Statistics of Price Movements of Victory US Smallcap Vol Wtd ETF (CSA)

The price movements of Victory US Smallcap Vol Wtd ETF (ticker CSA) 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 CSA 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 CSA had a big price move
• Table 11. Statistics of daily price changes in the 20 days after CSA moved 5% with twice the 30-day average volume

The statistics are calculated using CSA's price data across 1,400 trading days from 2015 to 2020.

Table 1. Statistics of CSA 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 1,400 trading days, 44.2% of the time (619 days), CSA closed above the previous day's closing price. 41.1% of the time (575 days), it closed below the previous day's closing price. 14.7% of the time (205 days), it did not change.

Also see: VIX price movement study.

CSA Price Change (%)	Number of Days	% of Total Sessions
9 – 10%	1	0.07%
8 – 9%	2	0.14%
7 – 8%	2	0.14%
6 – 7%	2	0.14%
5 – 6%	4	0.29%
4 – 5%	10	0.71%
3 – 4%	5	0.36%
2 – 3%	38	2.72%
1 – 2%	148	10.58%
0 – 1%	407	29.09%
0%	205	14.65%
0 – -1%	390	27.88%
-1 – -2%	121	8.65%
-2 – -3%	39	2.79%
-3 – -4%	9	0.64%
-4 – -5%	6	0.43%
-5 – -6%	3	0.21%
-6 – -7%	2	0.14%
-7 – -8%	1	0.07%
-9 – -10%	2	0.14%
-11 – -12%	2	0.14%

Table 2. Statistics of CSA: 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 CSA.

35.4% of the time (495 days), CSA closed above the opening price. 37.7% of the time (528 days), it closed below the opening price. 26.9% of the time (377 days), it closed where it started.

Closing - Open (%)	Number of Days	% of Total Sessions
5 – 6%	1	0.07%
4 – 5%	2	0.14%
3 – 4%	3	0.21%
2 – 3%	7	0.50%
1 – 2%	49	3.50%
0 – 1%	433	30.93%
0%	377	26.93%
0 – -1%	439	31.36%
-1 – -2%	63	4.50%
-2 – -3%	16	1.14%
-3 – -4%	7	0.50%
-4 – -5%	1	0.07%
-6 – -7%	1	0.07%
-11 – -12%	1	0.07%

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

In the past 1,400 trading days, CSA opened more than 5% higher than the previous day's closing price 6 times. Of these days, 66.7% (4 days) had closing prices above the opening price, and 33.3% (2 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
1 – 2%	2	33.33%
0 – 1%	2	33.33%
0 – -1%	2	33.33%

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

On 4 days, CSA opened 4–5% higher than the previous day's closing price. Of these days, 75.0% (3 days) had closing prices above the opening price, and 25.0% (1 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
1 – 2%	1	25.00%
0 – 1%	2	50.00%
0 – -1%	1	25.00%

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

14 times CSA opened 3 – 4% higher than the previous day's closing price. Among these days, 57.1% (8 days) closed above the opening price, 35.7% (5 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
3 – 4%	1	7.14%
1 – 2%	1	7.14%
0 – 1%	6	42.86%
0%	1	7.14%
0 – -1%	2	14.29%
-1 – -2%	1	7.14%
-3 – -4%	2	14.29%

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

27 times CSA opened 2 – 3% higher than the previous day's closing price. Among these days, 40.7% (11 days) closed above the opening price, 33.3% (9 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
2 – 3%	1	3.70%
1 – 2%	2	7.41%
0 – 1%	8	29.63%
0%	7	25.93%
0 – -1%	6	22.22%
-1 – -2%	3	11.11%

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

123 times CSA opened 1 – 2% higher than the previous day's closing price. Among these days, 37.4% (46 days) closed above the opening price, 42.3% (52 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
4 – 5%	1	0.81%
1 – 2%	2	1.63%
0 – 1%	43	34.96%
0%	25	20.33%
0 – -1%	43	34.96%
-1 – -2%	6	4.88%
-2 – -3%	2	1.63%
-6 – -7%	1	0.81%

Table 8. Periods when CSA moved 15% or more

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

Date	Price Change	Price Change after 15% Move
Days after:		1	4	7	10	13	16	19

Table 9. Periods when CSA moved 10% or more

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

Date	Price Change	Price Change after 10% Move
Days after:		1	4	7	10	13	16	19
20200316	-11%	6.6	-3.8	3.5	6.4	1.9	7.7	17.4
20200312	-11.1%	7.1	-8.4	-9.1	5.0	3.1	-5.6	6.6

Table 9b. CSA average price changes following a 10% down day

Of the 1,400 trading days from 2015 to 2020, there were 2 days in which CSA was down more than -10%. This table shows the average price changes over the 2 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -10%	6.9	-6.1	-2.8	5.7	2.5	1.1	12.0

Table 10. Periods when CSA moved 5% or more

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

Date	Price Change	Price Change after 5% Move
Days after:		1	4	7	10	13	16	19
20200518	9%	-2.2	1.3	10.6	6.9	12.9	17.2	6.4
20200406	8.2%	.5	9.5	1.4	3.3	3.4	12.3	11.0
20200324	8%	.5	3.3	-1.1	4.6	14.0	5.6	7.6
20201109	7.8%	2.3	4.8	3.8	8.5	6.8	9.7	10.4
20200313	7.1%	-11.0	-10.1	-8.4	-6.2	-9.7	-4.6	4.4
20200317	6.6%	-9.8	-10.6	3.3	1.5	-7.1	4.9	6.5
20200326	6.4%	-4.3	-7.8	-2.7	6.6	4.0	2.2	-.5
20200429	5.4%	-3.8	-8.0	-4.2	-13.0	-5.1	-4.2	.3
20161110	5.2%	2.2	4.2	5.6	6.7	7.2	6.1	10.1
20201116	5.2%
20200319	5%	-4.7	2.5	5.3	.9	6.6	16.2	7.7
20200415	-5%	-.7	-.2	3.1	16.8	6.5	6.9	7.2
20200513	-5.2%	.0	6.6	10.5	20.6	16.6	23.1	27.8
20200311	-5.6%	-11.2	-9.7	-18.5	-12.3	-9.9	-13.7	-8.8
20160627	-6%	.0	4.5	4.5	8.1	10.3	9.4	10.4
20200401	-6.1%	.4	6.1	15.6	7.1	9.1	9.2	18.6
20200611	-7.8%	2.1	4.5	2.6	.6	5.1	3.4	2.3
20200309	-9.4%	1.9	-8.5	-21.7	-22.4	-10.3	-11.9	-19.3
20200318	-9.8%	5.1	7.1	9.6	5.6	11.5	22.1	19.2
20200316	-11%	6.6	-3.8	3.5	6.4	1.9	7.7	17.4
20200312	-11.1%	7.1	-8.4	-9.1	5.0	3.1	-5.6	6.6

Table 10a. CSA average price changes following a 5% up day

Of the 1,400 trading days from 2015 to 2020, there were 11 days in which CSA was up more than 5%. This table shows the average price changes over the 11 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 5%	-2.7	-1.1	1.5	1.9	3.4	6.5	5.8

Table 10b. CSA average price changes following a 5% down day

Of the 1,400 trading days from 2015 to 2020, there were 10 days in which CSA was down more than -5%. This table shows the average price changes over the 10 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -5%	1.1	-.2	.0	3.6	4.4	5.1	8.1

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Also see: VIX price movement study.