The Black Swan: The Impact of the Highly Improbable · chapter 7 · id the-black-swan-c7-03-black-monday-october-19-1987-w

“Black Monday, October 19, 1987, when the Dow Jones fell 22.6% in a single day, was a 20-25 sigma event under Gaussian assumptions -- an event so improbable that it should not have occurred even once in the entire history of the universe.”

holdsconfidence: high⚠ extracted by pipeline, re-audit pending

Receipts

RCM Alternatives: The Crash of 1987 and the 300 Mile Tall Mansource alive

Using the series of returns before the crash, Black Monday was a 25-sigma event. The odds of a -20.5% drop in a single day on the order of 1 in a trillion.

Federal Reserve History: Stock Market Crash of 1987source alive

On October 19, 1987, the DJIA fell 508 points, losing 22.6 percent of its value. The S&P 500 fell 20.4%. This was the largest one-day percentage decline in U.S. stock market history.

Price Action Lab: Lessons from the October 1987 Crashsource alive

The standard deviation of daily returns before the crash was approximately 0.809%. A 22.6% decline represents approximately 22-25 standard deviations from the mean depending on the exact calculation methodology.

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