overview of 1-2% drop at open from previous SPY close

Adam Grimes has an interesting post on using statistics to map the trading day (https://adamhgrimes.com/using-statistics-to-map-the-trading-day/) .  Before the open today, I gathered the following data on the high, low when the SPY opened between 1 and 2 percent below the prior close (there were about 200 instances):

 

prior cls vs opn hgh vs opn low vs opn cls vs opn cls vs prior cls
0% -1.00% 7.17% 0.00% 5.54% 3.86%
10% -1.05% 2.81% -0.15% 1.99% 0.66%
20% -1.10% 2.05% -0.32% 1.24% -0.07%
30% -1.14% 1.68% -0.47% 0.79% -0.60%
40% -1.20% 1.41% -0.72% 0.33% -0.93%
50% -1.28% 1.23% -0.90% 0.02% -1.30%
60% -1.38% 1.06% -1.12% -0.44% -1.64%
70% -1.48% 0.87% -1.38% -0.83% -2.20%
80% -1.59% 0.47% -1.80% -1.25% -2.62%
90% -1.73% 0.24% -2.57% -1.82% -3.25%
100% -1.96% 0.02% -6.89% -6.54% -7.83%

It appears that today it opened down about 1.6% (80 percentile), fell another 1.31% (70 percentile), reversed and rose 1.52% (lets say 35 percentile), with a close up 1.47% from the open (~15 percentile) with a slight negative close of -.15% ( ~ 25 percentile).

So, while there was fairly wide swings, today wasn’t totally out of line other days with 1-2 percent drops from opening.  the median down would have been only -.9% lower than the open and 1.23% up from the open for the high.   The more unusual behavior was that it ended near the highs of the day – more typically it closes near the open on days like today.

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