In the past 48 hours, we have witnessed futures reach both their limit up and down as well as a 15-minute freeze on trading yesterday when the S&P 500 fell 7%. If that is any indication, equities have been remarkably volatile. As shown in the chart below, over the past ten trading days the S&P 500 has averaged a 3.81% difference between the intraday high and intraday low. That is the highest reading since 2011 and since 1985 there have only been a few other periods of higher readings; the highest of which occurred in October of 1987 and 2008.

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Delving deeper into the intraday patterns, the last hour, in particular, has been very volatile. Just from three o’clock to the close at four o’clock, the S&P 500 has moved up or down 1.1% on average over the past ten days. Again you would have to go back to 2011 to find this type of late-day volatility. Prior to that, only the financial crisis, 2002, 1997, and 1987 saw similar instances.

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If the final hour of trading is too long of a time horizon for you, then try the final 15 minutes. Going back to 1985, there has only been one other 10-day period with a more volatile finish to the day: October of 2008. Back then, the final 15 minutes of trading averaged a 1.7% move; more than double the current volatility. The only other comparable period is back in October of 1987 when the last 15 minutes averaged a slightly smaller move of 0.83%. For comparison, from the start of the year to the S&P 500’s high on 2/19, the average absolute full-day change for the S&P 500 was even less than this at 0.57%. 

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