Morning Brief: WTI at $95.09 as ADP and ISM Test the Payrolls Setup

Parkinson's 1980 paper uses the high and low within a fixed interval to estimate return variance. This offers a distinct measurement for a Gann-style date inspection: a flat close can mask a large excursion between the two extremes. It is not a method Gann published. For each completed daily bar, set r = ln(high/low). Under the paper's continuous random-walk model, the one-bar range variance contribution is r squared divided by 4 ln(2). Take the square root to express it as a same-interval volatility scale. For several bars, average their variance contributions before taking the square root. Keep the clock, venue, and bar boundaries fixed. In a synthetic example, the previous close, today's open, and today's close are all $100; the intraday low is $96 and high is $104. The close-to-close return is zero, yet the log high/low range is about 0.08004. Its range variance contribution is about 0.002311, corresponding to a 4.81% one-bar scale. Record both the completed bar's extremes and its close when reviewing a scheduled timing window. A close-only score and a range-based score answer different questions. The latter measures movement during the interval, not whether price finished in a new direction.

Try it

Synthetic daily bar: previous close, open, and close are $100; high is $104 and low is $96. Compute close-to-close return, r = ln(high/low), v = r²/(4 ln 2), and 100√v in percent.

Limits

A single bar gives a noisy contribution, not a calibrated volatility forecast. The paper assumes a continuous random walk; jumps, gaps, nonzero drift, stale or missing trades, and venue-specific extremes can distort it. High and low do not reveal their order, identify a turn, or show a directional edge.

Source

Parkinson, Extreme Value Method (1980), Sections III and V, printed pp. 62–64: E[l²] = (4 ln 2)Dt on p. 62, range estimator on p. 63, and l = ln(H/L) on p. 64. Michael Parkinson, The Journal of Business 53(1), 1980, pp. 61–65. Original paper reproduced in a CME-hosted JSTOR scan. Its random-walk analysis is not a study of BTC or Gann dates.

Today

Latest completed UTC candle: November 3, closed November 4 00:00 UTC. BTC high $77,981.38, low $76,238.54, close $77,336.75, versus November 2 close $76,674.13. The log high/low ratio is 0.022603; its Parkinson single-day variance contribution is 0.00018427, so the range scale is 1.357%, while close-to-close return is +0.864%. The range captures an intraday move that the closing return alone does not show. Plot the November 2 and 3 range scales beside same-date completed BTC closes. This two-day comparison cannot establish a Gann timing effect. Coinbase Exchange BTC-USD completed UTC daily candles, Latest session 2026-11-04T00:00:00Z: 100 * sqrt(ln(high_usd/low_usd)^2 / (4 * ln(2))) = 1.3574467566555555 percent daily range-based volatility scale (descriptive, not a forecast) (inputs: close_to_close_return_pct=0.8642028282551006, close_usd=77336.75, high_usd=77981.38, log_high_low=0.022602971133092876, low_usd=76238.54, previous_close_usd=76674.13, range_variance_contribution=0.00018426616971546866). Data source 1

Horizons observer quantity 25 contains a pair of fields. T-O-M is the target-to-Moon apparent angular separation seen from the stated observer; MN_Illu% is the sunlit fraction of the Moon's disk. A negative T-O-M has a specific geometric meaning in the manual: the target center is behind the Moon. Do not treat the minus sign as a southern latitude, a retrograde direction, or a negative phase. Nor does a high illumination percentage say how close the two objects appear. Consider two invented ephemeris rows. At one UTC observation the target is 12 degrees from a Moon lit to 60%. At another it is 4 degrees from a Moon lit to 20%. The absolute center separations differ by 8 degrees, while the lit fraction falls by 40 percentage points. These are separate measurements. For a signed value such as negative 0.1 degree, report the behind-the-Moon code before attempting a visibility interpretation. The numerical separation alone does not specify whether an actual observer could see the target: the location, horizon, twilight, and local weather remain untested. If the row frames a market inspection, preserve its UTC epoch and observer center, and align that instant with the proxy's price bar rather than treating the sky label as a price signal.

Try it

Synthetic observer rows show T-O-M = +12 degrees with MN_Illu% = 60%, then T-O-M = +4 degrees with MN_Illu% = 20%. Compute the change in absolute angular separation and illuminated fraction. In a separate row, what does T-O-M = -0.1 degree classify?

Limits

The example rows are invented. Quantity 25 does not provide local weather, actual visibility, a market return, or a causal mechanism. Use an explicit observer and epoch. A geocentric calculation is not a substitute for a particular observer's sight line when occultation matters.

Source

NASA/JPL, Horizons System Manual, Definition of Observer Table Quantities, quantity 25, 'Target-Observer-Moon angle and illuminated fraction'; T-O-M/Illu% labels. Primary NASA/JPL Solar System Dynamics manual, version 4.98e (August 25, 2026); example rows and arithmetic are editorial, not observations.

Today

At the completed November 4 00:00 UTC epoch, JPL Horizons quantity 25 places Mars 18.800° from the Moon, with 27.2992% of the Moon illuminated. Absolute target–Moon separation is 18.800°; the illumination is a separate measurement, not a signed angle. The same UTC boundary is aligned with Coinbase BTC's last completed November 3 daily close of $77,336.75; compare November 3 and 4 epochs with their preceding completed daily closes in the accompanying timing/price plot. Neither geometry nor this two-point comparison forecasts BTC direction. JPL Horizons Mars–Moon geocentric separation and Moon illumination; Coinbase BTC-USD completed daily close, Latest session 2026-11-04T00:00:00Z: signed_target_moon_deg (direct JPL quantity 25; absolute separation = abs(signed_target_moon_deg)) = 18.8 degrees signed Mars–Moon separation (inputs: absolute_target_moon_deg=18.8, btc_prior_day_close_usd=77336.75, moon_illuminated_pct=27.2992, signed_target_moon_deg=18.8). Data source 1 Data source 2