Yesterday we noticed that the markets have had many spikes in both directions. This activity can usually be attributed to large buy and sell programs (also to external events such as the rate cut on 9/18).
We looked back at the intraday, minute-by-minute, activity in the S&P 500 for the previous month. The average absolute minutely move since 9/17 is 2.18bps, the standard deviation: 2.51. If we then smooth the S&P, removing absolute minutely moves greater than one, two or three standard deviations from the mean, the results are displayed in the charts below. (Horizontal lines help illustrate changes occurring after the rate cut.)