Intra day movements from open greater or less than 30% of 10 median daily range – Part 2 – day of week/trading day of month

Using the same logic as the prior post, but this time I looked at by day of the week and trading day of the month.  I need to point out the number of occurrences for any day of the week cell is fairly low – typically between 20 and 40 occurrences.  This reduces my confidence in the results.

For open to high:

Trading day of the Month Any Day Monday Tuesday Wednesday Thursday Friday
1 71% 65% 79% 79% 67% 74%
2 59% 59% 63% 73% 63% 18%
3 58% 33% 75% 55% 57% 67%
4 64% 50% 61% 70% 67% 63%
5 52% 52% 53% 56% 45% 53%
6 60% 63% 46% 74% 50% 65%
7 57% 67% 52% 38% 68% 71%
8 62% 61% 62% 63% 65% 56%
9 64% 61% 68% 52% 63% 72%
10 63% 64% 65% 63% 52% 66%
11 68% 73% 72% 70% 63% 57%
12 53% 59% 49% 56% 65% 42%
13 63% 69% 70% 63% 56% 60%
14 59% 67% 68% 65% 56% 48%
15 59% 40% 58% 79% 75% 58%
16 60% 67% 67% 58% 53% 45%
17 62% 63% 60% 72% 53% 58%
18 67% 61% 68% 64% 69% 75%
19 61% 59% 53% 73% 63% 57%
20 58% 65% 67% 50% 58% 53%
any 61% 61% 62% 64% 61% 58%

Overall about 61% of the time, the daily high vs open will be more than 30% of the 10 day median daily range. Wednesday had a slightly higher number of occurrences, Thursday was an average type day (few extreme readings) and Friday’s had slightly fewer number of occurrences, but was more day of the month dependent. The first trading day of the month had a noticeable higher number of occurrences, particularly when it occurred on Tuesday or Wednesdays.

For moves from open to low:

Trading day of the Month Any Day Monday Tuesday Wednesday Thursday Friday
1 59% 60% 67% 47% 67% 53%
2 53% 59% 53% 35% 47% 82%
3 67% 67% 50% 72% 68% 72%
4 67% 78% 50% 70% 61% 81%
5 71% 70% 74% 72% 75% 69%
6 67% 67% 62% 63% 89% 60%
7 66% 48% 72% 77% 68% 53%
8 67% 61% 67% 72% 62% 72%
9 70% 72% 79% 71% 74% 52%
10 68% 76% 55% 68% 62% 73%
11 59% 57% 47% 60% 58% 81%
12 74% 71% 73% 72% 75% 84%
13 71% 69% 85% 61% 63% 90%
14 69% 50% 63% 65% 76% 77%
15 61% 70% 53% 47% 75% 58%
16 61% 49% 67% 63% 71% 68%
17 65% 74% 63% 59% 76% 58%
18 59% 61% 68% 49% 69% 50%
19 63% 59% 89% 59% 66% 51%
20 67% 77% 61% 50% 68% 72%
any 65% 65% 64% 62% 68% 67%

Here, Thursdays and Fridays had more occurrences.  First two days of the month had fewer occurrences, but  for the second trading day when it falls on Friday seems to be particularly prone to down moves.
The following table looks at the number from the end of the month, first open to high:

Trading day until end of the Month Any Day Monday Tuesday Wednesday Thursday Friday
1 64% 59% 71% 74% 63% 59%
2 60% 56% 53% 73% 60% 56%
3 63% 72% 64% 61% 65% 59%
4 67% 55% 65% 84% 80% 60%
5 61% 59% 67% 59% 58% 64%
6 60% 59% 47% 62% 60% 63%
7 55% 44% 57% 70% 54% 41%
8 67% 74% 74% 60% 76% 56%
9 57% 58% 63% 59% 63% 38%
10 59% 72% 41% 63% 43% 61%
11 64% 75% 63% 71% 65% 56%
12 60% 56% 67% 56% 65% 50%
13 61% 53% 62% 63% 56% 70%
14 61% 65% 65% 50% 62% 56%
15 67% 70% 75% 62% 63% 67%
16 55% 53% 33% 63% 56% 64%
17 59% 67% 47% 59% 58% 71%
18 55% 33% 62% 58% 79% 45%
19 64% 59% 68% 64% 59% 70%
20 56% 50% 62% 63% 65% 46%
any 61% 61% 62% 64% 61% 58%

And down movement with respect to end of month:

Trading day until end of the Month Any Day Monday Tuesday Wednesday Thursday Friday
1 66% 76% 71% 68% 68% 61%
2 64% 81% 63% 45% 66% 72%
3 57% 56% 68% 52% 65% 53%
4 59% 60% 69% 26% 60% 65%
5 63% 69% 61% 65% 68% 48%
6 65% 53% 65% 76% 72% 61%
7 74% 75% 76% 63% 79% 76%
8 62% 42% 70% 67% 53% 67%
9 64% 63% 63% 65% 58% 76%
10 75% 62% 82% 63% 90% 85%
11 63% 63% 58% 43% 62% 77%
12 69% 67% 52% 74% 70% 81%
13 70% 79% 68% 70% 81% 55%
14 64% 62% 65% 75% 57% 67%
15 62% 63% 63% 71% 58% 58%
16 66% 73% 67% 63% 71% 59%
17 77% 67% 79% 88% 75% 64%
18 70% 72% 59% 65% 64% 95%
19 57% 56% 45% 50% 68% 75%
20 59% 66% 77% 53% 40% 64%
any 65% 65% 64% 62% 68% 67%

Finally, looking at options expiration (-5 is the fifth day before options expiration, -1 is options expiration, 1 is the day after options expiration).

days until expiration up down
-5 67% 61%
-4 62% 63%
-3 62% 66%
-2 57% 67%
-1 51% 77%
0
1 56% 62%
2 66% 64%
3 65% 61%
4 63% 63%
5 58% 65%

Here, options expiration had a noticably more number of times >30% move on the downside, and the next day (usually a Monday) has a noticeable fewer open to high that exceeded 30% of the median range than the typical Monday, with Tuesday reversing and having a few more up moves than typical Tuesday.

No graphs because they didn’t seem to convey much information, it would have been nice if WordPress would have preserved the coloring in my excel tables.

For next week, Tuesday will be the fifth day before the end of month, so it (and Wednesday) would appear to have higher than normal chances to have a high more than 30% of the median range, and lower than normal chances for open to low.  The last couple of days of the month (this coming Friday/ next Monday) favor having a larger than 30% of median move downwards.

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