Close-to-close changes AUD 05 2007

Analyzing the close-to-close behavior revealed AUD/USD closed unchanged three times, had a largest one-day decline of -0.0120 points (May 15, 2006), and had a largest one-day gain of +0.0095 points (April 15, 2006) — which happened to be the day after the day with the smallest range in the analysis period. Figure 4 shows the frequency distribution of the close-to-close differences. The most closing differences were in the +0.0025 category, which includes all moves from 0.0001 to 0.0025 points.

There were 61 close-to-close changes in this category. Eighty-four percent of the close-to-close differences were between -0.0050 and +0.0050 points. The AUD/USD pair closed up 54 percent of the time in the analysis period. Net closing gains exceeded +0.0050 points just 12 percent of the time, and net closing losses were -0.0050 points or larger four percent of the time.

Up-closing days

AUD/USD closed in positive territory on 142 days. Figure 5 shows these days, adjusted so the previous day’s closing price is used as the opening price (the 0.000 line); this highlights how much of each day’s range was above or below the previous close. The chart highlights the fact that on up-closing days, price usually never declined more than -0.0025 points below the previous close.

Moves -0.0050 or more below the previous close were even rarer: The low was
-0.0050 or more points below the previous close only four times on days that closed higher. This translates to a mere 2.8-percent chance the AUD/USD pair will close higher if it is more than -0.0050 points below yesterday’s close. Figure 6 shows the frequency distribution of the lows’ up-closing days. There was only one day on
which the low was the same as the previous day’s close, and there were no gap-up openings.

The single largest intraday decline from which the AUD/USD pair was able to recover and close higher was -0.0063 points. On up-closing days the low was between unchanged and -0.0024 points below the previous close 81 percent of the time. Also, 52 sessions (37 percent of the time) the low was - 0.0010 or less below the previous close. If the pair traded more than -0.0030 points below the previous day’s close, it closed up for the day just nine percent of the time.