US Stock Market Volatility Patterns During Holidays and Strategies to Mitigate Low Liquidity Risks

• Observation over the past 90 days (2025-08-20 to 2025-12-26): The daily standard deviation of S&P 500 volatility is approximately 0.72%, and the CBOE Volatility Index (VIX) decreased from 15.95 to 13.60 during this period, with a 20-day moving average of around 15.75, indicating overall mild volatility [0].
• Holiday season period from November 2024 to January 2025: The average daily volatility (standard deviation) was approximately 0.88%, and the S&P 500 rose by about 3.96% cumulatively during this period, showing mild volatility despite fluctuations [0].
• Longer historical sample (Thanksgiving/Christmas periods from 2020 to 2024): The average volatility during holiday periods was approximately 0.69%, usually lower than or close to the average of regular trading days, reflecting the long-term pattern of narrowed volatility [0].
• Real-time market data (updated 2025-12-28): VIX is around 13.60, which is in the historical low range (52-week range: 13.38–60.13), confirming the current low-volatility environment [0].

• Recent sample (around Thanksgiving/Christmas 2025): The average trading volume during Christmas was approximately 64% of the regular level (0.67x), and around Thanksgiving it was about 91% (0.91x), consistent with reduced institutional and individual participants and shorter trading hours during holidays [0].
• Statistics for the holiday season period (2024-11-01 to 2025-01-15): The average daily trading volume was approximately 4.18 billion shares, with a total volume of around 209.22 billion shares [0].
• Media reports also confirm the slowdown in market activity and light trading during Thanksgiving and Christmas [1][2][4].

• Historical sample from 2020 to 2024: The average daily return during Christmas was approximately 0.404%, with an average period return of about 1.0%; the average daily return during Thanksgiving was approximately 0.183%, with an average period return of about 0.55%, showing an overall positive bias and low volatility [0].
• Post-holiday effect: The overall trend during the holiday season period often moves upward; the S&P 500 rose cumulatively by about 3.96% from November 2024 to January 2025, indicating the “amplification” effect of improved post-holiday sentiment on prices [0][5].

• Widening bid-ask spreads and increased slippage are typical characteristics during holidays. Low trading volume and large orders are more likely to impact prices; history and media have warned of “potential volatility in post-holiday short sessions” and short-term liquidity shortages [2][4].
• Intraday volatility may be amplified by external news or technical adjustments, even if overall daily volatility is low.

• Data coverage: Both the recent 90 days (2025-08-20 to 2025-12-26) and the 2024 holiday season period (November 2024 to January 2025) show mild volatility, low trading volume, and an overall upward trend [0].
• Daily samples around Thanksgiving (November 27) and Christmas (December 25) in 2025:
  • S&P 500: The average daily return around Thanksgiving was approximately 0.57%, with volatility of about 0.693%; the average daily return around Christmas was approximately 0.35%, with volatility of about 0.284% [0].
  • VIX: The average during normal trading days was approximately 18.22; during Thanksgiving it was about 17.74; during Christmas it was about 13.79, indicating significantly narrowed volatility expectations during holidays [0].
  • Trading volume: The average trading volume during Christmas was approximately 64% of the regular level (53.86 million vs. 84.43 million), and around Thanksgiving it was about 80% (67.79 million vs. 84.43 million) [0].
• Media and market observations also point to the market entering a “low volatility mode” at the end of the year; although there was discussion of “unusual volatility” in December 2025, the overall pattern was still light trading and narrowed volatility [2][3].

• The chart above shows the S&P 500, VIX, and daily return distribution from October to December 2025. The orange shaded area is around Thanksgiving (before and after 11/27), and the red shaded area is around Christmas (before and after 12/25). It can be直观地 seen that:
  • VIX was below the 20-day moving average around holidays and generally low.
  • The magnitude of daily returns around holidays was generally narrow, with occasional small amplifications on individual days due to news or adjustments.

• Reduce leverage and position size: Large trades are more prone to slippage in low-liquidity environments; moderately reduce positions to lower execution costs.
• Use limit orders instead of market orders: Avoid excessive slippage caused by market orders in light trading.
• Diversify execution time: Split large orders and spread them over time to reduce instantaneous impact on the order book.
• Pay attention to pre-market/after-hours and short session risks: Markets may close early or be closed during holidays; note trading hours and liquidity windows.

• Set reasonable stop-loss/take-profit levels: In low-liquidity environments, prices may “gap”, and regular stop-losses may not be triggered in time.
• Avoid increasing positions during key data/event windows: If macro data or unexpected events occur near holidays, both price and liquidity volatility may be amplified.
• Use hedging tools: Appropriate options or volatility-related exposures (e.g., VIX futures/options) can hedge tail risks, but note costs and contract liquidity.

• Moderately increase the weight of cash and defensive assets: Cash in profits appropriately before holidays and increase cash proportion.
• Evaluate Gamma risk: Option sellers need to be alert to rapid losses caused by amplified Gamma.
• Long-term perspective: If there is no urgent trading need, reduce high-frequency operations and maintain long-term allocation rhythm.

• “Santa Claus rally” and post-holiday effect: Historical statistics show that the period from the end of the year to the beginning of the next year is often upward (e.g., the 2024–2025 holiday season period saw a cumulative increase of about +3.96%) [0]. If short-term volatility leads to mispricing, moderately seize opportunities to buy quality assets on dips, but control positions and build positions in batches.
• Volatility strategies: When VIX is relatively low, selling volatility moderately requires more caution; if volatility rises rapidly, pay attention to applicable scenarios for option strategies (e.g., straddles or spreads).

• Thanksgiving in 2025 is November 27 and Christmas is December 25; the current date is December 29, 2025; the above recent and historical samples have been aligned with the actual calendar to avoid year confusion.
• Data and information update frequency decreases during holidays; decisions need to be more cautious: Prioritize official calendars and exchange announcements, and avoid overtrading when information is lagging.

[0] Jinling API Data (includes: S&P 500 and VIX daily line/index, Python statistical analysis)
[1] Yahoo Finance - Christmas Bell Not Ringing? US Stocks May See Unusual Volatility in December (https://hk.finance.yahoo.com/news/聖誕鐘敲不響？美股12月或反常添波動-060849422.html)
[2] WSJ Chinese Edition - US Stocks Consolidate Sideways; Wall Street Awaits Holiday Rally (https://cn.wsj.com/articles/美股横盘整理-华尔街期待节日行情-37d2c78f)
[3] Yahoo Finance - US Stock Index Futures Resume Trading After Technical Issues; Post-Thanksgiving Short Session May See Volatility (https://hk.finance.yahoo.com/news/美股-期指於技術問題後恢復交易-感恩節後短市或現波動-140358825.html)
[4] Bloomberg - Retail Stocks Need Unlikely Holiday Miracle to Save Rough 2025 (https://www.bloomberg.com/news/articles/2025-11-22/retail-stocks-need-unlikely-holiday-miracle-to-save-rough-2025)
[5] Investopedia - What to Expect in Markets This Week: Christmas Holiday, GDP… (https://www.investopedia.com/what-to-expect-in-markets-this-week-christmas-holiday-q3-gdp-consumer-confidence-jobless-claims-11871934)