For the 3 months spanning March, April & May 2018, non-STI stocks that consistently ranked amongst the biggest intraday tick ranges, with daily price ranges of more than 2.5%, included AEM Holdings, Memtech International, Creative Technology, Best World International & Delong Holdings.
The 5 stocks averaged daily price ranges of 4% and together represent businesses with manufacturing-related activities. Manufacturing businesses span handling & test solutions, component solutions, consumer electronics, health products & HRC Steel.
Another manufacturing stock, Hi-P International ranked amongst the 10 non-STI stocks with the biggest intraday tick ranges for two of the months, while generating average daily price ranges of 5%.
The Straits Times Index (“STI”) is made up of 30 stocks that together span a wide range of businesses operating in Singapore and throughout the region. For the three months spanning March to May, these 30 constituents consistently generated median daily swings of 1.5% between the stock's daily high and the daily low price.
5 Non-STI Stocks with Signiﬁcant Trading Ranges Over Past 3-Month
For the 3 months spanning March through to May, the non-STI most actively traded stocks saw as many as 7 stocks that consistently generated the biggest intraday tick ranges. These 7 stocks included AEM Holdings, Memtech International, Dairy Farm International, Creative Technology, Haw Par, Best World International and Delong Holdings.
Note of the 7 stocks, just the 2 stocks Dairy Farm International and Haw Par Corporation did not generate daily prices that were above 250 basis points or 2.5% of the stocks VWAP.
The remaining 5 stocks were AEM Holdings, Memtech International, Creative Technology, Best World International and Delong Holdings which all averaged daily swings greater than 2.5%.
Over the 3 months the 5 stocks generated average daily ranges of:
- 18.1 ticks between high to low, ranging from 51 ticks for Creative Technology in March to 9 ticks for Best World International in May.
- 4.0% between high to low as a function of each stock's volume weighted average price ('VWAP'), ranging from 8.6% for Creative Technology in March to 2.8% for Creative Technology in May.
- 42.6% annualised intraday volality spanning 80.8% for Creative Technology in March, to 28.6% for AEM Holdings in March.
By comparison over the 3 months, the average intraday volatility of the 30 constituent stocks was 17.8% in March, 18.5% in April then 18.5% again in May.
The table below details the seven stocks which consistently ranked amongst the 10 actively traded non-STI stocks with the greatest tick ranges for the respective months.
|7 Non-STI Stocks that ranked amongst top 10 by Tick Amplitude in Mar-May 2018||Stock
|March 2018||April 2018||May 2018|
|Best World Intl||CGN||0.7||413||14.0||45.0||296||10.0||37.9||329||9.0||35.7|
|Dairy Farm Intl (USD)||D01||16.1||124||13.0||18.8||112||12.0||18.7||155||17.5||22.8|
|Haw Par Corp||H02||3.0||88||11.0||10.0||95||12.0||11.4||106||14.0||13.0|
Source : SGX.
Basis Points (“bps”) represents the difference between daily high and daily low price divided by the VWAP of the stock - the median of the daily values are presented.
Ticks represent the difference between daily high and daily low price of the stock – with also with the median of the daily values presented.
The standard deviation of logarithmic midpoint price returns at one-minute intervals throughout the trading day with median of daily values is presented and numbers are annualised and show in percentage form.
Note the actively traded criteria for the sole purpose of this report refers to stocks with a daily traded value that ranked amongst the 200 most active stocks, and was quoted in the order book over 50% of the trading days during the report month.
Another manufacturer, Hi-P International ranked amongst the 10 non-STI stocks with the biggest intraday tick ranges in May and April, generating respective average daily price ranges of 600 basis points and 445 basis points.
Assessing the Swings
There are multiple methods to gauge the trading amplitude of a stock throughout the trading session. The diﬀerence between trading session highs and lows can be expressed in the number of trading ticks, that is the number of minimum price moves from the sessions high price to low price.
By itself, tick ranges can provide an insight into how responsive the stock is to changes in day-to-day sentiment. However it does not provide a full gauge of intraday volatility, as everything is relative and highly priced stocks will typically have higher tick ranges than much lower stocks.
Expressing daily trading ranges as a percentage of the price of the stock can achieve a more comprehensive gauge. Prices generally change throughout the trading day, hence the VWAP measure is typically used for this measure.
For instance, STI constituent Jardine Matheson Holdings ('JMH') might average 90 ticks during a trading session, however as a function of the share price, the 90 ticks represent just 1.1% of its VWAP. Whereas Golden-Agri Resources might average just a two tick daily trading range, however as a function on of its VWAP, this could be as high as 3.0%.