A chart on a daily time scale of the CAC40, the french blue-chip index, has experienced a very high volatility day together with all major indexes in Europe. The -3.97% daily close of the CAC40 could be defined as tail volatility sell-off in line with a VaR(99.9) -3.79% risk metric. Observing the daily chart from the technicals standpoint, it’s possible to see the price/volume line breaching the IKH Senkou A/B nuage, nearing the 200 days moving average. Although the 200-day moving average could provide some support, the MACD oscillator provides a large and consistent Sell signal with a wide Head & Shoulder, in so far the CAC40 can sell off drifting -7.85% to test CAC40 6250 points.
The CAC40 chart on a week time scale defines a wide perspective correction, -32.25% CAC40 4600, with an approaching Sell signal generating in the MACD, while also the RSI has clearly started a drift to the downside.
CAC40 metrics derived from a 2015/2021 dataset provides a series of data points to consider. The CAC40 yearly standard deviation 19.51% considering in the equation the noise of the Yearly Variance 3.81% would in effect match the last year return of 22.23% generated by the CAC40. Important to keep as a reference point when elaborating the CAC40 linear regression its mean value of 5241 points. However, the daily -3.97% daily close, in line and slightly exceeding the VaR(99,9) can be somehow justified by the Gaussian value -0.0033, approximate to -3σ standard deviation, that does explain the very high volatility. Observing the histogram of the returns generated by the CAC40 the skewness results to be negative of quite a large amount -84.34%.