SPY Close Crosses by Day of Month

I was looking at how often the prior day’s close was crossed the next day (meaning the today’s high was greater than yesterday’s close and today’s low was less than yesterdays close).   I used Yahoo! unadjusted SPY from 1993-present (over 200 months).   I broke the data by the day of the month – first 12 trading days and last 12 trading days.  On any given day, there is about 30% chance the prior day’s close will not be crossed.  However, I find it interesting that the first day of the month has a much higher (lower) chance of not crossing the prior day’s low (high).  The last day of the month has the lowest chance of not crossing the prior day’s close (20% vs 35% for the next day, the start of the month).

prior day’s close below current day’s low prior close above current high total
1 27% 8% 35%
2 17% 13% 30%
3 13% 14% 27%
4 17% 11% 27%
5 13% 13% 26%
6 14% 13% 27%
7 13% 14% 27%
8 15% 12% 27%
9 22% 12% 33%
10 15% 10% 25%
11 17% 14% 32%
12 16% 14% 30%
eom-11 17% 8% 26%
eom-10 19% 12% 31%
eom-9 10% 19% 29%
eom-8 17% 16% 32%
eom-7 10% 16% 25%
eom-6 12% 15% 26%
eom-5 15% 12% 26%
eom-4 18% 8% 26%
eom-3 16% 8% 24%
eom-2 17% 9% 25%
eom-1 16% 10% 26%
eom-0 13% 8% 20%

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