NYSE tick – Average of First 5 minutes and IWM’s performance

I was curious if you looked at the average of the first 5 minutes of NYSE tick data (based on about 450 days of historical data from Interactive  Brokers), if that gave any indication of how high / low the price would go from opening.  Each row represents about 50 days, sorted by the average of the first 5 minute closing values of the NYSE tick.

nyse tick first 5 min average high – open open – low
from to 90% median 90% median
-624 -279.2 0.02% 0.85% 0.27% 1.22%
-279 -172.6 0.13% 0.91% 0.36% 1.38%
-172.6 -98 0.27% 1.06% 0.19% 0.75%
-97.4 -25 0.25% 1.22% 0.20% 0.99%
-22 45.2 0.10% 0.81% 0.22% 1.07%
47.6 111.6 0.10% 0.81% 0.25% 1.07%
112.2 202 0.19% 0.57% 0.18% 1.42%
203.8 304 0.17% 1.16% 0.36% 0.97%
305.6 567 0.38% 0.93% 0.02% 0.73%

I was looking at 2 areas – when the average is at extremes what is the minimum price movement to be expected (90% of all moves greater) from open to close. Also, was there any indication on direction of the price for the rest of the day. Based on the table, it seems that at the extremes, you have a larger likelihood of movement in that direction. For example, if the average of the first 5 minutes of ticks (at the end of 9:30-9:34) was -500, then 90% of the time the low of the day was going to be at least .27% lower than the open (the median low is 1.27% lower than the open).

On the other hand, the table seems to indicate no relationship between the average of the first 5 minutes of tick and the ultimate open to high or open to close, because the median value column doesn’t seem to indicate any relationship – the median open to high for all points was 93%, and at the extreme tick values the median value was fairly close.

So, it seems if you see extreme opening tick values, and the IWM hasn’t gone at least .25% or so in the direction of the extreme values, you can feel fairly comfortable that the IWM will eventually (9 times out of 10) go .25% in the direction of the extreme tick values.  This does not account for volatility, that probably would adjust the .25% value.


Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )


Connecting to %s

%d bloggers like this: