100 Largest Declines, by Victor Niederhoffer
Below is the distribution of months between the chronological record of the 100 largest declines in S&P futures from January ‘01 to date. Starting with the January 2, 2001 decline of 27.1 points and ending with today’s, decline of 19.3 points, they range in size from a 57.0 point decline on 9/19/2001 to a 17.3 point decline on 8/28/2001.
| Months Between Consecutive Declines in Top 100 | |
| Number of Months | Number of Observations |
| 0 | 61 |
| 1 | 28 |
| 2 | 03 |
| 3 | 03 |
| 4 | 02 |
| 6 | 01 |
| 14 | 01 |
The average duration between each of the top 100 declines was 1.5 months. A time series of the durations between consecutive large declines however shows that the average duration between them was 1/3 of a month in 2001, 1/4 of a month in 2002, 1 month in 2003, 1 and 3/4 months in 2004 , 14 months in 2005, and 2 months in 2006.
Kim Zussman adds:
Since late 2003, big daily moves (up or down more than 1%) look to be less frequent, as well as smaller, which fits with the secular decline in volatility. The frequency change is shown by counting moves per year:
| Year | Down | Up | Up/Down |
| 2006 | 13 | 13 | 1 |
| 2005 | 21 | 16 | 0.76 |
| 2004 | 22 | 23 | 1.05 |
| 2003 | 38 | 42 | 1.11 |
The ratio of up/down is 1 or more for all years, except for 2005 (Which fits with other studies suggesting interval-returns scale contemporaneously to count down days).
Another observation is that yesterday’s decline is the first in a while, whereas big advances have been more evenly spaced. In fact when ranking gaps between big declines, yesterday’s was the longest hiatus dolor of any since January 2003.