Executive Summary
Overall price direction, largest single-day move, and peak volatility
Over the 500 trading sessions analysed, the closing price lost 20.25% in total (from 205.03 to 163.51). The single largest one-day move was 5.4982%, and peak rolling volatility reached 36.78% annualised. 130 sessions (26.1%) exceeded the 2% significance threshold.
Closing Price Trend Over Time
Daily closing price showing the full price history and trend phases
The closing price line spans 500 trading sessions from January 2022 to December 2023. The overall trajectory is downward with a cumulative return of -20.25% (205.03 to 163.51). Distinct bull and bear phases are visible as extended rises and drawdowns along the price path.
Distribution of Daily Returns
Histogram of daily % returns — shape reveals normality or fat tails
The histogram shows 499 daily return observations with a mean of -0.0301% and standard deviation of 1.748%. The distribution is approximately normal (excess kurtosis = 0.0183) and roughly symmetric (skewness = 0.0761). Extreme returns beyond ±2% occurred on 130 days.
Rolling Volatility Over Time
Annualised 30-day rolling volatility of daily returns
Rolling 30-day volatility (annualised) peaks at 36.78% in February 2022 and averages 27.58% over the period. Spikes above the average signal volatility regime changes — periods where daily price swings become dramatically larger than typical. Once volatility elevates, it tends to persist in clusters before reverting toward the mean.
Top 20 Biggest Single-Day Price Moves
Largest absolute daily return events with volume context
| trade_date | daily_return_pct | close_price | volume |
|---|---|---|---|
| 2023-10-05 | 5.498 | 191.6 | 1178005 |
| 2022-03-24 | -5.232 | 194.9 | 9475024 |
| 2022-06-15 | 4.998 | 221.6 | 2945508 |
| 2023-01-12 | -4.731 | 174.4 | 1447382 |
| 2022-01-26 | -4.656 | 219.2 | 12216899 |
| 2023-02-07 | 4.541 | 195 | 3191659 |
| 2023-06-19 | 4.471 | 182.1 | 3547758 |
| 2023-10-26 | -4.321 | 179.5 | 11651900 |
| 2022-01-27 | -4.285 | 209.8 | 6246856 |
| 2022-02-24 | -4.239 | 195.3 | 10849540 |
| 2022-01-18 | 4.216 | 235.8 | 7832986 |
| 2023-02-16 | 4.076 | 190 | 4208209 |
| 2023-10-10 | 3.863 | 199.1 | 4572226 |
| 2023-08-08 | -3.85 | 173.3 | 6365672 |
| 2022-10-13 | 3.791 | 191.7 | 2571544 |
| 2022-12-12 | 3.773 | 186.3 | 6592551 |
| 2023-10-19 | -3.763 | 192.6 | 1608584 |
| 2022-10-25 | 3.749 | 177.6 | 1843241 |
| 2023-02-09 | -3.719 | 185 | 3638674 |
| 2023-08-28 | 3.717 | 182.6 | 8882699 |
The 20 largest single-day moves are ranked by absolute return. The biggest was a 5.5% move on 2023-10-05 with closing price 191.5607. Volume figures allow analysts to verify whether extreme moves coincided with above-average trading activity or occurred on abnormally thin volume.
Annual Return Distribution (Box Plot)
Year-by-year comparison of daily return spread and outliers
Box plots compare the spread of daily returns across 2 calendar years (2022–2023). The year 2022 shows the widest interquartile range, indicating the most volatile period. Points beyond the whiskers are outlier sessions — individual days with returns far outside the typical range for that year.
Volume vs Absolute Daily Price Change
Scatter: does higher volume accompany larger daily moves?
Each point represents one trading session, with volume on the x-axis and the absolute daily return on the y-axis (499 sessions plotted). The Pearson correlation between volume and absolute move size is r = -0.021, indicating a negligible relationship. A positive correlation confirms that large price moves tend to occur on high-volume days, while a weak correlation suggests moves are volume-independent.
Descriptive Statistics
Key statistics for daily returns and price levels across the full period
| metric | value_stat |
|---|---|
| N Observations | 500 |
| N Return Days | 499 |
| Mean Daily Return (%) | -0.0301 |
| Median Daily Return (%) | -0.0591 |
| Std Dev Daily Return (%) | 1.748 |
| Skewness | 0.0761 |
| Excess Kurtosis | 0.0183 |
| Min Daily Return (%) | -5.232 |
| Max Daily Return (%) | 5.498 |
| Total Period Return (%) | -20.25 |
| Mean Rolling Volatility (ann. %) | 27.58 |
| Peak Rolling Volatility (ann. %) | 36.78 |
| Significant Days (>threshold) | 130 |
Key descriptive statistics for the full return series across 500 trading sessions. Mean daily return is -0.0301% with a standard deviation of 1.748%. Excess kurtosis of 0.0183 confirms fat tails relative to a normal distribution, and skewness of 0.0761 indicates the direction of return asymmetry. The overall period return was -20.25%.