Correspondent David S. Products remarked, in his usual understated manner, that “the Dow traded tightly within a narrow range” to close the week. So just how historic was Fractious Friday™?
It was a 10.9 standard deviation event, based on the DJIA’s performance — measured in the high-low point range as a percentage of the previous day’s close — so far in 2008.
However, no injuries resulted because the airbags were already deployed in the 7.95, 7.70, 6.92 and 9.19 events on Monday through Thursday respectively.
Through Friday, the average intraday high-low DJIA move was 2.94 percent; through Aug. 29 that number had stood at a modest 2.62 percent, virtually the same as the 2.64 percent racked up in the allegedly tumultuous 1987.
Remember 2006? The average intraday high-low DJIA move was 1.47 percent, exactly half 2008’s year-to-date performance.
Beat-the-geeks disclaimers, clarifications and sordid details:
Data was downloaded from Yahoo! Finance; it is flawed to the extent that it reports the high-low based on a calculation assuming all stocks trade at their respective highs and lows at the same time. It consequently reports a wider intraday range — 1215.42 on Friday, for example — than the actual range of 1018.77.
Given the consistency of the data series, a calculation based on the real intraday ranges would likely produce similar results; i.e. while the data exaggerates the intraday range, it similarly exaggerates the standard deviation.
Standard deviation was calculated using the Excel STDEVP function on the daily high-low point range expressed as a percentage of the prior day’s close. For example, Friday’s 1215.42 DJIA point range (see 1. above) was 14.17 percent of Thursday’s 8579.19.
