When S&P Futures Recover From a Down Open
By
Rennie on Thursday, August 20th, 2009 at 9:09 pm
Stocks closed with solid gains Thursday as institutional selling pressure was noticeably absent. TICKscore settled at +17, Cumulative TICK +84,000. NYSE TICK didn’t even trade below -700 Thursday, the highest intraday low since last Christmas. Looking back at previous instances in which the NYSE TICK registered its ‘highest low’ in the last three or six months, I found little edge going forward.
VXO settled down 6% at 23.79, back at the lower end of its recent range, sending the spread between its upper and lower bollinger bands over the 15% threshold. That closes out the buy signal triggered by the Band Spread indicator back on August 11th.
One noteworthy price pattern was triggered Thursday – S&P futures opened lower and closed above the previous day’s high for a second consecutive session. Historically, this pattern has led to generally weak performance over the next two sessions. The last thirty occurrences are listed in the table below…
S&P Futures Open Lower, Close >Previous Day’s High Two Days
08/20/09… S&P futures ??? two sessions later
07/27/09… S&P futures -0.5% two sessions later
03/18/09… S&P futures -3.5% two sessions later
11/28/08… S&P futures -5.2% two sessions later
09/12/08… S&P futures -3.4% two sessions later
02/26/08… S&P futures -1.2% two sessions later
10/25/06… S&P futures -0.3% two sessions later
10/24/06… S&P futures +0.6% two sessions later (*)
10/16/06… S&P futures -0.3% two sessions later
10/05/06… S&P futures -0.1% two sessions later
03/15/06… S&P futures +0.2% two sessions later
12/14/05… S&P futures -0.6% two sessions later
11/23/05… S&P futures -0.6% two sessions later
05/17/05… S&P futures +1.4% two sessions later (*)
02/25/05… S&P futures -0.2% two sessions later
10/28/04… S&P futures +0.3% two sessions later
09/02/04… S&P futures +0.2% two sessions later
05/26/04… S&P futures +0.4% two sessions later
01/07/04… S&P futures -0.5% two sessions later
12/23/03… S&P futures -0.0% two sessions later
06/05/03… S&P futures -1.4% two sessions later
07/31/02… S&P futures -5.1% two sessions later
11/26/01… S&P futures -2.2% two sessions later
10/03/01… S&P futures -0.2% two sessions later
01/11/01… S&P futures +0.1% two sessions later
12/28/00… S&P futures -4.0% two sessions later
12/27/00… S&P futures -1.2% two sessions later
04/12/99… S&P futures -2.4% two sessions later
11/06/98… S&P futures -1.7% two sessions later
10/15/98… S&P futures +0.5% two sessions later
06/09/97… S&P futures +0.5% two sessions later
Note that in 21 out of the past 30 occurrences, or 70% of the time, the S&P closed lower two sessions later, significantly greater than the 48% at-any-time odds for a lower close two days later. Also notice that even when the market managed to keep moving higher, upside potential was typically capped at 0.5%. Only twice did the S&P rally more than 0.5% in the two days following this pattern, while it fell more than 0.5% thirteen times.
When S&P Futures Recover From a Down Open
By Rennie on Thursday, August 20th, 2009 at 9:09 pmStocks closed with solid gains Thursday as institutional selling pressure was noticeably absent. TICKscore settled at +17, Cumulative TICK +84,000. NYSE TICK didn’t even trade below -700 Thursday, the highest intraday low since last Christmas. Looking back at previous instances in which the NYSE TICK registered its ‘highest low’ in the last three or six months, I found little edge going forward.
VXO settled down 6% at 23.79, back at the lower end of its recent range, sending the spread between its upper and lower bollinger bands over the 15% threshold. That closes out the buy signal triggered by the Band Spread indicator back on August 11th.
One noteworthy price pattern was triggered Thursday – S&P futures opened lower and closed above the previous day’s high for a second consecutive session. Historically, this pattern has led to generally weak performance over the next two sessions. The last thirty occurrences are listed in the table below…
S&P Futures Open Lower, Close >Previous Day’s High Two Days
08/20/09… S&P futures ??? two sessions later
07/27/09… S&P futures -0.5% two sessions later
03/18/09… S&P futures -3.5% two sessions later
11/28/08… S&P futures -5.2% two sessions later
09/12/08… S&P futures -3.4% two sessions later
02/26/08… S&P futures -1.2% two sessions later
10/25/06… S&P futures -0.3% two sessions later
10/24/06… S&P futures +0.6% two sessions later (*)
10/16/06… S&P futures -0.3% two sessions later
10/05/06… S&P futures -0.1% two sessions later
03/15/06… S&P futures +0.2% two sessions later
12/14/05… S&P futures -0.6% two sessions later
11/23/05… S&P futures -0.6% two sessions later
05/17/05… S&P futures +1.4% two sessions later (*)
02/25/05… S&P futures -0.2% two sessions later
10/28/04… S&P futures +0.3% two sessions later
09/02/04… S&P futures +0.2% two sessions later
05/26/04… S&P futures +0.4% two sessions later
01/07/04… S&P futures -0.5% two sessions later
12/23/03… S&P futures -0.0% two sessions later
06/05/03… S&P futures -1.4% two sessions later
07/31/02… S&P futures -5.1% two sessions later
11/26/01… S&P futures -2.2% two sessions later
10/03/01… S&P futures -0.2% two sessions later
01/11/01… S&P futures +0.1% two sessions later
12/28/00… S&P futures -4.0% two sessions later
12/27/00… S&P futures -1.2% two sessions later
04/12/99… S&P futures -2.4% two sessions later
11/06/98… S&P futures -1.7% two sessions later
10/15/98… S&P futures +0.5% two sessions later
06/09/97… S&P futures +0.5% two sessions later
Note that in 21 out of the past 30 occurrences, or 70% of the time, the S&P closed lower two sessions later, significantly greater than the 48% at-any-time odds for a lower close two days later. Also notice that even when the market managed to keep moving higher, upside potential was typically capped at 0.5%. Only twice did the S&P rally more than 0.5% in the two days following this pattern, while it fell more than 0.5% thirteen times.