7,507.32
64.04
(0.86%)
07/21/2026
S&P 500 ($GSPC)Historical Price Distribution Analysis
Positive vs Negative Occurrences |
| Positive Occurance | 46.83% |
| Negative Occurance | 53.17% |
| Ratio | 0.88 |
Average Up/Down Moves |
| Average Positive Move | 0.58% |
| Average Negative Move | -0.59% |
| Ratio | -0.99 |
Maximum Up/Down Moves |
| Largest Positive Move | 2.72% |
| Largest Negative Move | -2.83% |
| Ratio | -0.96 |
Intervals Distribution Statistics
Most Recent intervals return of -0.85% ranks in the 11th percentile — below its typical range.
Central Tendency & Dispersion |
| Mean Return | -0.04% |
| Median Return | -0.01% |
| Std Dev (Volatility) | 0.79% |
| Observations | 126 |
Distribution Shape |
| Skewness | -0.04 |
| Excess Kurtosis | 1.52 |
| Jarque-Bera | 12.1 (non-normal) |
Roughly symmetric.
Fat-tailed — outliers more likely than normal. |
Tail Risk & Expectancy |
| Value at Risk (95%) | -1.44% |
| Value at Risk (99%) | -1.88% |
| Expected Shortfall (CVaR 95%) | -1.81% |
| Expectancy / Period | -0.04% |
Percentile Band |
| 5th |
25th |
Median |
75th |
95th |
| -1.44% |
-0.50% |
-0.01% |
0.41% |
1.22% |
| 90% of intervals returns fall between -1.44% and 1.22%. |
Key Observations |
| $GSPC posted 126 intervals returns averaging -0.04% (median -0.01%) with a 0.79% standard deviation. The distribution is roughly symmetric with fatter-than-normal tails (elevated outlier risk), and a Jarque-Bera test classifies it as non-normal — lean on percentiles rather than σ to size risk. Positive periods occurred 46.8% of the time, giving an expectancy of -0.04% per period. In the worst 5% of periods, returns fell below -1.44%, averaging -1.81% (Expected Shortfall). The most recent move of -0.85% ranks in the 11th percentile — below its typical range. |
| Top 10 Negative Returns |
| Date | Returns (%) |
| 30-Mar | 31-Mar-2026 | -2.83 |
| 05-Feb | 06-Feb-2026 | -1.93 |
| 10-Jun | 11-Jun-2026 | -1.72 |
| 12-Jun | 15-Jun-2026 | -1.63 |
| 10-Oct | 13-Oct-2025 | -1.54 |
| 21-Nov | 24-Nov-2025 | -1.52 |
| 07-Nov | 10-Nov-2025 | -1.52 |
| 24-Oct | 27-Oct-2025 | -1.21 |
| 16-Apr | 17-Apr-2026 | -1.19 |
| 20-Jan | 21-Jan-2026 | -1.15 |
| Top 10 Positive Returns |
| Date | Returns (%) |
| 04-Jun | 05-Jun-2026 | 2.72 |
| 26-Mar | 27-Mar-2026 | 1.70 |
| 31-Jul | 01-Aug-2025 | 1.63 |
| 11-Feb | 12-Feb-2026 | 1.59 |
| 19-Nov | 20-Nov-2025 | 1.58 |
| 14-May | 15-May-2026 | 1.25 |
| 16-Jun | 17-Jun-2026 | 1.23 |
| 03-Nov | 04-Nov-2025 | 1.19 |
| 16-Dec | 17-Dec-2025 | 1.17 |
| 05-Nov | 06-Nov-2025 | 1.13 |
| Intervals Negative Returns |
Intervals Positive Returns |
| Return | % Occurance | # Occurance | Return | % Occurance | # Occurance |
| below 0.0% |
52.24 |
35 |
above 0.0% |
54.24 |
32 |
| below -0.5% |
29.85 |
20 |
above 0.5% |
25.42 |
15 |
| below -1.0% |
7.46 |
5 |
above 1.0% |
11.86 |
7 |
| below -1.5% |
8.96 |
6 |
above 1.5% |
6.78 |
4 |
| below -2.0% |
|
|
above 2.0% |
|
|
| below -2.5% |
1.49 |
1 |
above 2.5% |
1.69 |
1 |
| below -3.0% |
|
|
above 3.0% |
|
|
| below -3.5% |
|
|
above 3.5% |
|
|
| below -4.0% |
|
|
above 4.0% |
|
|
| below -4.5% |
|
|
above 4.5% |
|
|
| below -5.0% |
|
|
above 5.0% |
|
|
| below -6.0% |
|
|
above 6.0% |
|
|
| below -7.0% |
|
|
above 7.0% |
|
|
| below -8.0% |
|
|
above 8.0% |
|
|
| below -9.0% |
|
|
above 9.0% |
|
|
| below -10.0% |
|
|
above 10.0% |
|
|