IWM Hourly Overlap

Looking at the hourly overlap.  I define overlap is the amount that price overlaps (this is a case a picture would be worth a thousand words) the prior periods range.  for example,

period 1 period 2 overlap overlap % of price overlap % of range
high 74.52 73.81 0.07 0.09% 8.97%
low 73.74 73.3

Looking at data over the past year or more, shows (overlap as percentage of range), split by deciles to get a feel for the distribution of the occurrences.

decile 9:30-9:59 vs 10:00-10:59 10:00-10:59 vs 11:00-11:59 11:00-11:59 vs 12:00-12:59 12:00-12:59 vs 1:00-1:59 1:00-1:59 vs 2:00-2:59 2:00-2:59 vs 3:00-3:59
1 100% 100% 100% 100% 100% 100%
2 87% 100% 100% 96% 91% 87%
3 78% 100% 92% 82% 83% 74%
4 68% 95% 81% 73% 74% 64%
5 61% 85% 73% 64% 65% 57%
6 52% 75% 61% 55% 57% 51%
7 45% 65% 52% 48% 47% 44%
8 37% 51% 43% 38% 36% 36%
9 27% 38% 32% 26% 26% 27%
10 11% 22% 17% 18% 14% 13%

An area for more investigation is the overlap between the 10 o’clock hour and 11 o’clock hour.  Over 30% of the time (top 3 deciles) the 11 o’clock hour has 100% overlap with the 10 o’clock hour. Over 80% have at least 51% overlap.  The median hourly range is around .6% of the price, so when the IWM is 60,  100% overlap is .36.

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