Friday, August 17, 2007

spx 10 day excursion 1970-1995 prior v. next 10 days

S&P 500 10d Excursion
1970-1995:
Next
Prior 10 ds: 10 ds: STD:
all .69% 4.31%
>0% .64% 3.88
0 - 1% .77 3.81
1 - 2% .51 4.10
2 - 3% .24 3.92
3 - 4 .66 3.68
4 - 5 .45 3.59
5 - 6 .75 3.75
6 - 7 .88 3.74
7 - 8 1.00 4.49
8 - 9 1.56 4.09*
9 -10 1.44 3.53*
10-11 1.07 3.52
11-12 1.43 2.34*
12-13 1.72 4.03**
> 13 1.81 4.94%**
<0 .75 4.84
0 - -1% .26 4.20
-1 - -2% .53 4.31
-2 - -3 1.23 4.23*
-3 - -4 1.47 4.94*
-4 - -5 0.78 5.96
-5 - -6 1.46 5.63*
-6 - -7 1.22 5.38*
-7 - -8 1.13 6.66*
-8 - -9 0.34 5.66
-9 - -10 -1.09 5.33
-10- -15% 0.61 6.61%
< -15% -2.65 5.99

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