Intraday Price Patterns

Vladimir Daragan   STTA Consulting

We present the results of statistical analysis of intraday prices of the SPY shares which are related to the SP 500 index. The results of our analysis based on the intraday price file which is published in our journal (publication 06-05). The file presents historical 15 min interval prices of SPY for the period from June 1997 to September 2001. 

We present the average price changes

P(t) - P(9:30), %

where P(t) is intraday price, P(9:30) is the opening price. The results for the whole studied period are shown on the next figure. The vertical bars represent standard deviations.

One can see that in average the price decline during the trading day and only the positive overnight move allows to keep positive daily price change. There is a very interesting intraday maximum at 13:30.  Similar pattern is also observed for QQQ (NASDAQ-100) shares.

We also studied intraday price patterns for the bull and bear markets. The studied period of time can be divided into the bull and bear market periods as it shown on the next figure.

The next figure shows the average price changes during the bull (green) and bear (red) markets.

One can see that the local  maxima at 13:30 exist for any market. The overnight gaps are more pronounced for the bull market. For the bear market there is a small negative overnight gap and the price decline is the largest after the market