Volume vs Range

I've been reading some TraderFeed (this post for instance) recently and Dr. Steenbarger often mentions the relationship between Volatility and Volume. I did a simple study and present the data in the charts below. What I consider as Volatility is the Range for the day (the change between high and low). Volume is, just that, volume. In any case, the past few years has shown remarkable correlation.

(average volume has fluctuated over time and increased significantly from 1993)

Now, of course, it would be interesting to take the first 5,10, 15, 30mins, or hour of volume and see if that in any way correlates to the range expected for the rest of the day. I'm guessing it does. But I'll have to wait on that study until I have a bit more data.

SPY Gap Statistics

I read some of The Gap Guy yesterday while researching anything I could find online about gap trading. He got me to thinking about ways I could narrow down the gaps that I trade. Anyway, I posted some statistics on individual stock gaps a while back and I will post some stats on individual stocks again; but, the table below is on the SPY. 

The table shows the percentage of gaps that closed based on certain characteristics. These characteristics are whether the "prev day" (i.e. previous day) was positive or negative (i.e. up or down); the percentage of the gap (e.g. >.001<.005 = >0.1%<0.5%), and perhaps least familiar, the "type."

Something is "type 0" if the gap opens above the high of the previous day; "type 1" if it opens between the high and the next position ('prev open' when the last day was down, 'prev close' if the last day was up); "type 2" if it opens between the open and the close of the previous day; "type 3" if it opens below the next position ('prev close' when the last day was down, 'prev open' if the last day was up); and, "type 4" if the gap opens below the previous days' low.  (Check out this page at the gap guy for more visual info)

Note: I highlighted everything with a 55% occurrence or higher. I cannot guarantee the accuracy of the info! And, even if a certain zone has a high occurrence of gap closures, I cannot guarantee trading these gaps will result in profit. Please do your own due diligence and use this info only as a start to your own analysis. 

(Click here for an html table of the data.)

CLICK ON LINKS TO SEE TABLE.

(Click here for an html table of the data.)

TICK-NYSE vs SPY

Starting to collect data on NYSE's TICK index. Hoping TICK research will aid in position entry and exit.

Options Expiration Friday Range

I was curious as to how much the SPY fluctuated every third Friday of the month (options expiration Friday). Here's a graph of SPY range (high minus low) over the opening price. The percentage is shown on the y, and the x has the month.

For reference, the average range percentage over this period is 1.3%. So it doesn't look like options expiration has recently caused that much more volatility than on other days, at least for the SPY itself. (Sorry, I didn't get July's expiration range in there, albeit ~.5%)