Statistics of Price Movements of MLCX Grains Index TR ETN Elements (GRU)

The price movements of MLCX Grains Index TR ETN Elements (ticker GRU) are summarized in five ways:

• Table 1. Statistics of daily price changes using the closing prices
• Table 2. Statistics of daily price changes using the closing and opening prices
• Table 3 – 7. Statistics of daily price changes when GRU opened with an increase of 1%, 2%, 3%, 4%, or more than 5%
• Table 8 – 10. Statistics of stock price changes in the 20 days after GRU had a big price move
• Table 11. Statistics of daily price changes in the 20 days after GRU moved 5% with twice the 30-day average volume

The statistics are calculated using GRU's price data across 1,551 trading days from 2015 to 2020.

Table 1. Statistics of GRU one-day price changes

In this table, the one-day price change is calculated using the closing price and the previous day's closing price.

In the past 1,551 trading days, 37.1% of the time (575 days), GRU closed above the previous day's closing price. 42.4% of the time (657 days), it closed below the previous day's closing price. 20.5% of the time (318 days), it did not change.

Also see: VIX price movement study.

GRU Price Change (%)	Number of Days	% of Total Sessions
11 – 12%	1	0.06%
8 – 9%	1	0.06%
7 – 8%	2	0.13%
6 – 7%	2	0.13%
5 – 6%	1	0.06%
4 – 5%	7	0.45%
3 – 4%	29	1.87%
2 – 3%	68	4.39%
1 – 2%	163	10.52%
0 – 1%	301	19.42%
0%	318	20.52%
0 – -1%	349	22.52%
-1 – -2%	203	13.10%
-2 – -3%	68	4.39%
-3 – -4%	22	1.42%
-4 – -5%	11	0.71%
-6 – -7%	3	0.19%
-7 – -8%	1	0.06%

Table 2. Statistics of GRU: Closing vs. Open

In this table, instead of using the closing price of the previous day, the opening price is used to calculate the one-day price change of GRU.

31.7% of the time (492 days), GRU closed above the opening price. 32.9% of the time (511 days), it closed below the opening price. 35.3% of the time (548 days), it closed where it started.

Closing - Open (%)	Number of Days	% of Total Sessions
9 – 10%	2	0.13%
8 – 9%	2	0.13%
7 – 8%	5	0.32%
5 – 6%	2	0.13%
4 – 5%	8	0.52%
3 – 4%	14	0.90%
2 – 3%	48	3.09%
1 – 2%	122	7.87%
0 – 1%	289	18.63%
0%	548	35.33%
0 – -1%	296	19.08%
-1 – -2%	133	8.58%
-2 – -3%	51	3.29%
-3 – -4%	19	1.23%
-4 – -5%	7	0.45%
-5 – -6%	2	0.13%
-6 – -7%	2	0.13%
-10 – -11%	1	0.06%

Table 3. One-day performance when GRU opened 5% higher than previous close

In the past 1,551 trading days, GRU opened more than 5% higher than the previous day's closing price 6 times. Of these days, 16.7% (1 days) had closing prices above the opening price, and 83.3% (5 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
1 – 2%	1	16.67%
-2 – -3%	3	50.00%
-3 – -4%	1	16.67%
-5 – -6%	1	16.67%

Table 4. Closing vs. open when GRU opened 4–5% higher

On 6 days, GRU opened 4–5% higher than the previous day's closing price. Of these days, 0.0% (0 days) had closing prices above the opening price, and 100.0% (6 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
0 – -1%	1	16.67%
-1 – -2%	1	16.67%
-3 – -4%	2	33.33%
-6 – -7%	2	33.33%

Table 5. Closing vs. open when GRU open 3 – 4% higher

23 times GRU opened 3 – 4% higher than the previous day's closing price. Among these days, 17.4% (4 days) closed above the opening price, 60.9% (14 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
1 – 2%	2	8.70%
0 – 1%	2	8.70%
0%	5	21.74%
0 – -1%	3	13.04%
-1 – -2%	2	8.70%
-2 – -3%	5	21.74%
-4 – -5%	3	13.04%
-10 – -11%	1	4.35%

Table 6. Closing vs. open when GRU open 2 – 3% higher

64 times GRU opened 2 – 3% higher than the previous day's closing price. Among these days, 31.3% (20 days) closed above the opening price, 50.0% (32 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
9 – 10%	1	1.56%
1 – 2%	9	14.06%
0 – 1%	10	15.62%
0%	12	18.75%
0 – -1%	11	17.19%
-1 – -2%	5	7.81%
-2 – -3%	11	17.19%
-3 – -4%	2	3.12%
-4 – -5%	2	3.12%
-5 – -6%	1	1.56%

Table 7. Closing vs. open when GRU open 1 – 2% higher

156 times GRU opened 1 – 2% higher than the previous day's closing price. Among these days, 27.6% (43 days) closed above the opening price, 55.8% (87 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
2 – 3%	3	1.92%
1 – 2%	14	8.97%
0 – 1%	26	16.67%
0%	26	16.67%
0 – -1%	46	29.49%
-1 – -2%	29	18.59%
-2 – -3%	9	5.77%
-3 – -4%	3	1.92%

Table 8. Periods when GRU moved 15% or more

In this table, we track the price movements in the 20 days after GRU had a one-day price change of at least 15%.

Date	Price Change	Price Change after 15% Move
Days after:		1	4	7	10	13	16	19

Table 9. Periods when GRU moved 10% or more

In this table, we track the price movements in the 20 days after GRU had a one-day price change of at least 10%.

Date	Price Change	Price Change after 10% Move
Days after:		1	4	7	10	13	16	19
20201020	11.8%	-4.3	-2.7	-1.8	-4.9	-4.0	-1.8	-1.8

Table 10. Periods when GRU moved 5% or more

In this table, we track the price movements in the 20 days after GRU had a one-day price change of at least 5%.

Date	Price Change	Price Change after 5% Move
Days after:		1	4	7	10	13	16	19
20201020	11.8%	-4.3	-2.7	-1.8	-4.9	-4.0	-1.8	-1.8
20200924	8%	.5	.5	1.5	.8	1.5	1.0	8.1
20200813	7.6%	-.7	-.5	-3.9	.7	6.4	-1.8	1.6
20200709	7.2%	-3.6	-7.4	-6.7	-8.6	-7.6	-7.2	-10.7
20200423	6.8%	-4.0	-2.6	-3.5	-3.3	-4.3	-3.0	-4.5
20201005	6.3%	-.2	-2.5	1.7	-.5	8.3	10.9	12.3
20150630	5.9%	-1.7	-1.9	-3.0	-2.4	-4.1	-8.8	-13.7
20200804	-6%	.6	1.4	9.9	7.2	8.9	6.2	11.7
20200902	-6.6%	.7	3.4	1.9	.3	2.7	6.4	6.4
20150812	-6.8%	1.3	.7	.7	.0	-.7	-3.8	-2.2
20201102	-7.5%	2.0	3.0	5.3	5.3	4.1	9.2	4.4

Table 10a. GRU average price changes following a 5% up day

Of the 1,551 trading days from 2015 to 2020, there were 7 days in which GRU was up more than 5%. This table shows the average price changes over the 7 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 5%	-2.0	-2.4	-2.2	-2.6	-.6	-1.5	-1.3

Table 10b. GRU average price changes following a 5% down day

Of the 1,551 trading days from 2015 to 2020, there were 4 days in which GRU was down more than -5%. This table shows the average price changes over the 4 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -5%	1.2	2.1	4.5	3.2	3.7	4.5	5.1

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Also see: VIX price movement study.