SPY open – predictions on close

I was curious how the SPY performed based on comparing the open vs prior close. In particular, I was curious if the open was lower, what is the likelihood that the close would also be lower than the prior day’s close.  I grouped the differences into 3 groups, down > .1%, up > .1% and where the change was less than .1%.  Using Yahoo Finance, adjusted data, I found

 

 cls < prior cls  cls similar p cls  cls > prior cls
open < prior close 64% 6% 30%
 open unchanged  43%  10%  47%
 open > prior close  28%  4%  68%

each row is sums to 100%, so for the first row, if the open was more than .1% below the prior day’s close, then 64% of the time the close was also below the prior day’s close, 6% the change was less than +/- .1% and 30% the close was more than .1% greater than the prior day’s close.

I looked to see if being above or below some simple moving average made a difference, and there wasn’t too much, of the numbers I looked at the 100 day had the most impact.

below 100 SMA
62% 4% 34%
42% 6% 52%
30% 2% 68%
above 100 SMA
64% 7% 29%
43% 11% 46%
28% 5% 68%

The value of the Vix was slightly more significant, but the movement was generally from closing down for the day to closing unchanged (about 3% chance of unchanged with vix>24.9 vs 9% chance when the vix is < 13.25)

vix > 24.9 (about 20% of the time)
67% 3% 30%
46% 2% 52%
28% 2% 70%
vix < 13.25 (about 20% of the time)
59% 9% 32%
37% 11% 51%
29% 7% 65%

So, it appears that the market will close lower about 2/3 of the time if it opens lower, and similarly if it opens higher, about 2/3 of the time it will close higher.  Not surprisingly, a low VIX environment will have more little changed occurrences.

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