Moves in heavily shorted stocks are *extreme*. Short interest factor return (in std devs) last Friday was -2.4, Monday -3.9, Tue -5.1 and yesterday **-8.8**. Overall it's a 10 standard deviation move, giving up ~3 years of return in four days
I have no idea where you are getting this from but it's completely wrong. It's only meaningless if the distribution doesn't have a finite second moment. Otherwise st dev has a perfectly sensible meaning as the square root of the second central moment.
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The correspondence between std deviations and quantiles (e.g. 1 sd = 68%, 2 sd = 95% etc) is true for the normal distribution but so what? It doesn't mean you can't use the standard deviation for other distributions. Just a massive misunderstanding on your part.
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