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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