Intraday Volatility has Disappeared (Again)

Regular readers know that we have been harping on the lack of volatility all year (few posts here and here) so it should come as no surprise that we are, once again, calling out the absolute evaporation of intraday volatility in US stocks. Indeed, as one of our favorite indicators below shows, the daily trading range of the S&P 500 (calculated as intraday high minus intraday low as a percent of the index level and shown on the right axis, inverted) is again near the all-time lows when one excludes the few days around the end of each calendar year. This indicator did spike higher in October during the mini-correction, but that spike has been entirely erased with the subsequent rally. The last time the indicator was near this level was just before the October swoon started, though we are careful not to extrapolate.