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Question of the Week - Nov 10th 2015

How do volume patterns at month end compare to other days in mid cap names?

 

Chart 1:  Intraday Volume Patterns for Mid Cap Names from 2008- 2014 on the Last Day of the Month 

 

Chart 2:  Intraday Volume Patterns for Mid Cap Names from 2008- 2014 Ex the Last Day of the Month  

  • In the above charts darker colors represent data from older months while lighter colors represent data from more recent months
  • Volume patterns show that more volume is executed in the last bin of the last day of the month when compared to other days. In recent months the 3:45 – 4 pm bin volume has exceeded 20% on the last day of the month while the figure is around 15% of volume for other days

 

5 minute bin empirical data was aggregated into 15 minute intervals after excluding after hours trading. Bin dollar volumes were calculated by multiplying bin shares * bin VWAP. Bin dollar volume as a percent of daily volume was calculated for each bin and aggregated to a monthly average. Mid cap names are defined as those with a market cap between $500 million and $5 billion (USD)

 

Refer to Equity Related Analytics for information on available Intra-day 5 minutes statistics.

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