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:

$SOX 4.5950
$RUT 5.0045
$NYSE 5.1346
$SPX 6.4519
$NDX 7.0448
$INDU 7.86945

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...

1 comment:

Anonymous said...

hey Mark,

not able to be at screen until now. Can say if I had been, and shorted the opening rally, I sure as heck would be covering NOW (1:24pm).

Looks like the hard cross is softening. LOL! Scenario #1 still in play.

All along, I've had the 1125 area as target with an intraday high on that day of 1135ish. This is based primarily on island reversal pattern I think I see just above on the SPX.

whoops, phone ringing

Potential swan: maybe foreign gubermints are putting their "worthless" reserve dollars to work?? However, the deflationary stage is set, IMO... so, why now??