Markets move. How unusual was it?
Closed-period price moves, measured against their own history. One engine. Five markets. No forecasts.
A quieter session. Still worth a closer look.
The largest standardized move stayed below the 2.5σ threshold.
DAX Below threshold
-1.18%
-1.48σ
About once every 8 trading sessions
164 comparable moves / 1,274 observations
Which assets are included4 assets covered
Only assets with three years of valid standardized returns after warm-up participate. Missing or stale data does not mean a calm market.
Every move of the session
Each covered asset against its own history, sorted by |σ|. Rare moves (|σ| ≥ 2.5) are highlighted.
| Asset | σ | Move | Observed rarity | Explore history |
|---|---|---|---|---|
|
DAXGermany 40 (DAX)
|
-1.48σ | -1.18% | About once every 8 trading sessions | |
SX5EEuro Stoxx 50
|
-1.06σ | -0.87% | Common move: this size or larger in 26% of observations | |
CACFrance 40 (CAC)
|
-0.63σ | -0.51% | Common move: this size or larger in 48% of observations | |
UKXUK 100 (FTSE)
|
-0.25σ | -0.16% | Common move: this size or larger in 75% of observations |
Where the whole session landed
Each dot is an asset. The outer bands begin at ±2.5σ. Points beyond ±5 retain their actual value.
Rare moves that left a mark
The longest observed intervals, by market. All records use the history available before the event.
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.
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.