Intraday movement by day of the week

I was curious about the intraday movement – difference between the high and low by the day of the week.  The data is SPY since 1993, and what I computed was how often the intraday movement (High-Low)/Open was greater than the median of the previous 10 days. In other words, I gave a 1 if the movement was greater than previous 10 days median, and 0 otherwise, and I computed the average value by day of the week over the time period.

1993-today 2006-today 1993-1999
Monday 44% 43% 43%
Tuesday 50% 48% 51%
Wednesday 52% 57% 49%
Thursday 52% 53% 53%
Friday 48% 47% 47%

There doesn’t seem to be much difference, although through the years Monday and Friday have had slightly less movement then the rest of the week. In particular Thursday has consistently had more movement than the median. Wednesday had the most movement recently (2006 on), but was below average in the 1990’s.


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