Quantum Fading » Volatility http://blog.quantumfading.com Leveraged ETF Research and News Fri, 08 Jan 2010 05:00:37 +0000 http://wordpress.org/?v=2.9.1 en hourly 1 Historical Daily Volatility http://blog.quantumfading.com/2009/06/02/historical-daily-volatility/ http://blog.quantumfading.com/2009/06/02/historical-daily-volatility/#comments Wed, 03 Jun 2009 01:50:55 +0000 Kevin http://blog.quantumfading.com/?p=15 It can be interesting to see the historical day to day change percent of ETFs. It is no suprise that financials have been the most volatile in the past year. Here is a chart that shows a 50 day SMA of day to day percent moves for several ETFs:


(click for a large image)

The volatility calculation is just a comparison between each day. So if XLF was at 10 and the next day it moves to 11, that is a gain of 10%. If the next day it is still 11 then the change is 0%. Using a 50 day SMA makes the plot more smooth.

One of the interesting similarities between each ETF is that the drop in the volatility seems to ‘confirm’ the 2003 bull market. This may be obvious in hindsight, but perhaps the still heightened daily % changes we are still experiencing is an indication we are not yet out of the woods. The market became very calm at the end of 2003, even at its low levels.

The XLE chart is a great example:

Charts for each individual ETF can be viewed here:

DIA
SPY
QQQQ
XLF
XLE
IWM

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