S&P Futures Rally Day After a Gap

Institutional participation remained conspicuously light Thursday. TICKscore closed at -1, the sixth straight single-digit reading, Cumulative TICK settled at +31,000. S&P futures rebounded from a lower open to post a higher high, low and close, tilting  the odds in favor of further upside heading into Monday’s close. The last thirty times that the front-month S&P contract posted a higher high, low and close immediately after an unfilled upside gap are listed in the table below…

S&P Futures Post Higher High, Low & Close After Upside Gap
10/15/09… S&P futures ??? two sessions later
10/09/09… S&P futures +0.1% two sessions later
09/09/09… S&P futures +0.9% two sessions later
07/16/09… S&P futures +1.4% two sessions later
06/02/09… S&P futures -0.2% two sessions later
05/05/09… S&P futures +0.4% two  sessions later
04/13/09… S&P futures -0.6% two sessions later
11/25/08… S&P futures +4.9% two sessions later
04/17/08… S&P futures +1.2% two sessions later
04/02/08… S&P futures +0.1% two sessions later
12/24/07… S&P futures -1.1% two sessions later
12/06/07… S&P futures +0.8% two sessions later
11/29/07… S&P futures +0.3% two sessions later
07/13/07… S&P futures -0.1% two sessions later
04/17/07… S&P futures +0.1% two sessions later
02/15/07… S&P futures +0.2% two sessions later
11/30/06… S&P futures +0.6% two sessions later
08/17/06… S&P futures +0.1% two sessions later
11/18/05… S&P futures +1.0% two sessions later
05/27/05… S&P futures +0.1% two sessions later
05/19/05… S&P futures +0.4% two sessions later
02/01/05… S&P futures +0.0% two sessions later
10/04/04… S&P futures +0.6% two sessions later
04/05/04… S&P futures -0.5% two sessions later
11/25/03… S&P futures +0.4% two sessions later
03/14/03… S&P futures +4.0% two sessions later
01/03/03… S&P futures +1.5% two sessions later
11/15/02… S&P futures -1.2% two  sessions later
10/14/02… S&P futures +2.5% two sessions later
07/30/02… S&P futures -2.4% two  sessions later
06/18/02… S&P futures -3.6% two  sessions later

In 22 out of the last 30 occurrences, or 73% of the time, the S&Ps were trading higher two sessions later, significantly above the 52% random odds of a higher S&P two days later. This pattern has been particularly effective in recent years. Only one case out of the last twenty-five led to an S&P down 1%+ two sessions later, making Wednesday’s low at SPZ 1078 a possible area of short-term support.

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

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