While 2017 isn't yet complete, new research published by tastytrade suggests that we may be headed for the lowest annual volatility ever in the history of both the S&P 500 and the Nasdaq 100.

Data related to this forecast is presented on a recent episode of Market Measures, which highlights the absolute low levels in the VIX so far this year, as well as an analysis of the historically tight trading ranges observed in 2017.

As you can see in the graphic below, 2017 is on track to be the lowest average VIX year ever recorded:

Screen Shot 2017-11-30 at 1.02.26 PM.png

As noted in the slide above, tastytrade research shows that the VIX would have to spend every remaining day in 2017 above 20 in order to avoid breaking the record for the lowest average year in history. A development that at this point seems about as likely as Chairman Kim Jong-un joining President Trump for Christmas dinner at the White House.

And while the extremely depressed levels in VIX tell us quite a bit about the character of equity markets in 2017, further data presented on Market Measures paints an even more complete picture of how the 2017 trading year compares to previous years.

Examining historical trading ranges in the S&P 500 and Nasdaq 100, tastytrade looked back at every year since the origination of each respective index and analyzed monthly and yearly averages.

The study included the following parameters:

  • S&P 500 (SPX): 1962-present

  • Nasdaq 100 (NDX): 1986-present

  • Charted monthly and annual average intraday market movement for each index

Given the focus of this blog post, it likely won't surprise you that so far in 2017, the S&P 500 and the Nasdaq 100 have exhibited the tightest intraday average trading ranges in history (annual and monthly).

Interestingly, 7 of the 10 tightest trading range months in the history of the Nasdaq 100 occurred in 2017. Regarding the S&P 500, October 2017 saw the tightest intraday ranges of any month in the entire history of the index (gasp!).

The chart below shows the how the historically tight intraday trading ranges in 2017 compare to other years in the history of the S&P 500 (SPX):

Depressed Market Moves Year over Year

While many active traders have already experienced first-hand the extremely depressed levels of volatility in 2017, this installment of Market Measures does a great job of putting more precise figures around what is looking more and more like an extreme outlier in terms of annual and monthly volatility.

We hope you’ll take the time to review the complete episode of Market Measures when your schedule allows.

If you have any comments or questions related to volatility in 2017 or any other trading-related topic, we hope you’ll leave a message in the space below or reach out directly at support@tastytrade.com.

We greatly appreciate your involvement in the tastytrade community, and look forward to hearing from you soon!

Sage Anderson has an extensive background trading equity derivatives and managing volatility-based portfolios. He has traded hundreds of thousands of contracts across the spectrum of industries in the single-stock universe.

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