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> Just bringing up a year-old thread, maybe stimulate a discussion.
> Very different picture this year though ...
Yes indeed. I re-ran that calculation with data (daily SP, not
SPY) up through yesterday. (And this time I made sure to use
non-adjusted data. :-)
Avg Daily Avg
Range Price Rng/Price
1998 17.64 1091.53 1.62%
1999 20.85 1333.98 1.56%
2000 26.36 1439.12 1.83%
2002 19.89 994.76 2.00%
2003 14.52 936.73 1.55%
So the current ranges are lower in absolute terms and in % of
price terms than we've seen since 1997. How low will they go?
Who knows. I wouldn't expect them to go back to the pre-1997
levels of 0.75% ranges. It's a different world now.
Gary
> Michael Stewart wrote:
> >
> >
> > thats a far more sensible way to do it -- I get very different av
> > prices for the cash compared with your continuos futures for 1998
> > though.
> >
> > range avyear %
> >
> > 1992 3.51 415.12 0.85%
> > 1993 3.28 451.96 0.73%
> > 1994 3.76 460.56 0.82%
> > 1995 4.01 541.23 0.74%
> > 1996 6.76 669.88 1.01%
> > 1997 12.62 873.79 1.44%
> > 1998 17.02 1085.50 1.57%
> > 1999 20.38 1327.33 1.54%
> > 2000 25.53 1447.45 1.76%
> > 2001 22.24 1228.43 1.81%
> > 2002 20.56 1017.01 2.02%
> >
> > >> Can you also provide more statistically valid ranges expressed as a
> > >> percentage of average annual price level ?
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