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Volume Anomaly Detection

Z-score based detection of unusual trading volume on the NZX — spikes, clusters, and price-volume divergences (last 30 days)

170

Total Anomalies

Volume Spikes

Volume Clusters

Divergences

Pre-Announcement

Why Volume Anomalies Matter on the NZX

The NZX is a relatively thin market — average daily turnover across all stocks is approximately $100-200M. This means even modest institutional flows can create detectable volume anomalies. A spike that might be noise on the NYSE could indicate meaningful activity on the NZX. Volume anomalies flagged here preceded a material announcement within 5 trading days in 51% of cases (87 of 170 anomalies).

Anomalies by Sector

Sector	Anomalies	Spikes	Clusters	Divergences	Pre-Announcement
Consumer Discretionary	33	13	13	7	15
Financials	27	16	7	4	21
Consumer Staples	26	12	9	5	10
Real Estate	21	12	4	5	12
Healthcare

Recent Volume Anomalies

170 anomalies detected across 75 tickers in the last 30 days (z-score ≥ 2).

Ticker	Company	Date	Volume	vs Avg	Z-Score	Price Chg	Type	Severity	Ann.
RYM	Ryman Healthcare Limited	2026-09-29	27,673,331	19.5x	16.5	-3.14%	Volume Spike	extreme	-
MPG	Metro Performance Glass	2026-09-29

Methodology

This tool uses statistical z-score analysis on daily OHLCV data to identify three types of unusual volume activity. It does not imply wrongdoing — unusual volume may result from index rebalancing, block trades, research coverage changes, or simple market interest.

Volume Spikes

Single-day volume z-score exceeds the threshold (default: 2.0) against a 50-day rolling mean/stdev. A z-score of 2.0 means volume is 2 standard deviations above the 50-day average — statistically unusual (occurs ~2.3% of the time in a normal distribution).

Volume Clusters

3 or more days within a 7-day window where volume exceeds 2x the 50-day average. Sustained elevated volume may indicate ongoing accumulation or distribution by institutional investors, or building market interest ahead of an event.

Price-Volume Divergence

Volume exceeds 2x the 50-day average but price moves less than 1%. This pattern may indicate accumulation (buying absorbed by selling) or distribution (selling absorbed by buying). In thin NZX stocks, it can also indicate block crosses at the prevailing price.

Announcement Cross-Reference

Each anomaly is cross-referenced against the NZX announcements database. If a material announcement (results, dividend, takeover, capital raise, director change, market update) was published within 5 trading days after the volume anomaly, it is flagged. This helps distinguish informed pre-announcement activity from routine volume variation. Note: correlation does not imply causation.

See also: Whale Tracker — large insider transactions. · Coordinated Trading — clustered insider activity. · Insider-Announcement Correlation — timing analysis. · Technical Signals — trend and momentum indicators.

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Predicted HY/FY reporting dates for all NZX companies based on historical patterns.

Data sourced from NZX stock price and volume data, NZX company announcements. Our datasets may not be complete. Automated analysis can produce errors. Past performance does not indicate future results. If you believe any data on this page is incorrect, please contact us at hello@nzxplorer.co.nz.

For informational purposes only. Not investment advice.