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Does the Opening Move Actually Hold All Day?

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Chapters8 segments · tap to seek
ticker lesson

Breakdown

0:00lesson

S&P intraday volatility and directional persistence

  • Looking at S&P intraday volatility and directional persistence
  • Early market moves contain directional info but also noise
  • Analyzing how large early moves hold throughout the day
  • Comparing up moves, down moves, and flat sessions
1:30lesson

Volatility clustering and trend clarity

  • Volatility clusters near the open and close
  • Trend becomes clearer after morning noise
  • Large up moves hold better than large down moves
  • 77% of large up moves close up vs 62% of large down moves
3:09lesson

Intraday reversals and overnight volatility

  • Large intraday moves often persist
  • 22% chance of reversal for large down moves
  • Overnight volatility is less than intraday
  • Large moves signal unusual market conditions
4:48lesson

Directional persistence and probability of reversal

  • Large moves tend to persist after first hour
  • 72% of large down moves close down
  • 77% of large up moves close up
  • Reversal chances drop after one and a half hours
6:30lesson

Historical data and trend confirmation

  • Trends persist after first hour and a half
  • 48% of large 30-minute down moves reverse
  • 25% reverse after one and a half hours
  • Trends are more likely to hold as time passes
8:13lesson

Binary signals and counter-trend trades

  • Binary signals of red or green dominate
  • Counter-trend trades become lower probability
  • Large moves surviving first hour and a half are strong
  • Fading established trends is lower probability
9:54lesson

Market weakness and key price levels

  • Market looking weak with key levels under pressure
  • Oil crosses 90, ES drops below 7,800
  • Gold drops below 4,350, 10-year crosses 5
  • Dollar making headway above 101 Dixie
11:45lesson

Trading updates and market commentary

  • Starbucks trade with diagonal spread
  • December 95 bought, October 100 sold
  • Spread width of $5, no risk to upside
  • Market commentary and call to action

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