Adam Grimes has an interesting post on using statistics to map the trading day (https://adamhgrimes.com/using-statistics-to-map-the-trading-day/) . Before the open today, I gathered the following data on the high, low when the SPY opened between 1 and 2 percent below the prior close (there were about 200 instances):
prior cls vs opn | hgh vs opn | low vs opn | cls vs opn | cls vs prior cls | |
0% | -1.00% | 7.17% | 0.00% | 5.54% | 3.86% |
10% | -1.05% | 2.81% | -0.15% | 1.99% | 0.66% |
20% | -1.10% | 2.05% | -0.32% | 1.24% | -0.07% |
30% | -1.14% | 1.68% | -0.47% | 0.79% | -0.60% |
40% | -1.20% | 1.41% | -0.72% | 0.33% | -0.93% |
50% | -1.28% | 1.23% | -0.90% | 0.02% | -1.30% |
60% | -1.38% | 1.06% | -1.12% | -0.44% | -1.64% |
70% | -1.48% | 0.87% | -1.38% | -0.83% | -2.20% |
80% | -1.59% | 0.47% | -1.80% | -1.25% | -2.62% |
90% | -1.73% | 0.24% | -2.57% | -1.82% | -3.25% |
100% | -1.96% | 0.02% | -6.89% | -6.54% | -7.83% |
It appears that today it opened down about 1.6% (80 percentile), fell another 1.31% (70 percentile), reversed and rose 1.52% (lets say 35 percentile), with a close up 1.47% from the open (~15 percentile) with a slight negative close of -.15% ( ~ 25 percentile).
So, while there was fairly wide swings, today wasn’t totally out of line other days with 1-2 percent drops from opening. the median down would have been only -.9% lower than the open and 1.23% up from the open for the high. The more unusual behavior was that it ended near the highs of the day – more typically it closes near the open on days like today.