Mar

8

SPYing the forest for rare daily drops worse than -3%, which (like recently) were preceeded by five days without drops worse than -1%; there were only six instances since 1993.

Checking SPY closes, identified the first subsequent close greater than the one before the big drop. Then counted wait between the pre-drop close and the first one higher than pre-drop level (trading days):

date       day ret  wait  maxdrop
03/21/03  -0.033  17  -0.055
01/28/02  -0.031  24  -0.051
01/03/00  -0.039  4    -0.083
08/26/98  -0.047  45  -0.118
04/10/97  -0.032  4    -0.032
03/07/96  -0.032  7    -0.036

The 4th column is the deepest decline from the pre 3% drop, before getting whole again. Note that the two from the recently avolatile mid-90's had fairly short waits and shallow pain compared to subsequent more volatile periods. 


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