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U.S. Dollar / Swiss Franc · Sigma Moves

Closed-period price moves, measured against their own history. One engine. Five markets. No forecasts.

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Latest closed period

U.S. Dollar / Swiss Franc's latest move against its own history.

9 June 2023 · Daily
Rare moves on record22
Latest rare move-2.98σ9 Jun 2023 Largest move+5.83σ1 Jan 2021
USDCHF Rare -1.19% -2.98σ About once every 69 trading sessions 19 comparable moves / 1,302 observations

What happened afterwards

All history-qualified moves of at least 2.5σ. Results after the event are descriptive statistics, not trading instructions.

+1 sessions

Median return -0.08%

Completed observations: 22

Middle 50%
-0.32% … +0.28%
Positive returns
41%

+7 sessions

Median return -0.04%

Completed observations: 22

Middle 50%
-0.88% … +0.67%
Positive returns
50%

+30 sessions

Median return -1.21%

Completed observations: 22

Middle 50%
-2.87% … +0.43%
Positive returns
36%

Every rare move, in context

Instrument: USDCHF=X (price return)

DateσMoveObserved rarity+1 sessions+7 sessions+30 sessions
9 Jun 2023 -2.98σ -1.19% About once every 69 trading sessions19 comparable moves / 1,302 observations +0.50% -0.32% -3.61%
16 Mar 2023 +2.70σ +1.81% About once every 54 trading sessions24 comparable moves / 1,302 observations -0.20% -1.20% -4.32%
13 Mar 2023 -2.66σ -1.55% About once every 47 trading sessions28 comparable moves / 1,302 observations -0.64% +0.33% -2.91%
14 Nov 2022 -2.65σ -2.16% About once every 46 trading sessions28 comparable moves / 1,300 observations -0.09% +0.75% -1.18%
11 Nov 2022 -2.72σ -1.89% About once every 59 trading sessions22 comparable moves / 1,300 observations -2.16% -0.67% -3.51%
7 Nov 2022 -2.63σ -1.65% About once every 48 trading sessions27 comparable moves / 1,300 observations -0.79% -5.40% -6.24%
29 Sep 2022 -2.53σ -1.40% About once every 42 trading sessions31 comparable moves / 1,300 observations -0.28% +1.73% +0.60%
17 Jun 2022 -5.08σ -2.80% 1 times in 5 years1 comparable moves / 1,230 observations +0.29% -1.09% -1.27%
20 May 2022 -3.02σ -1.52% About once every 81 trading sessions15 comparable moves / 1,210 observations +0.29% -1.43% -1.76%
6 May 2022 +2.99σ +1.23% About once every 75 trading sessions16 comparable moves / 1,200 observations +0.42% +1.68% -1.87%
15 Apr 2022 +2.84σ +0.97% About once every 66 trading sessions18 comparable moves / 1,185 observations -0.06% +1.63% +1.66%
13 Jan 2022 -2.54σ -1.01% About once every 43 trading sessions26 comparable moves / 1,119 observations -0.34% -0.16% +0.36%
11 Jan 2022 +2.62σ +0.91% About once every 47 trading sessions24 comparable moves / 1,117 observations -0.40% -1.25% -1.24%
29 Nov 2021 -3.32σ -1.17% About once every 136 trading sessions8 comparable moves / 1,086 observations -0.16% +0.01% -0.59%
9 Aug 2021 +2.95σ +1.00% About once every 63 trading sessions16 comparable moves / 1,006 observations +0.55% -0.09% +1.80%
9 Jul 2021 -3.11σ -1.15% About once every 90 trading sessions11 comparable moves / 985 observations -0.08% +0.41% +0.46%
17 Jun 2021 +3.31σ +1.12% About once every 121 trading sessions8 comparable moves / 969 observations +1.00% +0.90% +0.11%
24 Feb 2021 +2.68σ +1.05% About once every 49 trading sessions18 comparable moves / 888 observations +0.17% +2.67% +2.91%
4 Jan 2021 -3.06σ -1.67% About once every 85 trading sessions10 comparable moves / 851 observations -0.21% +0.32% +0.98%
1 Jan 2021 +5.83σ +1.87% Not previously observed in 3 years0 comparable moves / 850 observations -1.67% -0.94% -0.89%

The number has a method behind it

Sigma measures the size of a log return relative to volatility estimated before the period. Rarity is counted from actual historical standardized moves, not inferred from a normal distribution.

σt = ln(Ct / Ct−1) / vtvt ← t−1, t−2, …

Volatility adapts to the market regime with EWMA (λ = 0.94 for daily and weekly observations). Current-period returns are excluded. Each historical σ uses its own prior volatility.

Both directions count toward rarity. Reference history spans up to five years. A period with no prior exceedances is labelled unprecedented in the observed sample; it is never given an invented recurrence interval.

Stock observations use split-adjusted price returns, without dividend reinvestment. Commodities are explicitly labelled ETF price proxies; they do not represent spot commodity prices.

Questions behind the sigma

What does a 3σ move mean?

The period log return is three times the volatility estimated from earlier periods. Sigma is signed: negative for declines and positive for rises.

Why not calculate rarity from a normal distribution?

Market returns have heavy tails and changing volatility. We count actual past absolute sigma exceedances for the same instrument and period.

Does “once every 200 days” predict the next event?

No. It is the number of historical observed periods divided by comparable moves. Events can cluster and the market regime can change.

How much history is required?

At least three years of valid standardized observations, after a one-year volatility warm-up. This normally requires approximately four years of source history.

Are all instruments directly comparable?

The engine is shared, but each instrument has its own prices, calendar, volatility and reference sample. Commodity cards use explicitly labelled ETF proxies.

What happens on quiet days?

The page shows the largest covered standardized move, the complete rarity scale and recent records. Missing data is reported separately from market calm.

For information only. Historical observations are not investment advice and do not predict future moves. A rare move can be followed by another rare move.