Beware Post-Fed Day Gaps
By
Rennie on Thursday, January 28th, 2010 at 2:02 am
With S&P futures trading sharply higher overnight, a review of previous upside gaps on the day immediately following an FOMC announcement is in order. I found 27 occurrences since 1990, most of which had one thing in common – the opening gap usually proved to be a short-term selling opportunity…
S&P Futures Gap Up Post-FOMC Announcement
04/30/09… S&P futures close -1.1% from open same day
03/19/09… S&P futures close -2.6% from open same day
03/19/08… S&P futures close -2.9% from open same day
09/19/07… S&P futures close -0.1% from open same day
12/13/06… S&P futures close -0.2% from open same day
10/26/06… S&P futures close -0.5% from open one day later
06/30/06… S&P futures close -0.4% from open same day
08/10/05… S&P futures close -0.4% from open same day
03/17/04… S&P futures close -0.7% from open two days later
08/13/03… S&P futures close -0.8% from open same day
06/27/02… S&P futures close -1.4% from open two days later
05/08/02… S&P futures close -1.1% from open two days later
01/31/02… S&P futures close -2.1% from open two days later
03/31/99… S&P futures close -2.2% from open same day
08/19/98… S&P futures close -0.7% from open same day
05/20/98… S&P futures close -0.4% from open one day later
02/05/98… S&P futures close -0.6% from open same day
07/03/97… S&P futures close -0.5% from open one day later
12/20/95… S&P futures close -1.0% from open same day
05/24/95… S&P futures close -0.2% from open same day
12/22/93… S&P futures close+1.0% from open two days later
08/18/93… S&P futures close +0.2% from open two days later
02/04/93… S&P futures close -0.1% from open two days later
07/02/92… S&P futures close -0.4% from open same day
08/21/91… S&P futures close +2.4% from open two days later
03/27/91… S&P futures close -0.6% from open same day
02/07/91… S&P futures close -0.7% from open same day
In each of the last 20 occurrences, and in 24 out of 27 occurrences since 1990, S&P futures settled below the opening price either the same day or within the next couple of days. That’s significantly greater than the 67% random chance for a settlement below today’s open within the next few sessions. This setup will go into effect on any open above SPH 1096.
Beware Post-Fed Day Gaps
By Rennie on Thursday, January 28th, 2010 at 2:02 amWith S&P futures trading sharply higher overnight, a review of previous upside gaps on the day immediately following an FOMC announcement is in order. I found 27 occurrences since 1990, most of which had one thing in common – the opening gap usually proved to be a short-term selling opportunity…
S&P Futures Gap Up Post-FOMC Announcement
04/30/09… S&P futures close -1.1% from open same day
03/19/09… S&P futures close -2.6% from open same day
03/19/08… S&P futures close -2.9% from open same day
09/19/07… S&P futures close -0.1% from open same day
12/13/06… S&P futures close -0.2% from open same day
10/26/06… S&P futures close -0.5% from open one day later
06/30/06… S&P futures close -0.4% from open same day
08/10/05… S&P futures close -0.4% from open same day
03/17/04… S&P futures close -0.7% from open two days later
08/13/03… S&P futures close -0.8% from open same day
06/27/02… S&P futures close -1.4% from open two days later
05/08/02… S&P futures close -1.1% from open two days later
01/31/02… S&P futures close -2.1% from open two days later
03/31/99… S&P futures close -2.2% from open same day
08/19/98… S&P futures close -0.7% from open same day
05/20/98… S&P futures close -0.4% from open one day later
02/05/98… S&P futures close -0.6% from open same day
07/03/97… S&P futures close -0.5% from open one day later
12/20/95… S&P futures close -1.0% from open same day
05/24/95… S&P futures close -0.2% from open same day
12/22/93… S&P futures close+1.0% from open two days later
08/18/93… S&P futures close +0.2% from open two days later
02/04/93… S&P futures close -0.1% from open two days later
07/02/92… S&P futures close -0.4% from open same day
08/21/91… S&P futures close +2.4% from open two days later
03/27/91… S&P futures close -0.6% from open same day
02/07/91… S&P futures close -0.7% from open same day
In each of the last 20 occurrences, and in 24 out of 27 occurrences since 1990, S&P futures settled below the opening price either the same day or within the next couple of days. That’s significantly greater than the 67% random chance for a settlement below today’s open within the next few sessions. This setup will go into effect on any open above SPH 1096.