Just another 7 standard deviation day
Senate Amaranth report highlights (Hello! Edition)
On July 31 [2006], the difference in the prices of the March [2007] and April [2007 natural gas] contracts increased by 72 cents, an extraordinarily large jump in the price spread between these two contracts. (105)
(105) Statistically, the 72-cent increase on July 31 [2006] was a seven-standard deviation event…expected once every several hundred million years. Several market experts told the Subcommittee, however, that the natural gas market does not conform to any simple statistical model.
One trader said, “Seven-standard deviation events happen all the time in this market.” [Emphasis added].
Excessive speculation in the natural gas markets
US Senate Permanent Subcommittee on Investigations
Jun. 25 2007 (Page 89)
Brilliant! Thank you.
Reminds me of the gold markets ability to sell off EVERY day after the London PM fix when the NY paper market opens.
Posted by:Arthur Cutten | July 02, 2007 at 14:09
Precious, precious quote! Well spotted.
-C-
Posted by:Cassandra | July 02, 2007 at 12:02