Max daily rise of stocks in pct and stddev in last 20 years

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earth_imperator

Can someone who has the historic US EOD stocks data of the last 20 years or so answer this question(s):

1) What was the top 10 highest daily stock price risings in percent?
2) What was the corresponding stddev of each in question #1?

Best if done for all stocks whose DailyTurnover is >= $50k, where DailyTurnover is defined as AvgVolume * AvgPrice.
Of course any errenous spikes should be filtered out.

The result can help us when defining a stddev range like -xSD to +ySD,
because I think it does not make sense to use -3SD to +3SD with options with high IV (for example IV >= 150);
it rather should be like -3SD to +1.5SD or so to be realistic,
b/c +3SD can mean more than 600% rise in stock price (within a day!).
But is this realistic in practice? IMO not.
 
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Somebody who's so diligent in finding fake news to spew Chinese propaganda garbage is too lazy to find market data for one of the most traded assets and wants everybody to do his bidding for him. LOL

Go to Google.com and type "highest daily movement of stocks from 2000" into the search bar and hit the "Enter" key on the keyboard.
 
Usually largest movements should be around any earnings news. So the question is you should not trade on those news and thus looking only movements without important news to get a more realistic picture ? Otherwise you could always save your time and just look in the earnings calendar of any stock.
 
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After researching it a while I decided to use this simple convention for me:

LowerBound: -3SD
UpperBound: +150% (that's 150 percent rise on top of the initial mean (= spot), ie. the corresponding xSD then varies, is much less than +3SD, usually about just half of it)

Using IV as SD, for simplicity, as HV is not avail in my data source.
This means: assuming stock can rise upto 150% within the DTE (usually <= 90d), and can fall upto 3SD.
Just some theoretical bounds used for ranking (filtering) options candidates.
 
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TheDawn said:
Somebody who's so diligent in finding fake news to spew Chinese propaganda garbage is too lazy to find market data for one of the most traded assets and wants everybody to do his bidding for him. LOL

Go to Google.com and type "highest daily movement of stocks from 2000" into the search bar and hit the "Enter" key on the keyboard.
More...
Good thing the earth-propagandist doesn't live in China .... where Google is not available. One of the very few countries in the world that is the case.
 
I have shown this chart before. It's a frequency plot of daily price change(%) by sector. Red is current day and blue is average of 10 days. The shape of curve is about the same except but it just shift left and right. When DJI gain a few hundred points, the curves will shift to the right significantly vice-versa. This is often refer to as reversion to the mean. When the market is trending, the red and blue curves are close to each other.

Daily_freq_chart.jpg
 
earth_imperator said:
Can someone who has the historic US EOD stocks data of the last 20 years or so answer this question(s):

1) What was the top 10 highest daily stock price risings in percent?
2) What was the corresponding stddev of each in question #1?

Best if done for all stocks whose DailyTurnover is >= $50k, where DailyTurnover is defined as AvgVolume * AvgPrice.
Of course any errenous spikes should be filtered out.

The result can help us when defining a stddev range like -xSD to +ySD,
because I think it does not make sense to use -3SD to +3SD with options with high IV (for example IV >= 150);
it rather should be like -3SD to +1.5SD or so to be realistic,
b/c +3SD can mean more than 600% rise in stock price (within a day!).
But is this realistic in practice? IMO not.
More...
Here you have a lot of data on this website as my suggestion (might be useful for you or not, do not know exactly what you all are looking for). https://marketchameleon.com/Calendar/Earnings
 
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