Extreme single-day price movements?

heech · Oct 24, 2009

Hi,

Does anyone have single-day price charts for the energy futures, after a major geopolitical event? I'd just like to get a very rough idea on how the markets can behave after a major, unexpected event... something on the scale of 9/11 or Katrina.

How did the crude markets react on 9/11, and how did it open on 9/12? What about the first Monday after Katrina?

Cheese · Oct 25, 2009

Quote from heech:

Does anyone have single-day price charts for the energy futures, after a major geopolitical event? I'd just like to get a very rough idea on how the markets can behave after a major, unexpected event... something on the scale of 9/11 or Katrina.

You are on the wrong tack.

NG and CL, usually, on an every day basis, offer wide movements, namely one or more big moves. 'Katrinas' or '9/11s' are not necessary.

Study the gyrations with serious purpose by looking at the detailed metrics of the energy futures markets.

heech · Oct 26, 2009

Quote from Cheese:

You are on the wrong tack.

NG and CL, usually, on an every day basis, offer wide movements, namely one or more big moves. 'Katrinas' or '9/11s' are not necessary.

Study the gyrations with serious purpose by looking at the detailed metrics of the energy futures markets.

Hi,

I'm very familiar with the day/day movements of NG/CL. I should add that I'm, as much as can be, comfortable with them.

I can tell looking at daily bars that post-Katrina, NG opened up +15%. Post 9/11, CL opened up +10%. Both of these are not typical every day moves.

I'd like to understand how it moved intra-day after such an extreme move. The daily bars aren't useful enough.