
If you have any questions or comments, happy to connect on Twitter: @mikeharrisNY
Charting and backtesting program: Amibroker
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