Explanatory Note

Volatility of New York Stock Exchange

Listed Stocks

Stock price volatility refers to the extent to which stock
prices change on a day-to-day basis.

Aggregate monthly price volatility on the NYSE is reflected in
a dispersion measure of day-to-day percent change in the Standard and
Poors Composite Index; the S&P 500 was chosen because of its breadth
and historical coverage enabling a review of volatility back to 1928.
The day-to-day percent changes for any interval when ranked from low
to high are divided into four "equal" groups by the First, Second and
Third quartiles. The difference between the Third and First quartiles,
a widely used measure of dispersion and always a positive number, is the
interquartile range. The interquartile range which is the measure of
volatility -- is not sensitive to the magnitude of monthly extremes but
will indicate shifts in the frequency or relative number of large day-
to-day changes. These attributes filter out the impact of short-term
shocks and enable identification of months characterized by relatively
high price volatility.

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A more detailed description of the statistical approaches used by
the SEC staff in developing this measure of NYSE volatility is available
from Raymond Marcotte of the SEC's Office of Economic Research in a staff
paper entitled Analysis of the Impact of Competitive Commission Rates on
Aggregate Price Volatility of NYSE Stock.

AGGREGATE NYSE VOLATILITY: 1928 1976

FEB

JUN

MAR APR MAY
***** ***** *****
0.58 1.13 1.09 1.63 2.05 0.89 0.82 0.76 0.85 0.86 1.56
1.92 2.01 1.26 1.61 0.99 0.95 1.30 1.63 4.57 7.20 3.02
1.73 1.18 1.31 0.97 3.39 2.24 1.42 1.76 3.37 2.92 2.39

JLY AUG
***** ***** ***** ***** ***** *****

SEP OCT NOV DEC

BASED ON DAY-TO-DAY CHANGES IN THE STANDARD & POORS COMPOSITE
INDEX. DAY-TO-DAY PERCENT CHANGES WITHIN EACH MONTH ARE RANKED
FROM LOW TO HIGH AND THE FIRST AND THIRD QUARTILES ARE COMPUTED
AND DIFFERENCED. THIS RANGE, THE INTERQUARTILE, IS USED AS THE
MEASURE OF AGGREGATE MONTHLY PRICE VOLATILITY ON THE NYSE.