Monday, January 13, 2014

Which Day of the Week has the Most Volatility?

For swing traders, every day is a day to make money.  One of the most annoying things for a trader is when a market just sits there.  It got me to thinking if there a pattern to the market moving.  What day of the week is the stock market most volatile, with the best opportunity to make money?  Not to mention when is risk the highest of losing money.

There are a lot of volatility measures, the most popular being the VIX, but I looked at it a little differently.  I looked at the difference for the high and low of the $SPY to see what the range was, and totaled it for the year 2013.  A nice small sample.

Monday 59.63
Tuesday 68.12
Wednesday 80.01
Thursday 70.33
Friday 65.49

As you can see above, the day with the biggest swing is Wednesday.   Interestingly, it really is hump day, with the action getting larger until Wednesday and then falling off.  The numbers about don't normalize for the fact that there are more Monday holidays, but if you take those into account, Monday is still the least volatile. 

The data hold up pretty well over prior years of 2012 and 2011 as well.  Monday is the least volatile in every year, even correcting for fewer trading days because of holidays.  Swing traders may want to consider four day weeks every week.  Or at least realize that most of the opportunity to make money is mid-week.    

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