Statistics of Price Movements of Intercontinental Exchange (ICE)

The price movements of Intercontinental Exchange (ticker ICE) 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 ICE 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 ICE had a big price move
• Table 11. Statistics of daily price changes in the 20 days after ICE moved 5% with twice the 30-day average volume

The statistics are calculated using ICE's price data across 1,549 trading days from 2015 to 2020.

Table 1. Statistics of ICE 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 1,549 trading days, 51.4% of the time (795 days), ICE closed above the previous day's closing price. 44.8% of the time (694 days), it closed below the previous day's closing price. 3.8% of the time (59 days), it did not change.

Also see: VIX price movement study.

ICE Price Change (%)	Number of Days	% of Total Sessions
10 – 11%	1	0.06%
9 – 10%	1	0.06%
7 – 8%	2	0.13%
5 – 6%	5	0.32%
4 – 5%	4	0.26%
3 – 4%	23	1.49%
2 – 3%	57	3.68%
1 – 2%	205	13.24%
0 – 1%	497	32.11%
0%	59	3.81%
0 – -1%	459	29.65%
-1 – -2%	151	9.75%
-2 – -3%	55	3.55%
-3 – -4%	16	1.03%
-4 – -5%	4	0.26%
-5 – -6%	3	0.19%
-6 – -7%	1	0.06%
-7 – -8%	1	0.06%
-8 – -9%	2	0.13%
-10 – -11%	1	0.06%
-12 – -13%	1	0.06%

Table 2. Statistics of ICE: 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 ICE.

50.5% of the time (783 days), ICE closed above the opening price. 45.6% of the time (706 days), it closed below the opening price. 3.9% of the time (60 days), it closed where it started.

Closing - Open (%)	Number of Days	% of Total Sessions
5 – 6%	3	0.19%
4 – 5%	6	0.39%
3 – 4%	14	0.90%
2 – 3%	46	2.97%
1 – 2%	178	11.49%
0 – 1%	536	34.60%
0%	60	3.87%
0 – -1%	473	30.54%
-1 – -2%	166	10.72%
-2 – -3%	45	2.91%
-3 – -4%	13	0.84%
-4 – -5%	1	0.06%
-5 – -6%	4	0.26%
-6 – -7%	2	0.13%
-7 – -8%	1	0.06%
-8 – -9%	1	0.06%

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

In the past 1,549 trading days, ICE opened more than 5% higher than the previous day's closing price 3 times. Of these days, 100.0% (3 days) had closing prices above the opening price, and 0.0% (0 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
4 – 5%	2	66.67%
1 – 2%	1	33.33%

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

On 3 days, ICE opened 4–5% higher than the previous day's closing price. Of these days, 0.0% (0 days) had closing prices above the opening price, and 100.0% (3 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
0 – -1%	1	33.33%
-1 – -2%	1	33.33%
-6 – -7%	1	33.33%

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

3 times ICE opened 3 – 4% higher than the previous day's closing price. Among these days, 33.3% (1 days) closed above the opening price, 66.7% (2 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
1 – 2%	1	33.33%
0 – -1%	1	33.33%
-5 – -6%	1	33.33%

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

8 times ICE opened 2 – 3% higher than the previous day's closing price. Among these days, 50.0% (4 days) closed above the opening price, 50.0% (4 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
2 – 3%	1	12.50%
1 – 2%	1	12.50%
0 – 1%	2	25.00%
0 – -1%	2	25.00%
-1 – -2%	1	12.50%
-3 – -4%	1	12.50%

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

59 times ICE opened 1 – 2% higher than the previous day's closing price. Among these days, 54.2% (32 days) closed above the opening price, 44.1% (26 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
5 – 6%	1	1.69%
4 – 5%	1	1.69%
3 – 4%	1	1.69%
2 – 3%	5	8.47%
1 – 2%	7	11.86%
0 – 1%	17	28.81%
0%	1	1.69%
0 – -1%	10	16.95%
-1 – -2%	13	22.03%
-2 – -3%	2	3.39%
-3 – -4%	1	1.69%

Table 8. Periods when ICE moved 15% or more

In this table, we track the price movements in the 20 days after ICE 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 ICE moved 10% or more

In this table, we track the price movements in the 20 days after ICE 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
20200324	10.1%	1.2	13.8	10.2	11.7	18.6	17.1	21.4
20200316	-10.8%	3.6	-1.5	.5	13.1	9.5	11.0	17.9
20200312	-12.2%	9.9	-7.3	-11.6	5.6	6.8	7.1	12.9

Table 9a. ICE average price changes following a 10% up day

Of the 1,549 trading days from 2015 to 2020, there were 1 days in which ICE was up more than 10%. This table shows the average price changes over the 1 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 10%	1.2	13.8	10.2	11.7	18.6	17.1	21.4

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

Of the 1,549 trading days from 2015 to 2020, there were 2 days in which ICE 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%	6.8	-4.4	-5.5	9.3	8.1	9.1	15.4

Table 10. Periods when ICE moved 5% or more

In this table, we track the price movements in the 20 days after ICE 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
20200324	10.1%	1.2	13.8	10.2	11.7	18.6	17.1	21.4
20200313	9.9%	-10.8	-11.4	-11.4	-2.2	-4.6	1.6	5.1
20160504	7.2%	-1.7	1.0	.6	1.1	2.1	3.7	4.9
20200326	7.1%	1.8	-.6	5.8	9.5	9.0	13.3	11.7
20200304	5.5%	-2.3	-9.6	-17.0	-30.0	-33.3	-20.3	-19.4
20160803	5.3%	.1	-.4	.2	1.3	.5	-.3	.7
20181031	5.3%	-1.5	1.4	2.6	2.3	5.6	3.0	5.6
20200319	5.1%	-.9	1.1	13.7	10.1	11.7	18.6	17.1
20150205	5%	1.3	2.7	3.3	3.6	4.3	4.2	3.1
20180208	-5.2%	2.2	6.1	7.1	6.8	9.6	8.3	9.3
20200611	-5.4%	1.3	2.8	2.5	.9	-.5	.5	.1
20200309	-5.7%	2.2	-6.2	-20.9	-24.6	-9.9	-8.9	-8.6
20160204	-6.4%	-4.0	-3.9	-4.0	-.9	-1.8	-2.5	-5.7
20200204	-7.4%	.3	2.4	1.7	3.9	2.3	1.4	.9
20200323	-8.4%	10.2	21.5	18.6	26.3	30.7	30.1	35.2
20200318	-8.7%	5.1	5.1	15.9	13.2	20.5	24.7	24.1
20200316	-10.8%	3.6	-1.5	.5	13.1	9.5	11.0	17.9
20200312	-12.2%	9.9	-7.3	-11.6	5.6	6.8	7.1	12.9

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

Of the 1,549 trading days from 2015 to 2020, there were 9 days in which ICE was up more than 5%. This table shows the average price changes over the 9 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 5%	-1.4	-.2	.9	.8	1.6	4.5	5.6

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

Of the 1,549 trading days from 2015 to 2020, there were 9 days in which ICE was down more than -5%. This table shows the average price changes over the 9 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -5%	3.4	2.1	1.1	4.9	7.5	8.0	9.6

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Also see: VIX price movement study.