Traders short the euro vs. the U.S. dollar got a rude awakening Thursday when the currency spiked more than 3% against the dollar. The European Central Bank underwhelmed market expectations with its announcement to cut interest rates on deposits and extend its quantitative easing program into the spring of 2017.
Thursday’s move was a five-sigma event – since it began trading in January 1999, the standard deviation of daily moves in the euro vs. the U.S. dollar is 0.64%.
It was the second largest one-day gain – the first coming in March of 2009 when the euro jumped 3.51% in a single day. Among the five largest gains vs. the U.S. dollar, the remaining four all came during the financial crisis.