I'm hearing from quite a few frustrated daytraders of the stock index futures. Note in the chart above that, as the market has marched steadily higher, volatility has been coming out of the S&P 500 Index (SPY). The red line above shows the median 20-day high-low trading range for SPY; it has moved to new lows for the year. Five of the last seven trading sessions have featured ranges of under 1%, far less volatility than we saw early in the year. Traders who have not adapted to the slow midday conditions and the limited follow through to market moves have found themselves chopped up, particularly if they're playing for breakout moves and buying highs and selling lows.
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