SPY monthly ranges

I decided to take a look to see if where the month’s closing price of SPY in relation to the month’s high and low gave any indication on the likely direction of the next month.  What I found was that there didn’t seem to be any predictive information with the closing position. I took the Yahoo! data for SPY since 1993, looked at the next months high vs prior month close, and ranked them based on where the close was in the monthly range. For example, for June 2010, the high / low / close were 113.20, 102.88, and 103.22, so the close was (103.22 – 102.88) / (113.20 – 102.88) = .03. I ranked the close positions and grouped them in deciles. In the table below, rank 1 was the LOWEST 10% (from .01 – .15), and rank 10 is the HIGHEST 10% (from .92 – 100). The median close position was .61, that is slightly higher then the midpoint of the month.  In this first table, I looked at the high for the next month.  There is not much variation between deciles, the lowest decile (1) had a slightly higher median and average then most of the other others, but not a tremendous difference.  Looking at July’s behavior based on June’s close doesn’t vary a lot from the whole sample.

high MEDIAN AVERAGE MIN MAX
1 4.25% 5.19% 0.57% 12.67%
2 2.60% 3.20% 0.53% 7.90%
3 3.58% 4.20% 0.35% 13.32%
4 3.34% 3.81% 0.11% 9.51%
5 2.60% 3.61% 0.13% 9.00%
6 2.66% 3.22% -0.80% 8.74%
7 4.37% 4.12% 0.34% 11.95%
8 3.18% 2.99% -0.11% 7.34%
9 2.37% 2.91% -0.32% 6.83%
10 3.83% 3.61% 0.06% 8.84%
11
july 3.69% 3.37% -0.11% 8.74%
all 3.33% 3.69% -0.80% 13.32%

Looking at lows shows similar behavior, namely the month closing position doesn’t give much indication.

low
1 -2.84% -4.53% -15.01% 0.25%
2 -4.12% -5.95% -27.94% -0.20%
3 -2.77% -5.25% -23.23% -0.05%
4 -2.00% -3.26% -10.03% 0.29%
5 -4.11% -4.56% -14.18% 0.32%
6 -2.04% -2.94% -10.60% 0.09%
7 -1.50% -2.37% -11.29% 0.00%
8 -2.11% -2.75% -11.11% 1.43%
9 -1.53% -2.58% -7.31% 0.39%
10 -1.66% -2.20% -8.09% 0.17%
july -2.91% -4.16% -21.50% 0.09%
all -2.43% -3.63% -27.94% 1.43%

Finally, looking at the range indicates if the closing position is in the bottom half of the range, then next month the range is going to be higher average.

range
1 8.09% 9.71% 4.06% 21.91%
2 7.01% 9.15% 3.76% 28.55%
3 8.39% 9.45% 3.02% 27.39%
4 6.06% 7.07% 2.35% 15.40%
5 7.11% 8.17% 1.68% 18.37%
6 5.15% 6.16% 2.74% 14.97%
7 5.26% 6.49% 2.46% 15.96%
8 5.29% 5.74% 2.67% 11.82%
9 5.16% 5.49% 3.00% 9.51%
10 5.59% 5.82% 2.72% 9.02%
july 6.97% 7.59% 2.35% 22.35%
all 6.16% 7.31% 1.68% 28.55%

At this point in July, 2010, the high is 4.6% above the June close, and the low is 2% below the close.  The current high is in line with past median values for this decile.   The average range over the past 12 months has been about 8%. With the currently month range being about 6.6%, it looks like we have some more to go that it could go, although it is unlikely (but not impossible) that it is going to get above 1120 during July. That would match last July’s performance (close to high), which was the best of the last 12 months.

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