Frequency of Double Digit S&P Daily Moves, from Alex Castaldo and Victor Niederhoffer
How often do the S&P futures change in price (up or down) by more that 10 points?
Date Num Days Num Days
Year Mon Up >10 Dn >10 Tot Diff
2000 1 5 8 13 -3
2000 2 6 6 12 0
2000 3 9 6 15 3
2000 4 4 7 11 -3
2000 5 8 10 18 -2
2000 6 6 4 10 2
2000 7 6 6 12 0
2000 8 5 2 7 3
2000 9 3 6 9 -3
2000 10 5 8 13 -3
2000 11 3 10 13 -7
2000 12 6 8 14 -2
2001 1 5 3 8 2
2001 2 3 9 12 -6
2001 3 7 8 15 -1
2001 4 9 5 14 4
2001 5 4 6 10 -2
2001 6 4 5 9 -1
2001 7 3 6 9 -3
2001 8 2 8 10 -6
2001 9 4 6 10 -2
2001 10 6 3 9 3
2001 11 7 1 8 6
2001 12 3 4 7 -1
2002 1 4 3 7 1
2002 2 6 4 10 2
2002 3 4 3 7 1
2002 4 3 4 7 -1
2002 5 5 6 11 -1
2002 6 2 7 9 -5
2002 7 5 11 16 -6
2002 8 7 7 14 0
2002 9 5 7 12 -2
2002 10 8 8 16 0
2002 11 6 4 10 2
2002 12 3 6 9 -3
2003 1 4 7 11 -3
2003 2 3 4 7 -1
2003 3 3 4 7 -1
2003 4 6 3 9 3
2003 5 5 1 6 4
2003 6 4 4 8 0
2003 7 3 4 7 -1
2003 8 0 1 1 -1
2003 9 3 3 6 0
2003 10 2 2 4 0
2003 11 2 1 3 1
2003 12 4 0 4 4
2004 1 3 1 4 2
2004 2 3 0 3 3
2004 3 5 6 11 -1
2004 4 1 3 4 -2
2004 5 2 2 4 0
2004 6 1 3 4 -2
2004 7 1 3 4 -2
2004 8 3 3 6 0
2004 9 1 1 2 0
2004 10 3 3 6 0
2004 11 2 1 3 1
2004 12 2 1 3 1
2005 1 1 2 3 -1
2005 2 3 1 4 2
2005 3 2 3 5 -1
2005 4 2 7 9 -5
2005 5 2 2 4 0
2005 6 1 1 2 0
2005 7 1 1 2 0
2005 8 1 2 3 -1
2005 9 2 2 4 0
2005 10 4 6 10 -2
2005 11 3 0 3 3
2005 12 1 1 2 0
2006 1 3 1 4 2
2006 2 2 3 5 -1
2006 3 3 0 3 3
2006 4 1 2 3 -1
2006 5 3 5 8 -2
2006 6 3 5 8 -2
2006 7 3 2 5 1
2006 8 2 0 2 2
2006 9 3 1 4 2
2006 10 2 0 2 2
2006 11 2 2 4 0
2006 12 2 0 2 2
2007 1 1 2 3 -1
2007 2 2 2 4 0
2007 3 4 4 8 0
2007 4 4 1 5 3
2007 5 3 2 5 1
2007 6 3 6 9 -3
2007 7 4 6 10 -2
2007 8 10 6 16 4
2007 9 3 3 6 0
2007 10 6 4 10 2
2007 11 6 9 15 -3
2007 12 6 7 13 -1
2008 1 7 11 18 -4
2008 2* 4 4 8 0
. Autocorr 0.658 0.197
The highest volatility (by this measure) occurred in January 2008, with 18 double-digit moves, although we have a tie with May 2000.
Generally, there were a lot of such days (>10) in 2000-2002, few in 2003-2006, and many again starting in July of 2007.