Excerpt from Catalyst Calendar (Jun 1 – 5, 2020)

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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.

S&P 500 cumulative returns from April 1 to May 29, 2020
S&P 500 Cumulative Returns (April 1 – May 29, 2020)

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.

S&P 500 volatility (April 1 – May 29, 2020)

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.

S&P 500 Cumulative Returns  from February 20, 2020 - May 20, 2020
S&P 500 cumulative returns from February 20 – May 29, 2020

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.

S&P 500 volatility (April 1 – May 29, 2020)

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