On Watch for a Rally Day After a Gap
By
Rennie on Wednesday, December 2nd, 2009 at 3:15 pm
S&P futures have already posted a higher high Wednesday (and a higher low so far), and we’re currently trading right around unchanged. Should the S&P settle in positive territory, it would have short-term bullish implications. A higher high, higher low and a higher close immediately following an unfilled upside gap is typically a bullish indication looking out two trading days, which makes sense considering that a rally day immediately after an upside gap suggests bullish momentum remains intact. The last thirty times that the front-month S&P contract triggered this pattern are listed in the table below…
S&P Futures Post Higher High, Low & Close After Upside Gap
11/10/09… S&P futures -0.4% two sessions later
10/15/09… S&P futures +0.1% 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
Note that in 23 out of 30 occurrences, or 77% of the time, the S&Ps closed higher two sessions later, well above the 52% random odds of a higher S&P two days later. For this setup to go into effect, December S&Ps need to hold above Tuesday’s lows and settle in positive territory.
On Watch for a Rally Day After a Gap
By Rennie on Wednesday, December 2nd, 2009 at 3:15 pmS&P futures have already posted a higher high Wednesday (and a higher low so far), and we’re currently trading right around unchanged. Should the S&P settle in positive territory, it would have short-term bullish implications. A higher high, higher low and a higher close immediately following an unfilled upside gap is typically a bullish indication looking out two trading days, which makes sense considering that a rally day immediately after an upside gap suggests bullish momentum remains intact. The last thirty times that the front-month S&P contract triggered this pattern are listed in the table below…
S&P Futures Post Higher High, Low & Close After Upside Gap
11/10/09… S&P futures -0.4% two sessions later
10/15/09… S&P futures +0.1% 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
Note that in 23 out of 30 occurrences, or 77% of the time, the S&Ps closed higher two sessions later, well above the 52% random odds of a higher S&P two days later. For this setup to go into effect, December S&Ps need to hold above Tuesday’s lows and settle in positive territory.