SPX Intraday vs Overnight Performance
The S&P 500 has rallied 23.2% over the past two months, but has only rallied 3.8% during US trading hours. The S&P 500 is up over 18% in after hours trading.
The overnight outperformance was due to lower realized volatility on down sessions and a lower # of down sessions. The magnitude of moves during US trading hours on up vs down days was similar, but there were more up sessions.
Of course, the time period 4/1/20 – 5/29/20 was cherry picked for the largest overnight outperformance. If we look at the performance since the Feb highs, the overnight trading returns are only slightly better.
It is also notable that the total average move on up days vs down days (close to close) was similar over this period. There were a greater number of down days.
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