Thursday, June 10, 2010
'Flash Crash' Bollinger Band Statistics
Just for grins and maybe long term research, I have compiled how many Standard Deviations the 'Flash Crash' pushed down to on various indexes. The results are:
Some pretty amazing numbers, and the resulting rally to the 5/13/10 top was influenced by these values...
Normally, of course, Bollinger Bands are computed at only a Standard Deviation of 2.0, which produces an envelope that contains most of the price action seen in markets...
Looking at the spreadsheet above, although I only have 6 examples, you can see the not unexpected tendency of the 'B' wave retracement to increase as the 'A' wave flash crash went deeper into the bands. Effects after the 'B' wave didn't really seem to be dependent on the Flash 'A' wave...