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8-Standard-Deviation moves in SOR-SIBOR 12m3m spreads
By Student  •  May 23, 2011

This post has nothing directly to do with investing, although I will gleefully take credit for telling people to Reduce Stock Exposure before today’s bleeding markets. The HSI put warrant is up 26%ish at time of writing. I don’t think this is anywhere near the end of it, so short like a man. Still, I have been wrong before. 

For the interest of myself and a friend, I present a few more SIBOR-SOR charts following my previous post on the topic.

By reference, 7 standard deviation moves are only supposed to be seen once every five lifetimes of life. We hit 8 s.d. on 13 Oct 2008.

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By Student
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