Published Sep 7, 2026, 4:09 PM ET · Updated 2 months ago · 1 source
Volatility split on SPX new high day differs from normal market conditions
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Original Report
On the day of a new SPX all-time high ('Day 0'), the volatility split is unique, with 43% of volatility originating from overnight movements and 57% from intraday activity, which differs significantly from the normal market condition where intraday contribution is typically 72%.