Rare Gap Down Post-FOMC

One of the more noteworthy developments on Thursday was the fact that S&P futures posted an unfilled downside gap immediately after an FOMC announcement day. Since 1990, this has only occurred seven times. Each instance is listed in the table below along with the S&P’s performance over the next three days…

Unfilled Downside Gap Post-FOMC
12/17/09… S&P futures ??? three sessions later
06/25/08… S&P futures -3.2% three sessions later
09/20/05… S&P futures -0.5% three sessions later
09/21/04… S&P futures -1.7% three sessions later
03/19/02… S&P futures -1.8% three sessions later
12/19/00… S&P futures +0.0% three sessions later
07/03/96… S&P futures -2.6% three sessions later
07/03/90… S&P futures -0.2% three sessions later

While it’s hard to infer too much from only seven occurrences, the market’s consistently weak performance is nonetheless noteworthy. On top of the short-term negative ‘three down days during expiration week’ setup triggered by the Dow Industrials, it seems unlikely that the market will bounce back quickly from Thursday’s selloff.

Categories : Archived Intraday Commentary, Intraday Commentary

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