S&P Futures and Yom Kippur
By
Rennie on Tuesday, September 29th, 2009 at 1:45 am
Institutions were active buyers Monday. TICKscore settled at +17, sending the Cumulative TICKscore line into new highs for the year (suggesting price will follow suit). Volume was very light given the Yom Kippur holiday, with SPY volume hitting its lowest level since last Christmas and NYSE volume hitting a two-month low. The low volume could be considered a short-term negative given that it coincided with 2:1 positive breadth, but I think the more interesting story involves the market’s performance post-holiday. More specifically, how the S&P futures contract closes relative to its open on the day after Yom Kippur. This has been a good indicator of future market performance over the next 3-5 sessions. When S&P futures close above the open on the day after Yom Kippur, the market has been higher three or five sessions later in 10 out of 11 cases since 1982. When the close is below the open, the S&P has been lower three or five sessions later in 7 out of 8 cases…
S&P Futures Performance on the Day After Yom Kippur
09/28/09… Next day ??? from open
10/09/08… Next day up from open… S&P Up Three Sessions later
10/02/06… Next day up from open… S&P Up Three Sessions later
10/13/05… Next day up from open… S&P Up Three Sessions later
10/06/03… Next day up from open… S&P Up Three Sessions later
09/16/02… Next day DN from open… S&P DN Three Sessions later
09/27/01… Next day up from open… S&P Up Three Sessions later
10/09/00… Next day DN from open… S&P DN Three Sessions later
09/20/99… Next day DN from open… S&P DN Three Sessions later
09/30/98… Next day DN from open… S&P DN Three Sessions later
09/23/96… Next day up from open… S&P Up Five Sessions later
10/04/95… Next day up from open… S&P Up Five Sessions later
09/15/94… Next day up from open… No higher close 3 or 5 days later
10/07/92… Next day up from open… S&P Up Three Sessions later
09/18/91… Next day up from open… S&P Up Three Sessions later
10/09/89… Next day DN from open… S&P DN Three Sessions later
09/21/88… Next day DN from open… S&P DN Three Sessions later
10/13/86… Next day DN from open… No lower close 3 or 5 days later
09/25/85… Next day up from open… S&P Up Three Sessions later
09/27/82… Next day DN from open… S&P DN Three Sessions later
S&P Futures and Yom Kippur
By Rennie on Tuesday, September 29th, 2009 at 1:45 amInstitutions were active buyers Monday. TICKscore settled at +17, sending the Cumulative TICKscore line into new highs for the year (suggesting price will follow suit). Volume was very light given the Yom Kippur holiday, with SPY volume hitting its lowest level since last Christmas and NYSE volume hitting a two-month low. The low volume could be considered a short-term negative given that it coincided with 2:1 positive breadth, but I think the more interesting story involves the market’s performance post-holiday. More specifically, how the S&P futures contract closes relative to its open on the day after Yom Kippur. This has been a good indicator of future market performance over the next 3-5 sessions. When S&P futures close above the open on the day after Yom Kippur, the market has been higher three or five sessions later in 10 out of 11 cases since 1982. When the close is below the open, the S&P has been lower three or five sessions later in 7 out of 8 cases…
S&P Futures Performance on the Day After Yom Kippur
09/28/09… Next day ??? from open
10/09/08… Next day up from open… S&P Up Three Sessions later
10/02/06… Next day up from open… S&P Up Three Sessions later
10/13/05… Next day up from open… S&P Up Three Sessions later
10/06/03… Next day up from open… S&P Up Three Sessions later
09/16/02… Next day DN from open… S&P DN Three Sessions later
09/27/01… Next day up from open… S&P Up Three Sessions later
10/09/00… Next day DN from open… S&P DN Three Sessions later
09/20/99… Next day DN from open… S&P DN Three Sessions later
09/30/98… Next day DN from open… S&P DN Three Sessions later
09/23/96… Next day up from open… S&P Up Five Sessions later
10/04/95… Next day up from open… S&P Up Five Sessions later
09/15/94… Next day up from open… No higher close 3 or 5 days later
10/07/92… Next day up from open… S&P Up Three Sessions later
09/18/91… Next day up from open… S&P Up Three Sessions later
10/09/89… Next day DN from open… S&P DN Three Sessions later
09/21/88… Next day DN from open… S&P DN Three Sessions later
10/13/86… Next day DN from open… No lower close 3 or 5 days later
09/25/85… Next day up from open… S&P Up Three Sessions later
09/27/82… Next day DN from open… S&P DN Three Sessions later