Daily gap in Boston Properties Inc (BXP)

This analysis will focus on what happens at the start of the trading day – i.e. at the opening of the market – looking for those stocks where there is a certain correlation between the opening gap and the resulting performance of the trading day.

Let’s consider Boston Properties Inc. (BXP), a publicly traded real estate investment trust that invests in office buildings in Boston, Los Angeles, New York City, San Francisco, and Washington, D.C.

We will look at 5 different “p” levels of daily gaps, both positive and negative.

p = [0.5%; 1%; 1.5%; 2%; 5%;]

Positive gaps

p-level Gap	Symbol	Win Ratio	Avarage Return
0,5%	BXP	0,53	0,23%
1,0%	BXP	0,53	0,44%
1,5%	BXP	0,49	0,58%
2,0%	BXP	0,48	0,29%
5,0%	BXP	0,55	1,09%

Negative gaps

p-level Gap	Symbol	Win Ratio	Avarage Return
0,5%	BXP	0,49	-0,10%
1,0%	BXP	0,50	-0,19%
1,5%	BXP	0,52	-0,08%
2,0%	BXP	0,58	-0,40%
5,0%	BXP	0,82	-2,45%

As we can see from the two tables, the win ratios for the various p levels are not high, but the average returns are correlated with the gaps. This gives a representation of the difference in strength between the days going in the direction of the gap and those trying to fill it.

Then, going to investigate what happens to the various gap levels in relation to their respective days of the week, we find daily biases in which the percentage of trading days in which returns follow the gaps increases. In fact, as we can see from the two tables below, the various Win ratios increase considerably.

Positive gaps