Unfilled Upside Gap for S&P Futures, But Black Candlestick Suggests Gap will be Filled

TICKscore closed at -20 Monday, nearly erasing the entire +25 reading from
Friday’s session. Cumulative TICK settled at -26,000. Note that the 20-day
moving average of the Cumulative TICK continues to trend generally lower since
peaking in mid-August.

Despite trading down nearly 30 points off the open, S&P futures still managed
to post an unfilled upside gap Monday. While upside gaps can reflect a market
in the midst of a runaway move to the upside, these cases usually coincide
with a close greater than the open, creating a ‘white’ candle in candlestick
charting. On Monday, S&P futures posted an unfilled upside gap that coincided
with a black candle, meaning the close was below the open. This reflects
short-term weakness, as the market lost upside momentum soon after the opening
and drifted sideways into the close. The last thirty occurrences of an
unfilled upside gap in the front-month S&P futures contract that coincided
with a black candlestick are listed in the table below. Note that in only
three cases out of thirty was the gap not filled at some point over the next
seven sessions, suggesting we could see September S&Ps trade back down to the
1245 level by the middle of next week…

S&P Futures Unfilled Upside Gap w/ Black Candlestick
09/08/08… ???
04/18/08… Gap filled two days later
09/19/07… Gap filled one day later
08/17/07… Gap not filled within Seven sessions
06/15/07… Gap filled two days later
06/17/05… Gap filled one day later
10/04/04… Gap filled one day later
04/02/04… Gap filled four days later
10/03/03… Gap not filled within Seven sessions
07/14/03… Gap filled one day later
11/04/02… Gap filled two days later
10/17/02… Gap filled one day later
03/06/01… Gap filled three days later
11/27/00… Gap filled one day later
06/02/00… Gap filled six days later
09/27/99… Gap filled one day later
10/12/98… Gap filled one day later
12/20/96… Gap filled one day later
10/13/95… Gap filled one day later
10/13/94… Gap filled one day later
06/12/92… Gap filled one day later
10/19/90… Gap filled four days later
01/19/90… Gap filled one day later
07/11/89… Gap filled three days later
06/22/88… Gap filled two days later
06/14/88… Gap filled two days later
01/15/88… Gap filled three days later
01/05/88… Gap filled one day later
11/12/87… Gap filled two days later
06/12/87… Gap not filled within Seven sessions
02/21/86… Gap filled one day later

The Nasdaq100 remains technically oversold, so we shouldn’t rule out the
possibility of further upside short-term. A settlement above NDX 1777.30 on
Tuesday (less than 1% above today’s close) would send the 5-day RSI for the
NDX over 25 and close out the short-term buy setup recently discussed in
Sunday’s column. Barring any significant new developments, that would leave
the S&P vulnerable to a short-term selloff targeting the unfilled gap.

Categories : Archived EOD Commentary, End-of-Day Commentary

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