Distribution of High and Low Ticks in Different Market Regimes, 06/26/09
In the e-mini S&P futures, the distribution of high and low intraday bar ticks changes with the trend of the current market regime.
Since 2007, the odds of the high tick for a given intraday bar are about 2% more likely to end in .25 or .75 than in either .00 or .50.
Contrast this with the period from 1997-1999, the odds of the high tick for a given intraday bar were over 15% more likely to end in .00 than in .25.
Since 2007, the odds that the low tick for a given intraday bar are about 4% more likely to end in .25 than any of .00, .50, or .75.
The distribution of high and low ticks is roughly equal over the period of 1997 to present.