IWM hour of previous close cross by day of week

An interesting post at http://tradeflight.com/ concerning gap fills on the ES.  I tried to replicate the data for IWM.  The period this covers is May 2008 – Dec 2009 (about 80 different data points per day of the week).  I was looking at the time of day that IWM  first crossed of the prior day’s close.  What I found interesting is that Monday has a lower percent of crosses of the prior close. In the table below, the first column is the hour (eg 9:30 – 9:59 is 9, 10:00-10:59 is 10, and no cross is hour 16)

% cross Mon Tue Wed Thu Fri
9 34% 46% 49% 48% 48%
10 13% 15% 13% 10% 11%
11 5% 2% 1% 5% 4%
12 1% 4% 2% 1% 3%
13 1% 2% 1% 1% 3%
14 1% 2% 1% 1% 4%
15 4% 0% 2% 4% 1%
16(no cross) 41% 28% 29% 30% 28%

Graphically it looks like this:

The following chart shows the median size of the difference between the prior close and the open price – by percentage of closing price in the hour the prior close price was crossed.

median filled gap size Mon Tue Wed Thu Fri
9 0.96% 1.19% 0.93% 1.40% 1.00%
10 1.28% 1.06% 1.05% 1.39% 0.85%
11 1.02% 1.20% 1.18% 1.48% 0.93%
12 0.82% 0.08% 1.09% 5.90% 2.08%
13 0.15% 0.26% 0.86% 0.91% 3.38%
14 0.05% 1.07% 2.74% 1.19% 0.28%
15 0.24% 0.00% 2.76% 0.18% 0.31%
no cross 2.88% 1.93% 2.20% 2.83% 2.20%

An interesting comparison is Monday vs Thursday.  Monday has 59% of the closes crossed, Thursday as 70%.   Median size of crosses on Monday in the first hour is .96% vs 1.4% on Thursday.

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