Feb
18
Frequency of Double Digit S&P Daily Moves, from Alex Castaldo and Victor Niederhoffer
February 18, 2008 |
How often do the S&P futures change in price (up or down) by more that 10 points?
Date Num Days Num Days Year Mon Up >10 Dn >10 Tot Diff 2000 1 5 8 13 -3 2000 2 6 6 12 0 2000 3 9 6 15 3 2000 4 4 7 11 -3 2000 5 8 10 18 -2 2000 6 6 4 10 2 2000 7 6 6 12 0 2000 8 5 2 7 3 2000 9 3 6 9 -3 2000 10 5 8 13 -3 2000 11 3 10 13 -7 2000 12 6 8 14 -2 2001 1 5 3 8 2 2001 2 3 9 12 -6 2001 3 7 8 15 -1 2001 4 9 5 14 4 2001 5 4 6 10 -2 2001 6 4 5 9 -1 2001 7 3 6 9 -3 2001 8 2 8 10 -6 2001 9 4 6 10 -2 2001 10 6 3 9 3 2001 11 7 1 8 6 2001 12 3 4 7 -1 2002 1 4 3 7 1 2002 2 6 4 10 2 2002 3 4 3 7 1 2002 4 3 4 7 -1 2002 5 5 6 11 -1 2002 6 2 7 9 -5 2002 7 5 11 16 -6 2002 8 7 7 14 0 2002 9 5 7 12 -2 2002 10 8 8 16 0 2002 11 6 4 10 2 2002 12 3 6 9 -3 2003 1 4 7 11 -3 2003 2 3 4 7 -1 2003 3 3 4 7 -1 2003 4 6 3 9 3 2003 5 5 1 6 4 2003 6 4 4 8 0 2003 7 3 4 7 -1 2003 8 0 1 1 -1 2003 9 3 3 6 0 2003 10 2 2 4 0 2003 11 2 1 3 1 2003 12 4 0 4 4 2004 1 3 1 4 2 2004 2 3 0 3 3 2004 3 5 6 11 -1 2004 4 1 3 4 -2 2004 5 2 2 4 0 2004 6 1 3 4 -2 2004 7 1 3 4 -2 2004 8 3 3 6 0 2004 9 1 1 2 0 2004 10 3 3 6 0 2004 11 2 1 3 1 2004 12 2 1 3 1 2005 1 1 2 3 -1 2005 2 3 1 4 2 2005 3 2 3 5 -1 2005 4 2 7 9 -5 2005 5 2 2 4 0 2005 6 1 1 2 0 2005 7 1 1 2 0 2005 8 1 2 3 -1 2005 9 2 2 4 0 2005 10 4 6 10 -2 2005 11 3 0 3 3 2005 12 1 1 2 0 2006 1 3 1 4 2 2006 2 2 3 5 -1 2006 3 3 0 3 3 2006 4 1 2 3 -1 2006 5 3 5 8 -2 2006 6 3 5 8 -2 2006 7 3 2 5 1 2006 8 2 0 2 2 2006 9 3 1 4 2 2006 10 2 0 2 2 2006 11 2 2 4 0 2006 12 2 0 2 2 2007 1 1 2 3 -1 2007 2 2 2 4 0 2007 3 4 4 8 0 2007 4 4 1 5 3 2007 5 3 2 5 1 2007 6 3 6 9 -3 2007 7 4 6 10 -2 2007 8 10 6 16 4 2007 9 3 3 6 0 2007 10 6 4 10 2 2007 11 6 9 15 -3 2007 12 6 7 13 -1 2008 1 7 11 18 -4 2008 2* 4 4 8 0 . Autocorr 0.658 0.197
The highest volatility (by this measure) occurred in January 2008, with 18 double-digit moves, although we have a tie with May 2000.
Generally, there were a lot of such days (>10) in 2000-2002, few in 2003-2006, and many again starting in July of 2007.
Comments
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