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The S&P 500 Index (SPX) continues to trade in a narrow range, ever since a brief upside breakout after the first “Frexit” vote.
Since then — for the last 12 trading days — SPX has been in a very tight range, between 2380 and 2400. On almost every day the daily range has been 10 SPX points or fewer. This tight action has forced realized (historical) volatility down to extremely low levels. The 10-day historical volatility of SPX is a paltry 2.7%. Even the 100-day historical volatility is only 7%. These are levels rarely seen.
While this may be a warning sign of sorts (a warning of complacency), history has shown that volatility can remain low for long periods of time, before eventually resulting in a sharp, but perhaps short-lived market correction.