4 ms·
Worst drop ever for the Nasdaq Index today: -12%. These aren't 1, 2 or 3 standard-deviation events... these are more like 6 or 7 standard-deviations from the me
by anonu 7y ago
Worst drop ever for the Nasdaq Index today: -12%. These aren't 1, 2 or 3 standard-deviation events... these are more like 6 or 7 standard-deviations from the mean...
- whatshisface 7y agoThat's not so impossible for the stock market whose distribution has a big, long negative tail. (If you plot the daily delta of the logarithm of the S&P you will see that it looks like a normal distribution, except with a fat long tail of very bad days.) It goes up little by little except on the days it goes down by a lot.
- marcinjachymiak 7y agoIf you're experiencing 6 sigma events daily, your modelling is wrong.
- hn_throwaway_99 7y agoIt's "wrong" because the stock market doesn't follow a normal distribution but instead a power law.
- usaar333 7y agoVix is currently at 82%, rather than a more typical 15%. You should expect daily fluctuations of 5 to 6x what is ordinary for the next month. In fact today's drop is only about 1 standard deviation.
- raincom 7y agoVIX was suppressed so long through shorting VIX futures via ETNs like $XIV, $SVXY up until Feb 5, 2018. Then the latter ETNs blew up. Lots of people made money just buying these ETNs. This was one way VIX was suppressed.