There's also a more conservative rule similar to the CLT that works off of the definition of variance, and thus rests on no assumptions other than the existence of variance. Chebyshev's inequality tells us that the probability that any sample is more than k standard deviations away is bounded by 1/k².

In other words, it is possible (given sufficiently weird distributions) that not a single sample lands inside one standard deviation, but 75% of them must be inside two standard deviations, 88% inside three standard deviations, and so on.

There's also a one-sided version of it (Cantelli's inequality) which bounds the probability of any sample by 1/(1+k)², meaning at least 75 % of samples must be less than one standard deviation, 88% less than two standard deviations, etc.

Think of this during the next financial crisis when bank people no doubt will say they encountered "six sigma daily movements which should happen only once every hundred million years!!" or whatever. According to the CLT, sure, but for sufficiently odd distributions the Cantelli bound might be a more useful guide, and it says six sigma daily movements could happen as often as every fifty days.

Too late to edit, but I felt there was something wrong with this comment and I figured out what: the Cantelli bound is 1/(1+k²).

This means as little as 50% can be less than one standard deviation, as little as 80% below two standard deviations, etc.

I highly doubt the finance bros pretend distributions are normal or don't know Chebychev, vs. not having enough data to obtain the covariance structure (for rare events) to properly bound even with Chebychev.