S&P Futures Gap Down, Close Above Midpoint

S&P futures gapped lower and remained under pressure throughout Thursday’s session, leaving an unfilled downside gap on the daily chart. A late-session rally brought the S&Ps back above the day’s midpoint, but that’s not necessarily a positive development for the short-term. When the front-month S&P futures contract posts an unfilled downside gap and settles in the upper half of the day’s range, it’s been a more reliable sell signal than buy signal for the following session. The last thirty occurrences are listed below…

S&P Futures Gap Down, Close In Upper Half of Day’s Range
11/19/09… S&P futures ??? next session
08/31/09…  S&P futures -2.3% next session
06/03/09…  S&P futures +0.9% next session
05/21/09…  S&P futures -0.4% next session
10/22/08…  S&P futures +1.4% next session
10/06/08…  S&P futures -4.5% next session
05/20/08…  S&P futures -1.7% next session
09/07/07…  S&P futures -0.3% next session
08/01/06…  S&P futures +0.6% next session
11/17/03…  S&P futures -1.0% next session
09/22/03…  S&P futures +0.4% next session
02/04/03…  S&P futures -0.6% next session
12/18/02…  S&P futures -0.8% next session
09/23/02…  S&P futures -1.6% next session
09/17/01…  S&P futures -0.4% next session
02/16/01…  S&P futures -1.6% next session
09/14/99…  S&P futures -1.5% next session
08/19/99…  S&P futures +1.0% next session
07/29/99…  S&P futures -1.3% next session
06/23/99…  S&P futures -0.7% next session
06/10/99…  S&P futures -0.9% next session
08/21/98…  S&P futures +0.6% next session
08/11/98…  S&P futures +1.8% next session
04/27/98…  S&P futures -0.2% next session
03/05/98…  S&P futures +1.8% next session
12/19/97…  S&P futures +0.6% next session
11/07/97…  S&P futures -0.6% next session
12/11/96…  S&P futures -1.6% next session
04/08/96…  S&P futures -0.3% next session
02/20/96…  S&P futures +1.3% next session
07/19/95…  S&P futures +0.4% next session

Note that in 19 out of the last 30 cases, or 63% of the time, the S&P closed lower the following session, compared with 46% at-any-time odds for a lower S&P close one day later. Not quite strong enough of an edge to qualify as a sell signal, but nonetheless a sign that today’s late session rally doesn’t necessarily bode well for Friday’s session.

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

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