The period from September through early October has historically been the most volatile time of the year for the US equity market, and then things slow down dramatically throughout the holiday season. Below is a chart showing the average absolute percentage change on each day of the trading year for the S&P 500 since 1928. The first two trading days of the year are historically two of the most volatile days with an average move right around +/-1%, but then things quickly stabilize. From the third trading day of the year all the way through day 160 or so, the average trading day has very consistently averaged a move right around +/-0.70%. But then daily volatility starts to pick up as the summer turns to fall.
We’ve actually just gotten past the most volatile time of the year when looking at the rolling 1-month average, and from now through year-end, vol typically drops like a rock. Sign up for Bespoke’s “2020” special and get our upcoming Bespoke Report 2020 Market Outlook and Investor Toolkit.