When Gaps are Quickly Filled
By
Rennie on Tuesday, December 15th, 2009 at 9:56 pm
March S&P futures posted an unfilled upside gap on Monday that was subsequently filled with today’s selloff. Looking back at previous instances in which an upside gap was filled the next session, there’s a definitive tendency for the S&P to post a subsequently lower close within the next four sessions. That occurred in 26 out of the last 30 cases stretching back to 1996, or 87% of the time. While it just misses the threshold for inclusion on the board, given the S&P’s 70% at-any-time odds of posting a lower close within four sessions, it does tend to suggest that we’ll see a bit of follow-through from Tuesday’s selloff…
S&P Futures Fill an Upside Gap Very Next Session
12/15/09… ???
01/29/09… Lower S&P close one session later
11/05/08… Lower S&P close one session later
09/22/08… Lower S&P close one session later
09/09/08… Lower S&P close four sessions later
08/29/08… Lower S&P close one session later
08/25/08… No lower close within four sessions
09/20/07… Lower S&P close two sessions later
07/05/07… Lower S&P close three sessions later
08/03/06… Lower S&P close one session later
06/20/05… Lower S&P close three sessions later
10/05/04… Lower S&P close two sessions later
03/18/04… Lower S&P close one session later
07/15/03… Lower S&P close one session later
10/18/02… Lower S&P close four sessions later
10/12/01… Lower S&P close one session later
04/06/01… No lower close within four sessions
11/28/00… Lower S&P close one session later
03/06/00… Lower S&P close one session later
02/09/00… Lower S&P close two sessions later
01/18/00… Lower S&P close two sessions later
01/11/00… Lower S&P close one session later
10/25/99… Lower S&P close one session later
09/28/99… Lower S&P close one session later
11/30/98… Lower S&P close three sessions later
10/13/98… No lower close within four sessions
09/24/98… Lower S&P close one session later
08/13/98… Lower S&P close one session later
07/17/97… Lower S&P close one session later
07/07/97… Lower S&P close two sessions later
12/23/96… No lower close within four sessions
Looking beyond the short-term, it’s noteworthy that a number of bullish intermediate and long-term signals have fallen off the board recently, leaving us with a fairly blank slate as we head into year-end. More on this topic in Wednesday’s column.
When Gaps are Quickly Filled
By Rennie on Tuesday, December 15th, 2009 at 9:56 pmMarch S&P futures posted an unfilled upside gap on Monday that was subsequently filled with today’s selloff. Looking back at previous instances in which an upside gap was filled the next session, there’s a definitive tendency for the S&P to post a subsequently lower close within the next four sessions. That occurred in 26 out of the last 30 cases stretching back to 1996, or 87% of the time. While it just misses the threshold for inclusion on the board, given the S&P’s 70% at-any-time odds of posting a lower close within four sessions, it does tend to suggest that we’ll see a bit of follow-through from Tuesday’s selloff…
S&P Futures Fill an Upside Gap Very Next Session
12/15/09… ???
01/29/09… Lower S&P close one session later
11/05/08… Lower S&P close one session later
09/22/08… Lower S&P close one session later
09/09/08… Lower S&P close four sessions later
08/29/08… Lower S&P close one session later
08/25/08… No lower close within four sessions
09/20/07… Lower S&P close two sessions later
07/05/07… Lower S&P close three sessions later
08/03/06… Lower S&P close one session later
06/20/05… Lower S&P close three sessions later
10/05/04… Lower S&P close two sessions later
03/18/04… Lower S&P close one session later
07/15/03… Lower S&P close one session later
10/18/02… Lower S&P close four sessions later
10/12/01… Lower S&P close one session later
04/06/01… No lower close within four sessions
11/28/00… Lower S&P close one session later
03/06/00… Lower S&P close one session later
02/09/00… Lower S&P close two sessions later
01/18/00… Lower S&P close two sessions later
01/11/00… Lower S&P close one session later
10/25/99… Lower S&P close one session later
09/28/99… Lower S&P close one session later
11/30/98… Lower S&P close three sessions later
10/13/98… No lower close within four sessions
09/24/98… Lower S&P close one session later
08/13/98… Lower S&P close one session later
07/17/97… Lower S&P close one session later
07/07/97… Lower S&P close two sessions later
12/23/96… No lower close within four sessions
Looking beyond the short-term, it’s noteworthy that a number of bullish intermediate and long-term signals have fallen off the board recently, leaving us with a fairly blank slate as we head into year-end. More on this topic in Wednesday’s column.