How High Can Piggies Fly

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following my last post about different times of day on which high of day tends to be, I received some questions regarding how high those highs can get. Namely, what % should we expect from open, low of pre market, etc. In the following post I will show you some interesting stats of highs, lows and ranges.

High from open – how high will the squeeze be?

73% of stocks tends to squeeze less than 20% from open. We can see in the histogram that most of the stocks will squeeze only 5% from open. But despite the temptation to short into the 5% mark frontside, we still have a lot of instances that go higher, so this is not a strategy I use.

We can also see a long tail on the right side for all the runners, stocks that run in the morning or all day for more than 30%, and can get to hundreds of percents. Those are the instances that make us use our stops.

PMH as a reference

An interesting thing to check is how price react to pre market high. How many times will it go above it? what % of it will it cover?

In the following histogram, the calculation is HOD / PMH

We can see that most instances will cover 90%-95% of pre market high, and most of them will go up to 15% above it. That’s why PMH is a great reflection point to watch when shorting.

How low can a piggie go?

Regarding low from open, most of the stocks will go -10% to -15% from open. 64% of the instances will go more than -10% from open.

conclusion

In small caps space, we know that 74% of the stocks that gap up will close red. Among those, most of them will squeeze 5% from open before they go down, and most of them will go down -10% from open. That’s why shorting those makes so much sense in terms of success rate and risk reward. Now go ahead and find a strategy that exploits this stats!

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