Pre-Employment Report Strength

A quick look at the S&P500′s performance on the day of the jobs report release when the previous session’s NYSE breadth closed at least 2:1 positive… (2000-present)

SPX Performance On Day of Employment Report when
NYSE Breadth 2:1 Positive Previous Session
06/02/00… S&P500 +2.0%
04/06/01… S&P500 -2.0%
11/02/01… S&P500 +0.3%
01/04/02… S&P500 +0.6%
02/01/02… S&P500 -0.7%
01/10/03… S&P500 -0.0%
07/03/03… S&P500 -0.8%
09/03/04… S&P500 -0.4%
11/05/04… S&P500 +0.4%
12/02/05… S&P500 +0.0%
06/02/06… S&P500 +0.2%
10/06/06… S&P500 -0.3%
02/02/07… S&P500 +0.2%
03/09/07… S&P500 +0.1%
12/07/07… S&P500 -0.2%
02/01/08… S&P500 +1.2%
05/02/08… S&P500 +0.3%
06/06/08… S&P500 -3.1%
04/03/09… S&P500 +1.0%
06/05/09… S&P500 -0.3%
07/02/09… S&P500 -2.9%
09/04/09… S&P500 +1.3%

Not much of an edge here. About 50/50 odds in terms of whether the S&P closes higher or lower on the day of the employment report. Market does tend to fall harder when there’s a selloff (average loss 1.1% vs 0.6% average gain).

Categories : Archived Intraday Commentary, Intraday Commentary

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