SPY monthly ranges – August 2010

Once again I was looking at the monthly ranges of SPY since 1993, top table is for all months, second part is just August, with the last two columns what happened August 2009 and based on median high/ low values, a range for SPX for August 2010.   The high row is the percentage the high of the next month is over the prior month close, the low is the percentage lower the low of the month from the prior months close, and the range is the high-low/prior month close.  The columns are the max, 75 percentile, median, 25 percentile, and min.  Generally you have a range of around 6%, but recent months (see graph below) it often has been 10% or more.  The median seems to have been brought down by narrow ranges between the end of 2003 and the end of 2006.

The high of the range is slightly above the June highs, and the low is slightly above the 1060 or so support from mid July.   Time will tell how close the market comes to the median values…

max 75% median 25% min
all high 13.3% 5.2% 3.3% 1.7% -0.8%
low 1.4% -0.8% -2.4% -5.0% -27.9%
range 28.5% 8.5% 6.2% 4.5% 1.7%
2009 2110 – median
august high 7.1% 4.5% 3.3% 1.4% 0.6% 5.6% 1138
low 0.0% -0.7% -2.7% -6.0% -15.0% -0.7% 1071
range 15.6% 8.9% 5.5% 4.5% 2.5% 6.3%

A graph showing the monthly ranges of the SPY over time:
A final observation. I was curious using the prior month’s high / avg daily high / low / avg daily low/ close / avg close / pivot / average pivot to see which value was crossed most often the next month. The value with the most crosses was the prior month close – at around 15%. Meaning typically 3 days of the next month will cross ( have a higher high and lower low) than prior months close. The worst was the prior month’s low at 7% of the days cross the low of the prior month.

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