Intra day moves – from open to high / low

I compared the movement from open to the high, and from the open to the low, looking at IWM since 2000.  For each day, if the price change from open to high was greater than open to low, then the open to high was put in the max move category, otherwise it was put in the min move category.  Similarly for the open to low. So each day a value is added to max move and the min move.  The total is the range for the day.  Now I ranked the max and min moves by deciles and created the following table:

1 1.11% 3.41% 4.16%
2 0.73% 2.41% 2.80%
3 0.56% 1.95% 2.37%
4 0.44% 1.66% 2.05%
5 0.36% 1.42% 1.80%
6 0.28% 1.23% 1.59%
7 0.21% 1.06% 1.42%
8 0.14% 0.91% 1.24%
9 0.06% 0.76% 1.06%
10 0.00% 0.54% 0.83%
midpoint 0.32% 1.32% 1.70%

The top row are the most extreme values – largest min move , max moves, or daily ranges.  The median “min move” for that decile is 1.1% – which means that the smaller move from open to high/low was 1.1% and the larger move was greater that 1.1% (but of unknown size).   The midpoint row is the value in the middle of the data – half the values above, half below.   Therefore, half of the min moves are less than .32%, but half of the max moves are 1.32% – nearly a 1% difference.   The median range (1.70%) is fairly close to the sum of the min and max move for the median (.32+1.32) – it needn’t be the same, but it seems to validate the data.   Here is a graph of the values.

In an earlier post, I mentioned that the range for the past couple of years has been wider, and that when the IWM has been below the 50 day moving average, the range has been wider.  Dr. Brett recently posted on how the volatility was decreasing throughout the year ( ) .

If you were to trade on these observations, the challenge is to determine, as the day progresses – or before – which direction is going to be the maximum move.


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