IWM smaller(open -> high, open -> low) as percentage of range (high-low)

For IWM, I looked at the relative size of the smaller of the (high – open) / (high – low)  and (open – low) / (high – low).  What I found was that on average, this value is around .20 – meaning that the move in the other direction (the larger move) is nearly 4 times larger than the smaller move.  This has been fairly constant through the 2000’s for IWM:

year average small move as percentage of range
2009 22.58%
2008 21.34%
2007 22.67%
2006 22.77%
2005 23.38%
2004 23.27%
2003 21.65%
2002 20.94%
2001 19.32%
2000 15.65%
median 20.39%

Furthermore, the distribution, except in cases where the move is very small, seems rather uniform (as opposed to normal or bell shaped).  In other words, about 17% of the days have a small movement size of 0-5% of the range (meaning that IWM opened near the high(low) and closed near the low(high)), but 45-50% value (meaning the high and low are the same distance from the open [and saying nothing about were the day closed] has around 9% of the days.

small % of range % in range
0-5% 17%
5-10% 11%
10-15% 12%
15-20% 10%
20-25% 8%
25-30% 9%
30-35% 7%
35-40% 8%
40-45% 9%
45-50% 9%

A graph of the table:

This would indicate that over 70% of the time the smaller move is going to be less that 35% of the range, which implies the smaller move is going to be less than 1/2 of the larger move (or the larger move is going to be twice the smaller move).

I would like to repeat, I am not looking at the closing position, just looking at which direction from open had the smallest movement.

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s


%d bloggers like this: