Some commodity market curios on Thursday May 5, 2011:
Number 1 - Standard deviations.
Courtesy of Reuters’ John Kemp, and regarding the day’s exceedingly epic oil price move (as illustrated below):
Since 1990, the standard deviation of daily price changes in front-month Brent crude (LCOc1) has been 1.64% (ignoring signs). Today’s current change is 6.1% (at time of writing) That is approximately 3.72 standard deviations IF price movements were normally distributed (which we know they are not), price movements should be within 1 standard deviation about 66% of the time, 2 standard deviations 95% of the time, 3 standard deviations about 99.7% of the time, and 4 standard deviations 99.99% of the time
Number 2 – Extraordinary derivative statistics
An interesting observation from Data Explorers regarding the trade in silver put options on April 27:
Then there was so much insurance being bought in the options market on the 27th April that there were more silver related contracts being struck than those based on the movement of the overall S&P500!
Number 3 – OTC silver pressure?
A sudden burst of negativity in the silver forward market:
And last and not least…
The CRB Index headed towards its biggest single-day loss in two years, down 3.91 per cent at pixel time.
Related links:
A ‘top’ of the market IPO from Glencore? – FT Alphaville
Glencore’s Achilles’ heel - FT Alphaville