Second Unfilled Upside Gap

On the heels of an unfilled upside gap back on July 15th, S&P futures are in the process of posting a second unfilled upside gap (low>previous day’s high). When S&P futures post two unfilled upside gaps within a one-month time frame, it’s a positive indication for the following month. Gaps are normally filled in short order, but when sellers can’t drive the market lower to fill a gap and then a second upside gap appears, it’s usually a sign that sellers are overwhelmed. While conditions can often turn choppy after the second gap, the market has a solid track record of rebounding from short-term weakness and settling flat-to-higher one month later. In the table below is each instance since 1990 in which two unfilled upside gaps formed within a one-month time frame, along with the performance of the S&P500 looking out twenty trading days. Keep in mind that to qualify for inclusion, the first gap must remain unfilled when the second gap appears. Note that out of 36 occurrences, only four led to an S&P down 1%+ one month later, while twenty-one led to an S&P up 1%+ one month later…

Two Unfilled Upside Gaps In a One-Month Time Frame
07/15/09 & 07/30/09… S&P500 ??? one month later
04/02/09 & 04/09/09… S&P500 +8.5% one month later
11/24/08 & 12/08/08… S&P500 -0.3% one month later
04/16/08 & 04/18/08… S&P500 +2.5% one month later
03/18/08 & 03/24/08… S&P500 +2.8% one month later
12/21/07 & 12/24/07… S&P500 -10.2% one month later (*)
11/28/07 & 12/05/07… S&P500 -5.0% one month later (*)
04/16/07 & 04/20/07… S&P500 +2.3% one month later
04/03/07 & 04/16/07… S&P500 +2.3% one month later
06/15/06 & 06/29/06… S&P500 -0.1% one month later
10/31/05 & 11/17/05… S&P500 +1.7% one month later
05/18/05 & 05/26/05… S&P500 -0.6% one month later
10/01/04 & 10/04/04… S&P500 -0.4% one month later
11/24/03 & 12/01/03… S&P500 +3.8% one month later
03/13/03 & 04/02/03… S&P500 +4.3% one month later
10/15/02 & 10/17/02… S&P500 +2.7% one month later
10/11/02 & 10/15/02… S&P500 +0.2% one month later
11/13/01 & 12/05/01… S&P500 +0.5% one month later
11/05/01 & 11/13/01… S&P500 -0.3% one month later
09/24/01 & 09/28/01… S&P500 +5.6% one month later
04/10/01 & 04/18/01… S&P500 +3.4% one month later
10/28/99 & 10/29/99… S&P500 +2.5% one month later
03/25/99 & 03/29/99… S&P500 +4.6% one month later
03/05/99 & 03/25/99… S&P500 +4.7% one month later
11/23/98 & 11/27/98… S&P500 +2.3% one month later
10/30/98 & 11/23/98… S&P500 +0.8% one month later
01/13/98 & 02/02/98… S&P500 +5.1% one month later
11/17/97 & 11/20/97… S&P500 -1.7% one month later (*)
04/15/97 & 04/29/97… S&P500 +6.3% one month later
12/19/96 & 12/20/96… S&P500 +3.9% one month later
09/13/96 & 10/02/96… S&P500 +0.5% one month later
09/12/96 & 09/13/96… S&P500 +2.5% one month later
05/10/96 & 06/04/96… S&P500 -0.0% one month later
10/11/94 & 10/13/94… S&P500 -0.8% one month later
07/14/94 & 07/29/94… S&P500 +3.6% one month later
11/20/92 & 12/18/92… S&P500 -1.3% one month later (*)
01/17/91 & 01/30/91… S&P500 +7.2% one month later

Categories : Archived Intraday Commentary, Intraday Commentary

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