IWM daily range

A quick look at the daily range (high – low) / open price of the IWM over the past few years:

year median std dev above 50 day sma below 50 day sma
2009 2.64% 1.27% 2.39% 3.48%
2008 2.58% 2.60% 1.99% 3.35%
2007 1.48% 0.91% 1.22% 2.12%
2006 1.40% 0.63% 1.30% 2.13%
2005 1.36% 0.53% 1.20% 1.63%
2004 1.49% 0.60% 1.38% 1.73%
2003 1.60% 0.58% 1.57% 1.71%

It has been more volatile the last couple of years, but also notice that the range is larger when the closing price is below the 50 day simple moving average.  There is a slight tendency of a regression to mean – below average sized range day to be followed by an above average sized day and vice versa.

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