29 Nov Some mini-S&P 500 statistics based on Initial Balance discussed today
I commented on the fact that the Initial Balance (IB) today was 12.5 points yet the market continued to trade inside the range.
The question was: What are the chances that the mini S&P’s will continue to stay in a 12.5 pt range with both IBs intact before the close? (this is known as a “normal day type” in profile lingo)
Many of you guessed that it is probably less than 5% probability with some of you providing 2% as an answer. This is in concurrence with my research on the S&P as well. HOWEVER, the market didn’t break below or above the IB by the close of business today. Hence, today fell within the 2% statistic.
Here is where I get my numbers from and what my research showed based on 253 sample days ending June 2011 (I’m only providing 1 year of data here):
One can dig deeper and see what the probabilities would be at a given time of day and I have those numbers. However, my research is not up to date and I don’t feel it is wise to show stale data.