Sep

4

You have to hand it to the market mistress. Friday's decline at open was the worst since march 15 at 21 points and only happened twice in 2010. In the year 2008, it happened 18 times.

Number of declines at open of more than 20 points:

1996-1997 0

1998 3

1999 3

2000 9

2001 5

2002 1

2003 to 2006 0 each year

2007 1

2008 18

2009 6

2010 2

2011 2

12 years 50 occurrences. 4 a year. Chi square about 50. Expectation is number of years -1 the degrees of freedom. Standard error (2 x11) square root. Value is 7 standard errors from expectation. 1 in millions. Probability. Definite evidence of clustering of big down opens. Definite evidence of clustering.

It is interesting to note that there were 38 big up opens of more than 20 during that period, lower but not significantly so than the 50 big down opens. Some evidence that at opens the volatility on the down side is greater.


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