+1 sessions
Median return +0.27%Completed observations: 18
- Middle 50%
- -0.90% … +0.78%
- Positive returns
- 56%
PepsiCo · Sigma Moves
Closed-period price moves, measured against their own history. One engine. Five markets. No forecasts.
Latest closed period
PepsiCo's latest move against its own history.
PEP Rare
+2.26%
+2.72σ
About once every 36 trading sessions
35 comparable moves / 1,258 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 +0.72%Completed observations: 18
- Middle 50%
- -0.31% … +2.15%
- Positive returns
- 61%
+30 sessions
Median return +3.16%Completed observations: 18
- Middle 50%
- -5.97% … +7.24%
- Positive returns
- 61%
Every rare move, in context
Instrument: PEP (price return)
| Date | σ | Move | Observed rarity | +1 sessions | +7 sessions | +30 sessions |
|---|---|---|---|---|---|---|
| 6 Jan 2023 | +2.72σ | +2.26% | About once every 36 trading sessions35 comparable moves / 1,258 observations | -0.98% | -5.23% | -2.72% |
| 12 Oct 2022 | +3.54σ | +4.18% | About once every 140 trading sessions9 comparable moves / 1,258 observations | +3.08% | +2.17% | +9.26% |
| 13 Sep 2022 | -4.00σ | -3.73% | About once every 207 trading sessions6 comparable moves / 1,243 observations | +0.76% | +0.71% | +6.49% |
| 26 Aug 2022 | -2.96σ | -2.36% | About once every 77 trading sessions16 comparable moves / 1,232 observations | -0.31% | -1.02% | -7.55% |
| 18 May 2022 | -4.73σ | -6.20% | 4 times in 5 years4 comparable moves / 1,163 observations | -1.50% | +4.96% | +3.51% |
| 4 May 2022 | +2.57σ | +3.49% | About once every 29 trading sessions40 comparable moves / 1,153 observations | -2.00% | -0.08% | -9.68% |
| 29 Apr 2022 | -3.20σ | -3.26% | About once every 105 trading sessions11 comparable moves / 1,150 observations | -2.30% | -0.13% | -6.97% |
| 25 Feb 2022 | +2.93σ | +2.80% | About once every 69 trading sessions16 comparable moves / 1,106 observations | -2.76% | -6.24% | +2.82% |
| 28 Jan 2022 | +2.62σ | +1.95% | About once every 30 trading sessions36 comparable moves / 1,087 observations | +0.49% | -0.38% | -9.72% |
| 30 Nov 2021 | -2.93σ | -2.66% | About once every 70 trading sessions15 comparable moves / 1,046 observations | +0.24% | +4.09% | +8.84% |
| 8 Nov 2021 | -2.74σ | -2.15% | About once every 38 trading sessions27 comparable moves / 1,031 observations | +0.66% | +0.58% | +4.00% |
| 6 Oct 2021 | +3.52σ | +2.56% | About once every 144 trading sessions7 comparable moves / 1,008 observations | +0.92% | +2.48% | +5.43% |
| 13 Jul 2021 | +3.41σ | +2.31% | About once every 119 trading sessions8 comparable moves / 948 observations | +1.03% | +1.46% | +1.92% |
| 18 Jun 2021 | -2.88σ | -2.09% | About once every 58 trading sessions16 comparable moves / 932 observations | +0.78% | +1.05% | +7.50% |
| 5 Mar 2021 | +3.06σ | +3.26% | About once every 95 trading sessions9 comparable moves / 859 observations | -0.68% | +0.74% | +8.81% |
| 27 Jan 2021 | -2.87σ | -2.65% | About once every 56 trading sessions15 comparable moves / 833 observations | +0.83% | +2.12% | -3.49% |
| 4 Jan 2021 | -3.64σ | -2.72% | About once every 163 trading sessions5 comparable moves / 817 observations | +0.30% | -1.16% | -6.80% |
| 28 Oct 2020 | -3.26σ | -3.56% | About once every 110 trading sessions7 comparable moves / 772 observations | -0.13% | +3.14% | +7.83% |
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.