Intraday Volatility has Completely Disappeared for the S&P500

One way to measure price volatility is to look at the intraday range an asset trades within (the intraday high minus the intraday low) and then compare that range to the asset's price level. In this way we normalize the daily range for the prevailing price of the asset so comparisons through time are consistent.

That is exactly what we do in the charts below for the S&P500. What we want to highlight is that the intraday trading range of the S&P500 has, outside of the Christmas to New Years period each year, only been lower on two occasions over the last ten years; once in November of 2013 and once in November of 2006 (1st chart). Extending the observation period back twenty years only yields two more instances of lower intraday volatility; one instance in each 1994 and 1995 (2nd chart).