Market Measures - December 21, 2020 - Intraday Ranges in 2020
The average intraday range in 2020 is among the highest of any year in history, since 2000. In fact, March 12, 2020 was the single largest intraday range since 2000...a 355 point (14%) swing in the /ES in one day. On average, expect a 1.6% intraday swing in the /ES. This number will scale with market implied volatility.