web analytics

Key for Market Stats Page

  • %Chg: percent change from the previous day’s close
  • SigmaSpike: the day’s change expressed as a standard deviation of the last 20 trading days. Values inside +/- 1.0 are generally insignificant, +/- 2.5 are large (for the volatility of the particularly instrument), and +/-4.0 are very large.
  • C/DayRng: the current price as the pipe “|” within the day’s range. Can easily see at a glance if trading near high or low of the day. The day’s open is “:”. You can read more about this indicator in my book.
  • For sectors, analysis is done using the State Street Sector SPDRs (XLE, XLF, etc.) %Chg is the day’s change for the SPRD, and Excess is the Excess Return for the day (the SPDR’s return – the S&P 500 return).

The individual stock tables are simply ticker lists showing the largest values for the following criteria:

  • SigmaSpike: Largest volatility-adjusted moves. (Note that this measure, though we might call it a “standard deviation spike”, does not assume that anything is normally distributed. You’ll see a handful of +/-4.0? moves on many days, and +/- 10? do happen.)
  • GapOpen: The stock’s opening gap, expressed as a SigmaSpike.
  • From Open: Stocks often reveal stronger trending character by their relationship to their opening print, rather than to the previous day’s close. This screen evaluates the move off the open as a SigmaSpike.
  • Largest Rel Volume: Stocks with the largest multiple of their 20 day average volume. Note that the “average” value for this number will change as the trading day progresses, but the relative position of a stock within this list should show some persistence. These are likely stocks in the news, or stocks experiencing a sharp flow of new information.
  • Largest Rel Ranges: First, we express each stock’s daily range as a % of the 20 day average range, and then choose the 10 with the largest values of that measure. These are the stocks with the largest daily ranges, relative to their own typical daily ranges.
  • Gap Analysis shows stocks with open gaps (today’s high < yesterday’s low or today’s low > yesterday’s high) remaining.

This data sheet was produced by Adam Grimes. You can find more of my writing and my blog at adamhgrimes.com/blog and I would encourage you to check out my daily research. (In fact, why don’t you just give us a free trial and see what you think?)

Feel free to redistribute and share the information in these scans, but I would appreciate links and attributions back to my site. (Essentially, be a good citizen and consider this information under the equivalent of a Creative Commons License.)

I will update this sheet as I am able, and will also tweet (@adamhgrimes) when updated. You are, of course, free to check back at any time to see if it has been updated, but this is being done on a “best efforts” basis. In other words, don’t depend on it being updated on any particular schedule.

Common sense disclaimers apply: I make every effort to make sure the information is accurate, but do not guarantee it to be so, and I’m not responsible for any losses you might incur if you choose to act on this information. You, and you alone, are responsible for the outcome of any trading and investment decisions you make. This information is presented for educational purposes only. If you’re so inclined, further disclosures are here.