The S&P 500 (SPX) has risen or fallen by 5% or more on 10 trading days this year. In fact all of those 10 daily moves have occurred in the last 29 trading days (since September 29). From 1950 through September 28, 2008 the SPX has risen or fallen by 5% or more on only 19 occasions, with 5 of those 19 days associated with the 1987 crash. By this measure we are in unchartered volatility territory.
Speaking of unchartered volatility territory, the LakeView VDEV Volatility Index hit another all-time high yesterday of 4.22%. The VDEV is posted everyday on the LakeView Asset Management website under "News and Events" and on TheFinanceProfessor.com website on the Bulletin Board.
We can look at volatility from another perspective – the paucity of days with small market moves. On average, the SPX rises by 0.03% per day. The standard deviation of daily market moves is 0.90%. Thus we would normally expect the SPX to move by 0.03% +/- 0.90% on any given day which equates to a range of -0.87% to +0.93%.
On average the SPX traded in this range approximately 77.35% of the time since 1950. However, in those 29 trading days since September 29, 2008 we have traded in the one standard deviation range on only 4 trading days. An absence of a lack of volailtity is another sign of volatility.