October 20th, 1987 Was The Most Volatile Day in the History of the DJIA

On May 6th, 2010, the Dow Jones Industrial Average (DJIA) dropped as much as 1000+ points during intraday trading.

While this certainly FELT like the most volatile day in the history of the Dow Jones Industrial Average, in reality it wasn't even close.

To determine intraday volatility, we used this equation (based on data from October of 1928 until now):

(High of Day - Previous Close) + (Previous Close - Low of Day) / Previous Close x 100

So, let's say that we had a day where the Dow hit a high of 10,100 and a low of 9,900 after closing at 10,000 the day before. This would result in intraday volatility of 2% (200 / 10,000 * 100).

Here are the top five most volatile days for the DJIA since October of 1928:

October 20th, 1987 - Intraday Volatility - 25.95%. After crashing over 22% the day before, the DJIA staged a comeback, closing up nearly 6% on the day. This was a wild day (as you would expect) for the DJIA. After opening up at 1,738.74, the index hit a low of 1,616.21 before bouncing as high as 2,067.47. The index ended up closing at 1,841.01 on the day.

October 19th, 1987 - Intraday Volatility - 21.66%. "Black Monday". The DJIA opened at 2,246.73 before staging the largest one-day crash in the history of the index. The DJIA hit a low of 1,677.55 before eventually closing at 1,738.74.

October 29th, 1929 - Intraday Volatility - 15.37%. "Black Tuesday". This date is considered by most to be the start of the "Great Depression". The DJIA closed at 260.64 the previous day, only to trade as low as 212.33. The index closed at 230.07 on the day, and this day basically marked the end of the speculative frenzy that was gripping the nation at the time.

October 31st, 1931 - Intraday Volatility - 15.01%. The DJIA, after closing at 86.48 the day before, ended closing at 99.34.

July 21st, 1933 - Intraday Volatility - 14.79%. After closing at 96.26 the day before, the DJIA lost quite a bit of ground, hitting an intraday low of 84.45 before closing at 88.71.

Special Mention - October 10th, 2008 - 14.17%. After closing at 8,579.19 the day before, the DJIA traded as low as 7,773.71 and as high as 8,989.13 before closing the day at 8,451.19. This day took place right at the height of the financial crisis in the United States.

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For comparison's sake, the DJIA had intraday volatility of around 11% on May 6th, 2010.

Filed under: General Market News