Welcome to October. The most volatile month of the year.  While most investors and traders are well aware of the increased tendency for volatility in the month of October, the chart below provides an excellent illustration of that trend.  In it, we show the average percentage spread between each month’s closing high and closing low going back to 1928.  For all months since 1928, the S&P 500 has averaged an intra-month spread of 6.41%, but for the month of October, the average has been nearly two full percentage points wider at 8.25%!  The next closest month in terms of intra-month volatility has been November with an average range of just 6.96%.  While October is a big outlier in the data, volatility in the market is pretty seasonal.  From July right through November, average intra-month volatility is above the historical average for all months, but from December through June, the average intra-month range has been below average. Start a two-week free trial to Bespoke Institutional for full access to our research and market analysis.

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