So just how big was today’s 1.8% move in the big scheme of all SPY trading days back through 1993? It certainly felt like a whopper after the extended low-volatility upward bull run we’ve been witness to.
In fact, it ranked in the 95% percentile of all daily moves, or roughly 1.41 standard deviations above the life-time norm. Was the latter statistic less than you expected given the high percent rank? That’s because the next five percent were true outliers skewing the stats.
And what happened on average the next day after such a move? That’s actually a pretty complicated question that is perhaps best answered in the context of relative positioning and volatility.
To keep it simple here, however, the answer is a goose-egg flat performance including a 52% positive win rate featuring a +6.9% max follow-on and a -6.4% retrace.
