SPX Daily Change Percentage Statistics
Just a short post to journal some useful statistics I put together. This is the daily SPX daily change percentage statistics for the past 10 years. This gives me a good estimate how much SPX potentially will move within a day.
How to read?
Just catch the few key summary:
- 90.89% of the time SPX daily change within -1% to 1%
- 97.64% of the time SPX daily change within -2% to 2%
- 99.01% of the time SPX daily change within -3% to 3%
Note that these are rounded numbers, means 1.6% will be rounded to 2%. So take it as a rough estimate. Afterall historical statistical data are for reference only, it's not any magic number that can predict the future.
What is this for?
Since I trade SPX on 0-DTE and other short DTE time frame, the statistics of SPX daily change was something I find that it will be useful to know what is the probability SPX has moved within a day so far.
It can be used when I choose my strikes on my 0-DTE credit spreads. I can see if my strike is how far away (percent away from open) to get a sense of how safe I am.
Example: on market open if SPX moved up 1% within 30 mins, I will consider adding a Bear Call Credit Spread 2% away. That will allow me to have my strike 3% away from the open, which is statistically only happen 1% of the time. Just an example for illustration purpose.
If you find it useful, do bookmark it. Or if you feel there's any similar kind of statistics that can be helpful do feel free to let me know. Learning and improving is a continuous process to get better.