Limit Points of the Great Moderation, from Kim Zussman

September 19, 2008 |

This week's normalized range in SP500 was 6th highest of the 3000+ weeks since January 1950. Normalized range is defined as:

[(week high)-(week low)] / [(week high)+(week low)]/2

(the high minus the low over the midpoint between the high and low)

Here are the biggest ranges (in chronological order), and the respective dates:

[Ed.: this table was updated at 1pm September 20 to correct an error in the previous version. Many thanks to a reader for pointing out the error].

Comments

3 Comments so far

George Parkanyi on September 19, 2008 10:41 pm
OK, so our .110 is almost exactly the same as the .111 week of 1987/10/12, and then the next Monday was 1987/10/19 … ooh
Alice Allen on September 20, 2008 10:21 am
Are you sure that your program identified the Week of 2001/09/10 rather than the Week of 2001/09/17? Perhaps this is only a typo?
You state that “…the weeks are identified by the date of the Monday that starts the week. The calculation of range is, of course, performed at week’s end, Friday.” However, the market was only open on 9/10/2001 that week (i.e., not open on Friday to calculate the range in this manner). The market seems to have opened on Monday 9/17 at the level of the close of 9/10. The big range you are looking for seems to have been the week of 9/17 (Monday to Friday).
kim zussman on September 20, 2008 11:45 am
Alice here are the Yahoo weekly data for the week starting Monday 9/10/01 (used for normalized range calculation):
Date Open High Low Close
9/10/2001 1086 1097 945 966
The market was closed the rest of that week. Evidently OHLC for this "week" includes Monday 9/10 - Friday 9/21:
Date Open High Low Close weekday
9/21/2001 985 985 945 966 F
9/20/2001 1016 1016 984 985 Th
9/19/2001 1033 1039 985 1016 W
9/18/2001 1039 1046 1029 1033 Tu
9/17/2001 1093 1093 1037 1039 M
9/10/2001 1086 1097 1073 1093 M
Thanks for pointing this out.