IWM overlap – daily, weekly

Continuing on looking at price overlap between consecutive periods, here is data for weekly, daily and hourly, by decile, the top decile is the most overlap, with each row being the median value in the decile. In other words, when I look at the overlap, and sort them by the % overlap with the previous period, each row in the table below is 10% of the results, and the individual value is the median value. So, on a daily or weekly basis, at least 5% show no overlap (0% overlap) – i.e. gaps, and on an hourly basis, at least 15% overlap completely with the prior hour.

WEEKLY OVERLAP DECILES DAILY OVERLAP DECILES hourly overlap deciles
1 97.74% 4.95% 100.00% 2.43% 100.00% 1.64%
2 87.66% 3.69% 87.18% 1.80% 100.00% 1.10%
3 76.06% 3.25% 74.47% 1.46% 86.21% 0.85%
4 67.80% 2.69% 66.30% 1.20% 77.14% 0.71%
5 60.77% 2.36% 58.20% 1.02% 66.29% 0.59%
6 52.54% 2.01% 49.61% 0.84% 57.78% 0.50%
7 44.04% 1.67% 38.89% 0.69% 49.44% 0.42%
8 35.13% 1.34% 26.61% 0.49% 39.66% 0.34%
9 21.21% 0.83% 12.50% 0.20% 29.63% 0.26%
10 0.00% 0.00% 0.00% 0.00% 16.07% 0.14%

Charts of the above data:

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