Statistics of Price Movements of Ultrashort 7-10 Year Treasury Proshares (PST)

The price movements of Ultrashort 7-10 Year Treasury Proshares (ticker PST) are summarized in five ways:

  • Table 1. Statistics of daily price changes using the closing prices
  • Table 2. Statistics of daily price changes using the closing and opening prices
  • Table 3 – 7. Statistics of daily price changes when PST opened with an increase of 1%, 2%, 3%, 4%, or more than 5%
  • Table 8 – 10. Statistics of stock price changes in the 20 days after PST had a big price move
  • Table 11. Statistics of daily price changes in the 20 days after PST moved 5% with twice the 30-day average volume

The statistics are calculated using PST's price data across 1,551 trading days from 2015 to 2020.

Table 1. Statistics of PST one-day price changes

In this table, the one-day price change is calculated using the closing price and the previous day's closing price.

In the past 1,551 trading days, 44.6% of the time (691 days), PST closed above the previous day's closing price. 49.9% of the time (774 days), it closed below the previous day's closing price. 5.5% of the time (85 days), it did not change.

Also see: VIX price movement study.

PST Price Change (%) Number of Days % of Total Sessions
4 – 5% 1
0.06%
3 – 4% 2
0.13%
2 – 3% 4
0.26%
1 – 2% 80
5.16%
0 – 1% 604
38.97%
0% 85
5.48%
0 – -1% 684
44.13%
-1 – -2% 78
5.03%
-2 – -3% 10
0.65%
-4 – -5% 2
0.13%

Table 2. Statistics of PST: Closing vs. Open

In this table, instead of using the closing price of the previous day, the opening price is used to calculate the one-day price change of PST.

45.3% of the time (703 days), PST closed above the opening price. 47.0% of the time (729 days), it closed below the opening price. 7.7% of the time (119 days), it closed where it started.

Closing - Open (%) Number of Days % of Total Sessions
45 – 46% 1
0.06%
3 – 4% 2
0.13%
2 – 3% 5
0.32%
1 – 2% 28
1.81%
0 – 1% 667
43.00%
0% 119
7.67%
0 – -1% 704
45.39%
-1 – -2% 24
1.55%
-2 – -3% 1
0.06%

Table 3. One-day performance when PST opened 5% higher than previous close

In the past 1,551 trading days, PST opened more than 5% higher than the previous day's closing price 0 times. Of these days, NaN% (0 days) had closing prices above the opening price, and NaN% (0 days) had closing prices below the opening price.

Closing - Open (%) Number of Days % of Total Sessions

Table 4. Closing vs. open when PST opened 4–5% higher

On 0 days, PST opened 4–5% higher than the previous day's closing price. Of these days, NaN% (0 days) had closing prices above the opening price, and NaN% (0 days) had closing prices below the opening price.

Closing - Open (%) Number of Days % of Total Sessions

Table 5. Closing vs. open when PST open 3 – 4% higher

0 times PST opened 3 – 4% higher than the previous day's closing price. Among these days, NaN% (0 days) closed above the opening price, NaN% (0 days) closed below the opening price.

Closing - Open (%) Number of Days % of Total Sessions

Table 6. Closing vs. open when PST open 2 – 3% higher

0 times PST opened 2 – 3% higher than the previous day's closing price. Among these days, NaN% (0 days) closed above the opening price, NaN% (0 days) closed below the opening price.

Closing - Open (%) Number of Days % of Total Sessions

Table 7. Closing vs. open when PST open 1 – 2% higher

25 times PST opened 1 – 2% higher than the previous day's closing price. Among these days, 64.0% (16 days) closed above the opening price, 28.0% (7 days) closed below the opening price.

Closing - Open (%) Number of Days % of Total Sessions
3 – 4% 1
4.00%
2 – 3% 1
4.00%
0 – 1% 14
56.00%
0% 2
8.00%
0 – -1% 7
28.00%

Table 8. Periods when PST moved 15% or more

In this table, we track the price movements in the 20 days after PST had a one-day price change of at least 15%.

DatePrice ChangePrice Change after 15% Move
Days after:14710131619

Table 9. Periods when PST moved 10% or more

In this table, we track the price movements in the 20 days after PST had a one-day price change of at least 10%.

DatePrice ChangePrice Change after 10% Move
Days after:14710131619

Table 10. Periods when PST moved 5% or more

In this table, we track the price movements in the 20 days after PST had a one-day price change of at least 5%.

DatePrice ChangePrice Change after 5% Move
Days after:14710131619

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Also see: VIX price movement study.