A Two Sigma Day

The lower part of the chart below shows how far each day’s price movement deviates from its 21-day mean; the dotted lines mark two standard deviations up and down.  With SPX at 895.70, today looked to be one of those two sigma days. The last such occurrence was on March 2nd of this year, a few days before what the “green shoots” crowd desperately hopes will have been the market bottom.  From a cursory glance at prior instances I draw no conclusions; one could easily run a “one day/week/month later” test on these days, though I’m not sure why we would care about the result.

2009-06-22-spx

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Jared Woodard specializes in trading volatility as an asset class. With over a decade of experience trading options and other volatility products ... Read More

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