Statistics of Price Movements of S&P 500 SPDR (SPY)

The price movements of S&P 500 SPDR (ticker SPY) 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 SPY 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 SPY had a big price move
• Table 11. Statistics of daily price changes in the 20 days after SPY moved 5% with twice the 30-day average volume

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

Table 1. Statistics of SPY 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, 52.6% of the time (816 days), SPY closed above the previous day's closing price. 43.7% of the time (678 days), it closed below the previous day's closing price. 3.6% of the time (56 days), it did not change.

Also see: VIX price movement study.

SPY Price Change (%)	Number of Days	% of Total Sessions
9 – 10%	1	0.06%
8 – 9%	1	0.06%
6 – 7%	1	0.06%
5 – 6%	4	0.26%
4 – 5%	2	0.13%
3 – 4%	5	0.32%
2 – 3%	19	1.23%
1 – 2%	155	10.00%
0 – 1%	628	40.52%
0%	56	3.61%
0 – -1%	529	34.13%
-1 – -2%	93	6.00%
-2 – -3%	32	2.06%
-3 – -4%	13	0.84%
-4 – -5%	6	0.39%
-5 – -6%	2	0.13%
-7 – -8%	1	0.06%
-9 – -10%	1	0.06%
-10 – -11%	1	0.06%

Table 2. Statistics of SPY: 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 SPY.

52.1% of the time (808 days), SPY closed above the opening price. 43.9% of the time (681 days), it closed below the opening price. 4.0% of the time (62 days), it closed where it started.

Closing - Open (%)	Number of Days	% of Total Sessions
4 – 5%	2	0.13%
3 – 4%	5	0.32%
2 – 3%	10	0.64%
1 – 2%	73	4.71%
0 – 1%	718	46.29%
0%	62	4.00%
0 – -1%	572	36.88%
-1 – -2%	81	5.22%
-2 – -3%	20	1.29%
-3 – -4%	6	0.39%
-4 – -5%	1	0.06%
-5 – -6%	1	0.06%

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

In the past 1,551 trading days, SPY opened more than 5% higher than the previous day's closing price 2 times. Of these days, 100.0% (2 days) had closing prices above the opening price, and 0.0% (0 days) had closing prices below the opening price.

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

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

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

Closing - Open (%)	Number of Days	% of Total Sessions

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

5 times SPY opened 3 – 4% higher than the previous day's closing price. Among these days, 40.0% (2 days) closed above the opening price, 60.0% (3 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
2 – 3%	1	20.00%
1 – 2%	1	20.00%
-2 – -3%	1	20.00%
-3 – -4%	1	20.00%
-4 – -5%	1	20.00%

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

8 times SPY opened 2 – 3% higher than the previous day's closing price. Among these days, 62.5% (5 days) closed above the opening price, 37.5% (3 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
3 – 4%	1	12.50%
1 – 2%	1	12.50%
0 – 1%	3	37.50%
0 – -1%	2	25.00%
-1 – -2%	1	12.50%

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

50 times SPY opened 1 – 2% higher than the previous day's closing price. Among these days, 64.0% (32 days) closed above the opening price, 34.0% (17 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
2 – 3%	2	4.00%
1 – 2%	4	8.00%
0 – 1%	26	52.00%
0%	1	2.00%
0 – -1%	12	24.00%
-1 – -2%	5	10.00%

Table 8. Periods when SPY moved 15% or more

In this table, we track the price movements in the 20 days after SPY 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 SPY moved 10% or more

In this table, we track the price movements in the 20 days after SPY 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
20200316	-10.9%	5.4	-4.6	2.9	9.1	5.0	10.5	16.0

Table 10. Periods when SPY moved 5% or more

In this table, we track the price movements in the 20 days after SPY 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
20200324	9%	1.5	7.6	3.6	9.0	14.4	14.2	15.8
20200313	8.5%	-10.9	-10.7	-9.7	-5.9	-8.6	-1.7	3.3
20200406	6.7%	.1	5.0	4.9	6.3	5.4	7.9	6.8
20200326	5.8%	-3.0	-5.8	1.4	6.5	8.6	9.7	6.9
20200317	5.3%	-5.1	-11.8	3.3	2.0	-1.8	8.4	9.0
20200310	5.1%	-4.9	-16.8	-16.6	-15.7	-12.1	-14.7	-8.2
20181226	5%	.8	1.5	2.5	4.8	4.6	6.8	6.8
20200318	-5%	.2	1.3	5.6	2.6	10.4	15.9	18.2
20200611	-5.7%	1.2	3.7	3.3	2.2	2.6	3.9	5.2
20200309	-7.8%	5.2	-1.8	-12.5	-18.7	-4.8	-6.0	-9.5
20200312	-9.5%	8.5	-3.3	-10.1	5.3	3.9	.0	10.4
20200316	-10.9%	5.4	-4.6	2.9	9.1	5.0	10.5	16.0

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

Of the 1,551 trading days from 2015 to 2020, there were 7 days in which SPY 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%	-3.1	-4.4	-1.5	1.0	1.5	4.4	5.8

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

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

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -5%	4.1	-.9	-2.2	.1	3.4	4.9	8.1

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Also see: VIX price movement study.