Today’s futures makes the latest missive from Andrew Horowitz of the Disciplined Investor all the more timely: How does all of the volatility these days compare historically to past market cycles?

Looking at daily and intraday moves over a long period, 2008 has had some of the biggest daily moves, only second to the 1930′s. On a point basis, it has been significant. But from a historical perspective, the recent action does not make a big showing in the Top 25 on a percentage basis.

First is a look at the biggest net point gains and percent moves on an intraday basis:


*Intraday data starts 1/2/1987.

Next, the best and worst daily net point gains. Notice that there are several during 2011.

Finally, the best and worst days on a percentage basis. The 1930′s takes the award.


**Earliest available date for daily gains and losses after 1/1/1901 is 1/2/1901 or the next trading day.

Source: The Disciplined Investor

Category: Cycles, Markets, Technical Analysis

Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data and lack of respect for scientific knowledge. Be sure to create straw men and argue against things I have neither said nor implied. If you could repeat previously discredited memes or steer the conversation into irrelevant, off topic discussions, it would be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.

7 Responses to “Dow Jones Industrial’s Biggest Daily & Intraday Moves”

  1. AHodge says:

    i have put all these data into my Value At Risk Model
    and run the efficient market equations
    these results are impossible
    refereed journal article to follow

  2. brianj997 says:

    The last chart is good example why you pay more for puts than calls with all other variables equal.

  3. SINGER says:

    Nice stuff!

    2011 isnt over yet…

  4. NotQuiteSo says:

    Various industry participants seem to sometimes try to reassure the public about recent volatility by pointing out the 1930s were as volatile as today’s markets. (See http://www.tradersmagazine.com/news/sifma-conference-volatility-continues-109565-1.html)

    But US stock markets in the 1930s were a fraction of their size today. A typical trading day in the 1930s was less than two million shares (see http://www.nyxdata.com/nysedata/asp/factbook/viewer_edition.asp?mode=table&key=2083&category=4).

    Obviously we should scale that figure by some reasonable metric to compare it to today’s economy, and using GDP as a proxy (in inflation-adjusted dollars) we should scale it by a factor of approximately 20, or about 40 million shares.

    In other words, if trading volumes today were at the same ratio to GDP as they were in the 1930s we would be trading about 40 million shares a day. Instead, we trade around seven or eight billion shares a day. So annual share turnover today is 200 times what it was in the 1930s, relative to GDP.

    But that’s measuring on share volume. Let’s also measure activity on value traded relative to GDP. A back of the envelop calculation shows average annual trading value in the 1930s to be in the range of 10-20% of GDP. In 2010 that number is about 200% of GDP, or, at minimum, 10 times what it was in the 1930s.

    In these terms, comparing our stock market today to the market of the 1930s is absurd. The comparison is of a giant to a mouse, a rhetorical sleight of hand apparently intended to pacify a public worried about market volatility when in fact the public is absolutely right to be worried about it.

    Never before in US history has an equities market of this size relative to its underlying economy exhibited such persistent volatility.

    Never.

  5. machinehead says:

    A couple of statistical observations on the final table, ‘Worst Percentage Losses Since 1901′:

    1. October alone accounts for 11 of 25 worst percentage losses, or 44%.

    2. Autumn (late Sep. to late Dec.) accounts for 16 of 25 worst percentage losses — 64% of them, though autumn is only one-fourth of the year.

    Coincidence? I reckon not!

  6. nizer says:

    The number of daily Dow moves of more than 3% High to Low by decade:
    1930s 726
    1940s 33
    1950s 9
    1960s 18
    1970s 109
    1980s 141
    1990s 220
    2000s 639
    2010s 36

    Years with 100 or more daily Dow moves of more than 3% High to Low:
    1931 163
    1932 217
    1933 151
    2000 204
    2008 119

  7. NotQuiteSo says:

    @nizer – Excellent info. Keeping in mind that the market in the 1930s was tiny (illiquid) compared to today, your numbers underscore the unprecedented volatility of the last decade. Yes, the last decade has been politically and economically turbulent, but the 1940s through the 1990s were turbulent as well – WWII, Korea, Vietnam, the Cuban Missile Crisis, the Berlin airlift, social upheavals in the 1960s, and on and on. There’s no doubt volatility today is driven by fundamentals, but there’s also no doubt a byzantine and deregulated market structure is driving volatility.