SPY – prior day close cross – Monday vs Thursday

Returning to look at how the chances of crossing the prior day’s closing price, in particular, comparing last trading day of the week’s close vs the next trading day and 2 day’s before the last day of the week price close and the next trading day.  Generally, seeing how often the price range on Monday will include Friday’s close, and how often the price range on Thursday will include Wednesday’s close.  The blue line is the percent of days that the price crossed the prior day’s close over the past 52 weeks (for example, the 7/2006 point looks back on the percent of days the prior close was crossed between 7/2005 and 7/2006; 7/1995 is the percent between 7/1994 and 7/1995).  The orange line is the median size (in % of prior days close) between the day’s open and prior day’s close when the prior day’s close was crossed, and green is the size when the prior day close wasn’t crossed (both over the past 52 weeks).   The purple line is S&P 500 (scaled by dividing by 100 ).

I find interesting that Thursday’s percentage seems to be in a tighter range around 73%, vs Monday’s percentage range is wider around 63%.  The size of open vs prior close seems (visually) consistent between Monday and Thursday, except for the past 2 years.  Both the filled size and unfilled size are similar for the two days (again excepting the last two years).  The percentage of prior closes crossed doesn’t seem to be related to the direction of the S&P.

In conclusion, it appears that first day of the week has a lower percentage of prior days closes crossed than Thursday, but this relationship changes over time.

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