Intraweek moves

Similar to yesterday’s daily move posting – looking at the intra day move from open to high / low, here is  the weekly analysis.  Columns are the same as before, with an additional column for the difference between the max move and the min move.  Working backwards, that means for max move in the top decile – nearly 8% – then there was about a 1% move in the opposite direction that week (7.8 – 6.9 = .9%).  As before, the midpoint row is the value in the middle – half above, half below.   Each row is a 1/10 of the data – about 495 weeks of IWM from Yahoo! historical data.

deciles min max high-low range median max-min difference -max deciles
1 2.67% 7.80% 8.99% 6.90%
2 1.73% 5.89% 6.78% 5.35%
3 1.34% 4.68% 5.87% 4.11%
4 1.11% 4.01% 4.97% 3.45%
5 0.87% 3.45% 4.31% 2.79%
6 0.70% 2.96% 3.85% 2.37%
7 0.52% 2.60% 3.46% 1.74%
8 0.36% 2.17% 3.08% 1.08%
9 0.18% 1.80% 2.64% 0.84%
10 0.01% 1.43% 2.20% 0.51%
midpoint 0.80% 3.22% 4.03% 2.36%

and a graph (the horizontal lines are the midpoint values for max, min moves).  Similar to the daily moves, a majority of the min moves are less than a minority of max moves.

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