As I've stressed inwards by posts, this is really much related to the book of concern existence transacted inwards the marketplace (which, inwards turn, is a reflection of institutional participation).
Here is a squeamish graphic that illustrates the relationship: Note how book inwards the S&P 500 Index (SPY) is quite correlated to the average daily high/low range. During vacation periods such every bit the introduce one, nosotros tin aspect daily ranges of nether 1%, whereas ranges of 2% are much to a greater extent than mutual in 1 lawsuit nosotros create to a greater extent than than 250 1 grand 1000 shares worth of business.
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