Sigma Spike


The Sigma Spike, also known as Standard Deviation Spike or SigmaSpikeTM, is a measure used to put a stock’s current price return in the context of its recent price volatility. The Sigma Spike attempts to standardize price changes for easy comparison across different assets and quantify surprise moves. It is calculated by dividing today’s return by the population standard deviation of the past 20 days’ returns. Traders commonly use this metric to identify significant moves on a price chart and as a filter on a watchlist or market volatility monitor. According to Adam Grimes, who formulated the Sigma Spike, anything over about 2.5σ or 3.0σ would stand out visually as a significant move on a price chart.


Cell B1 = Stock Code

=(GOOGLEFINANCE(B1,"CHANGEPCT")/100)/STDEVP(QUERY({QUERY(GOOGLEFINANCE(B1,"close",today()-40 ,today()),"SELECT Col2 ORDER by Col1 DESC LIMIT 20 LABEL Col2''"),QUERY(GOOGLEFINANCE(B1,"close",TODAY()-(40) ,TODAY()),"SELECT Col2 ORDER by Col1 DESC LIMIT 20 OFFSET 1 LABEL Col2''",)},"Select Col1/Col2-1 LIMIT 20"))

Google Sheets, Sigma Spike Watchlist
Google Sheets, Sigma Spike Watchlist


Volatility Spike Indicators
Standard Deviation Tutorial