Just a quick follow up on a blog I did 2 months ago when the volatility just started to kick in.

Same here with an update of my U.S. Stock Universe and how the Average True Range (ATR) behaved recently.

ATRs – 13/09/2018 / VIX = 12.37:

ATRs – 26/10/2018 / VIX = 18.90:

ATRs – 20/12/2018 / VIX = 28.38:

Which gives the following moves:

ATRs almost doubled over 3 months.

Kurtosis / Skewness have exploded with 15% of the Universe now recording >5% ATR.

=> Stocks can move BIG and many of them.

I hope it helps,
Gregoire

 

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