Quantitative price relationships, inter-day

         Use the inter-day quantitative price relationship question to examine the relationships of key price levels between different days.

Example:

         Market establishes value more than a half point higher than the prior day’s close.

Questions from Traders:

         What is the risk in going home short overnight? What is the safest day to be short overnight?

Setting Up the Search:

Click on the parts of the box below where appears for explanations of features.

Answers:

         We used the high value price as a price which represents where a trader could reasonably be expected to get into or out of a position, on average, during the day. Using the high value price in our example, we see that a trader is exposed to losing more than 16 ticks on an overnight position about 18% of the time. By scrolling through the Days Matching list in the Search Results window we scanned for a day which appeared less frequently than other days. Just by "eyeballing," Wednesday seems to appear less often than any other day. We can conclude that Tuesday night poses the least risk to inter-day short sellers. Here are the percentages we got when we refined our test search by the day of the week:

         Monday: 19.1%
         Tuesday: 20.1%
         Wednesday: 7.8%
         Thursday: 24.3%
         Friday: 28.7%

         One interesting feature we noted: over-the-weekend trades posed less risk than any other period except Tuesday to Wednesday. With the monthly unemployment report falling on a Friday, it was not surprising to find that the largest number of inter-day jumps of greater than half a point occurred from Thursday to Friday.