Big Picture Volatility Chart
Average Intraday Range, Dow & NASDAQ (July 23, 1998 - January 23, 2008)

Understanding the Average Intraday Range is one key to successful day trading, along with trading for the long term. The SCANSHIFT Range Extension Rectangle data has been compiled in the "Big Picture Volatility Chart" to show the long-term trends, in raw points, for the Dow and NASDAQ Average Intraday Ranges.

For definition purposes, the Intraday Range is the difference in points (can also be calculated in percentages) between the high and low during a trading session. The Average Intraday Range is the mean or average of the daily Intraday ranges over the prior 30 days.

The Dow has shown more consistent volatility over the last nine years, hitting a 250 point Average Intraday Range on four occasions, most recently during the summer of 2002. Immediately after the Sept 11th terrorist attack, the Average Intraday Range hit 234 points on 10/15/2001. It came crashing down to a low of 117 points on 1/18/2002, before spiking up dramatically in late July and August 2002 to historic levels. A new all time record was set on 8/14/2002 of 292 points, taking out the previous record of 279 points set on 4/17/2000. There was continued volatility through early November 2002 when we went back to the 240 point area for a few days after spending the fall in the lower 200's. Late November 2002 started a dramatic slide in volatility, to the lows for the last nine years that we are analyzing, 78 points on 10/10/2006.   It took five years just to again break the 200 point barrier, when we put in a five year high of 231 points on September 4, 2007.

The NASDAQ has not shown a history of consistent volatility. The NASDAQ has only had one pop in volatility, in the Spring of 2000 where the Average Intraday Range peaked at 227 points on April 18th. It's volatility has since dried up dramatically, dropping to the mid 40 point range in early September 2001. The Average Intraday Range barely moved after the Sept 11th attack, where it went to 56 points on 10/29/2001. It dropped back down to 33 points in April 2002 before a slow climb to 50 points in August 2002. It subsequently utterly collapsed to a low of 18 points in 12/16/2005 before a slow climb out of the hole to where it finally trading a few days above 50 for the first time in five years at the end of 2007. On a percentage basis, the Nasdaq Average Intraday Range is still in the doldrums, averaging only 1.55% at the end of 2007 . Compare that to the peak of 5.38% set on 24 April 2000.

Another way to look at the percentage stats, is that in 2000 the Nasdaq did not have any days where the Average Intraday Range was less than 2%. In 2001, there were only 4 days. In 2002 that increased to 29 days. In 2003, we conversely had a very boring year, when the volatility collapse really accelerated. There were 208 days with an Average Intraday Range less than 2%. Since 25 March 2003 we have not had an Average Intraday Range greater then 2%, and I doubt that we will have one for a while. The volatility is just not there, although 2007 it did pick up some from the utterly dismal 2005.  We had 35 trading sessions with an intraday range greater than 2%, compare that to only 3 sessions in 2005.  However it is nothing like the wild years of 2000 to 2002, where we had anywhere from 174 to 202 trading sessions with intraday ranges greater than 2%, with 63 days having intraday ranges greater than 5%.

The actual number of trading session where the Nasdaq had a 2% or 5% intraday range:

The chart gives another perspective on the collapse in Nasdaq Intraday volatility, in relation to the Dow.

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