IWM Weekly Cross Chances

I looked at the chances that various points were crossed on a weekly basis – prior weeks close, pivot, and points within the range – from -33% to +40% of the range (the range is typically around 4% of the price).  I grouped them in deciles based on where in the prior weeks range, this week’s open was.    Here is what I found:

deciles median open vs last week range cross close cross pivot -33% cross low cross 33% cross 66 % cross high cross 140% cross
1 104% 84% 55% 10% 22% 37% 59% 96% 45%
2 94% 88% 59% 4% 6% 29% 61% 92% 41%
3 87% 90% 65% 8% 18% 29% 67% 86% 47%
4 78% 82% 73% 14% 31% 53% 90% 61% 24%
5 68% 80% 78% 20% 37% 65% 96% 57% 29%
6 51% 90% 92% 29% 47% 78% 82% 45% 16%
7 38% 84% 73% 39% 59% 84% 63% 37% 14%
8 23% 86% 86% 43% 73% 90% 57% 22% 8%
9 11% 88% 76% 47% 90% 84% 37% 24% 6%
10 -1% 82% 53% 69% 88% 55% 37% 22% 12%
average 59% 85% 71% 28% 47% 60% 65% 54% 24%

For this week (2009 Nov 30 – Dec 4) , the calculation would be (57.65 – 57.04) / (60.32 – 57.04) = .18, which would put it in the 8th decile (.23 would be in the middle of that decile).  So far this week the price has ranged from low of 56.85 (-4%) to 59.23 (66%), which happens to be the values > 50% for the decile, plus it crossed the pivot and prior week close, both of which had chances of over 80%.  In contrast to the daily situation, the weekly crosses the prior week’s close and pivot are more likely weekly – 85 and 71 vs daily 71 and 64.

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One Response to “IWM Weekly Cross Chances”

  1. wohnzimmer einrichten landhausstil Says:

    Wow! In the end I got a blog from where I be capable
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