One way to measure market volatility over time is with the Average True Range (ATR), which tracks prices over the previous 14-day period. The chart below shows the ATR for the E-mini S&P 500 along with a price chart.
This chart shows that market volatility first spiked with the first signs of the credit crisis, dating back to July '07, and that volatility has seriously increased in the past two months.
The Average True Range will be covered in greater detail in the December issue of Futures Magazine.
