Russell 2000 2% Spreads Between Intraday Highs And Lows

The Russell 2000 tracking ETF (IWM) has been particularly volatile as of late, and as of yesterday’s close, there have been seven straight trading days in which there was a 2% spread between the intraday high and low. A streak of seven had not been reached since July 2020 (7/2), and the current streak is tied for the longest since 6/22/2020. During the COVID correction, this streak of 2% intraday ranges actually reached 41 days, which was then followed by two streaks of nine trading days in the spring and summer. While the Russell 2000 is up sharply again today, because it gapped higher, the streak is likely to end at seven trading days unless IWM trades below $221.45 or above $226.64.

IWM has only had a streak of 41 or more three times since IWM began trading in late May of 2000. The longest streak came during the financial crisis from late 2008 through early 2009 when 67 consecutive trading days saw at least a 2% spread between IWM’s intraday highs and lows. Although the market currently appears quite volatile, it is hardly unprecedented, and IWM has experienced periods where it has undergone significant volatility for much longer periods than the current streak. 

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