+1 sessions
Median return +0.42%Completed observations: 24
- Middle 50%
- -0.38% … +0.96%
- Positive returns
- 63%
UK 100 (FTSE) · Sigma Moves
Closed-period price moves, measured against their own history. One engine. Five markets. No forecasts.
Latest closed period
UK 100 (FTSE)'s latest move against its own history.
UKX Rare
+1.72%
+2.57σ
About once every 33 trading sessions
38 comparable moves / 1,259 observations
What happened afterwards
All history-qualified moves of at least 2.5σ. Results after the event are descriptive statistics, not trading instructions.
+7 sessions
Median return +1.02%Completed observations: 24
- Middle 50%
- -0.63% … +3.07%
- Positive returns
- 67%
+30 sessions
Median return +2.30%Completed observations: 24
- Middle 50%
- -0.10% … +4.09%
- Positive returns
- 71%
Every rare move, in context
Instrument: ^FTSE (price return)
| Date | σ | Move | Observed rarity | +1 sessions | +7 sessions | +30 sessions |
|---|---|---|---|---|---|---|
| 29 Aug 2023 | +2.57σ | +1.72% | About once every 33 trading sessions38 comparable moves / 1,259 observations | +0.12% | -0.31% | +2.19% |
| 12 Jul 2023 | +2.51σ | +1.83% | About once every 32 trading sessions39 comparable moves / 1,259 observations | +0.32% | +3.34% | -1.29% |
| 6 Jul 2023 | -3.70σ | -2.17% | About once every 126 trading sessions10 comparable moves / 1,259 observations | -0.32% | +1.73% | +0.41% |
| 24 May 2023 | -3.04σ | -1.75% | About once every 52 trading sessions24 comparable moves / 1,259 observations | -0.74% | -0.36% | -4.54% |
| 15 Mar 2023 | -4.36σ | -3.83% | About once every 210 trading sessions6 comparable moves / 1,260 observations | +0.89% | +0.83% | +7.16% |
| 13 Mar 2023 | -4.23σ | -2.58% | About once every 210 trading sessions6 comparable moves / 1,260 observations | +1.17% | +0.24% | +4.03% |
| 10 Mar 2023 | -3.56σ | -1.67% | About once every 126 trading sessions10 comparable moves / 1,260 observations | -2.58% | -2.74% | +1.84% |
| 21 Dec 2022 | +2.74σ | +1.72% | About once every 38 trading sessions33 comparable moves / 1,260 observations | -0.37% | +1.17% | +4.53% |
| 4 Nov 2022 | +2.60σ | +2.03% | About once every 33 trading sessions38 comparable moves / 1,260 observations | -0.47% | +0.47% | -0.04% |
| 4 Oct 2022 | +2.68σ | +2.57% | About once every 35 trading sessions36 comparable moves / 1,260 observations | -0.48% | -3.33% | +3.99% |
| 1 Sep 2022 | -2.73σ | -1.86% | About once every 36 trading sessions34 comparable moves / 1,239 observations | +1.86% | +4.54% | -4.05% |
| 16 Jun 2022 | -2.81σ | -3.14% | About once every 41 trading sessions29 comparable moves / 1,185 observations | -0.41% | +3.03% | +4.26% |
| 25 Feb 2022 | +3.08σ | +3.92% | About once every 62 trading sessions18 comparable moves / 1,111 observations | -0.42% | -7.02% | +2.40% |
| 24 Feb 2022 | -4.90σ | -3.88% | 2 times in 4 years2 comparable moves / 1,110 observations | +3.92% | -3.43% | +4.78% |
| 24 Jan 2022 | -3.46σ | -2.63% | About once every 99 trading sessions11 comparable moves / 1,087 observations | +1.02% | +3.92% | -4.63% |
| 26 Nov 2021 | -7.84σ | -3.64% | Not previously observed in 4 years0 comparable moves / 1,049 observations | +0.94% | +4.20% | +7.21% |
| 19 Jul 2021 | -3.06σ | -2.34% | About once every 56 trading sessions17 comparable moves / 956 observations | +0.54% | +2.52% | +4.02% |
| 18 Jun 2021 | -3.27σ | -1.90% | About once every 85 trading sessions11 comparable moves / 935 observations | +0.64% | +1.00% | +0.21% |
| 11 May 2021 | -3.37σ | -2.47% | About once every 91 trading sessions10 comparable moves / 908 observations | +0.81% | +1.03% | +1.81% |
| 20 Apr 2021 | -2.90σ | -2.00% | About once every 45 trading sessions20 comparable moves / 894 observations | +0.52% | +1.48% | +2.98% |
| 26 Feb 2021 | -2.95σ | -2.53% | About once every 54 trading sessions16 comparable moves / 859 observations | +1.62% | +3.81% | +6.28% |
| 15 Feb 2021 | +2.95σ | +2.52% | About once every 53 trading sessions16 comparable moves / 850 observations | -0.11% | -1.44% | -0.29% |
| 6 Jan 2021 | +3.14σ | +3.47% | About once every 75 trading sessions11 comparable moves / 822 observations | +0.22% | -1.55% | -1.91% |
| 9 Nov 2020 | +3.77σ | +4.68% | About once every 131 trading sessions6 comparable moves / 785 observations | +1.79% | +3.22% | +3.72% |
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.