Statistics of Price Movements of S&P 500 Ex-Fossil Fuel ETF SPDR (SPYX)

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

The statistics are calculated using SPYX's price data across 1,313 trading days from 2015 to 2020.

Table 1. Statistics of SPYX 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 1,313 trading days, 53.3% of the time (699 days), SPYX closed above the previous day's closing price. 41.7% of the time (547 days), it closed below the previous day's closing price. 5.0% of the time (66 days), it did not change.

Also see: VIX price movement study.

SPYX Price Change (%)	Number of Days	% of Total Sessions
9 – 10%	1	0.08%
8 – 9%	1	0.08%
7 – 8%	1	0.08%
5 – 6%	2	0.15%
4 – 5%	4	0.30%
3 – 4%	5	0.38%
2 – 3%	15	1.14%
1 – 2%	124	9.45%
0 – 1%	546	41.62%
0%	66	5.03%
0 – -1%	422	32.16%
-1 – -2%	75	5.72%
-2 – -3%	29	2.21%
-3 – -4%	11	0.84%
-4 – -5%	5	0.38%
-5 – -6%	2	0.15%
-7 – -8%	1	0.08%
-9 – -10%	1	0.08%
-11 – -12%	1	0.08%

Table 2. Statistics of SPYX: 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 SPYX.

40.7% of the time (535 days), SPYX closed above the opening price. 52.9% of the time (695 days), it closed below the opening price. 6.3% of the time (83 days), it closed where it started.

Closing - Open (%)	Number of Days	% of Total Sessions
5 – 6%	1	0.08%
4 – 5%	1	0.08%
3 – 4%	4	0.30%
2 – 3%	10	0.76%
1 – 2%	41	3.12%
0 – 1%	478	36.41%
0%	83	6.32%
0 – -1%	565	43.03%
-1 – -2%	93	7.08%
-2 – -3%	23	1.75%
-3 – -4%	11	0.84%
-4 – -5%	1	0.08%
-5 – -6%	1	0.08%
-6 – -7%	1	0.08%

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

In the past 1,313 trading days, SPYX opened more than 5% higher than the previous day's closing price 3 times. Of these days, 100.0% (3 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	33.33%
2 – 3%	1	33.33%
1 – 2%	1	33.33%

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

On 2 days, SPYX 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% (2 days) had closing prices below the opening price.

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

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

2 times SPYX opened 3 – 4% higher than the previous day's closing price. Among these days, 50.0% (1 days) closed above the opening price, 50.0% (1 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
0 – 1%	1	50.00%
-5 – -6%	1	50.00%

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

15 times SPYX opened 2 – 3% higher than the previous day's closing price. Among these days, 13.3% (2 days) closed above the opening price, 86.7% (13 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
2 – 3%	1	6.67%
0 – 1%	1	6.67%
0 – -1%	5	33.33%
-1 – -2%	3	20.00%
-2 – -3%	2	13.33%
-3 – -4%	2	13.33%
-6 – -7%	1	6.67%

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

92 times SPYX opened 1 – 2% higher than the previous day's closing price. Among these days, 44.6% (41 days) closed above the opening price, 53.3% (49 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
4 – 5%	1	1.09%
1 – 2%	5	5.43%
0 – 1%	35	38.04%
0%	2	2.17%
0 – -1%	36	39.13%
-1 – -2%	9	9.78%
-2 – -3%	4	4.35%

Table 8. Periods when SPYX moved 15% or more

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

In this table, we track the price movements in the 20 days after SPYX 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	-11.4%	5.9	-3.4	3.1	9.3	4.6	10.2	15.8

Table 10. Periods when SPYX moved 5% or more

In this table, we track the price movements in the 20 days after SPYX 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
20200313	9.1%	-11.4	-10.8	-10.0	-6.6	-9.2	-1.9	2.6
20200324	8.7%	1.4	7.5	2.9	8.4	13.9	13.7	15.5
20200406	7.2%	-.5	4.5	4.3	6.0	4.8	7.2	5.8
20200317	5.9%	-5.9	-11.8	2.8	1.4	-2.5	7.7	8.2
20200326	5.5%	-3.1	-5.8	1.8	6.4	8.6	9.5	6.9
20200318	-5.9%	1.1	2.0	5.8	2.9	11.2	16.2	18.6
20200611	-5.9%	1.4	3.9	3.6	2.4	2.9	4.1	5.5
20200309	-7%	4.4	-1.6	-13.2	-18.6	-5.2	-6.4	-10.0
20200312	-9.5%	9.2	-3.6	-9.6	5.2	3.8	-.2	10.3
20200316	-11.4%	5.9	-3.4	3.1	9.3	4.6	10.2	15.8

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

Of the 1,313 trading days from 2015 to 2020, there were 5 days in which SPYX was up 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%	-3.9	-3.3	.4	3.1	3.1	7.2	7.8

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

Of the 1,313 trading days from 2015 to 2020, there were 5 days in which SPYX 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%	4.4	-.6	-2.1	.3	3.5	4.8	8.0

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Also see: VIX price movement study.