A question every day trader has wondered, answered with 15 years of minute data: does the market's opening move actually hold through the day, or does it reverse? The team defines a large move as a half percent in the first part of the session and tracks where SPX finishes after 30, 60 and 90 minutes, separating large up moves, large down moves and flat sessions. The backdrop is the famous U-shaped intraday volatility curve, most of the action is in the first 90 minutes and the last 30.
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Chapters
00:00 Does the opening move hold
00:25 Defining a large move
00:39 The U-shaped volatility curve
01:44 After 30 minutes
03:24 After one hour
05:47 After 90 minutes
06:23 Reversal odds drop to 10%
07:00 Up moves hold better, positive drift
08:00 When the r...