S&P Futures Shrug Off a Down Open x2
By
Rennie on Wednesday, January 6th, 2010 at 3:18 pm
Yesterday, S&P futures opened lower and closed above the previous day’s high. Today we’re repeating that pattern, as the S&Ps opened lower and are once again trading above yesterday’s high. Historically, when this price pattern repeats two consecutive days, it’s led to generally weak performance over the next two sessions. The last thirty occurrences are listed in the table below…
S&P Futures Open Lower, Close >Previous Day’s High Two Days
08/20/09… S&P futures +2.0% two sessions later (*)
07/27/09… S&P futures -0.5% two sessions later
03/18/09… S&P futures -3.5% two sessions later
11/28/08… S&P futures -5.2% two sessions later
09/12/08… S&P futures -3.4% two sessions later
02/26/08… S&P futures -1.2% two sessions later
10/25/06… S&P futures -0.3% two sessions later
10/24/06… S&P futures +0.6% two sessions later (*)
10/16/06… S&P futures -0.3% two sessions later
10/05/06… S&P futures -0.1% two sessions later
03/15/06… S&P futures +0.2% two sessions later
12/14/05… S&P futures -0.6% two sessions later
11/23/05… S&P futures -0.6% two sessions later
05/17/05… S&P futures +1.4% two sessions later (*)
02/25/05… S&P futures -0.2% two sessions later
10/28/04… S&P futures +0.3% two sessions later
09/02/04… S&P futures +0.2% two sessions later
05/26/04… S&P futures +0.4% two sessions later
01/07/04… S&P futures -0.5% two sessions later
12/23/03… S&P futures -0.0% two sessions later
06/05/03… S&P futures -1.4% two sessions later
07/31/02… S&P futures -5.1% two sessions later
11/26/01… S&P futures -2.2% two sessions later
10/03/01… S&P futures -0.2% two sessions later
01/11/01… S&P futures +0.1% two sessions later
12/28/00… S&P futures -4.0% two sessions later
12/27/00… S&P futures -1.2% two sessions later
04/12/99… S&P futures -2.4% two sessions later
11/06/98… S&P futures -1.7% two sessions later
10/15/98… S&P futures +0.5% two sessions later
Note that in 21 out of the past 30 occurrences, or 70% of the time, the S&P closed lower two sessions later, significantly greater than the 48% at-any-time odds for a lower close two days later. Also note that even when the market managed to keep moving higher, upside potential was typically capped at 0.5%. In only three cases did the S&P rally more than 0.5% in the two days following this pattern, while it fell more than 0.5% thirteen times.
S&P Futures Shrug Off a Down Open x2
By Rennie on Wednesday, January 6th, 2010 at 3:18 pmYesterday, S&P futures opened lower and closed above the previous day’s high. Today we’re repeating that pattern, as the S&Ps opened lower and are once again trading above yesterday’s high. Historically, when this price pattern repeats two consecutive days, it’s led to generally weak performance over the next two sessions. The last thirty occurrences are listed in the table below…
S&P Futures Open Lower, Close >Previous Day’s High Two Days
08/20/09… S&P futures +2.0% two sessions later (*)
07/27/09… S&P futures -0.5% two sessions later
03/18/09… S&P futures -3.5% two sessions later
11/28/08… S&P futures -5.2% two sessions later
09/12/08… S&P futures -3.4% two sessions later
02/26/08… S&P futures -1.2% two sessions later
10/25/06… S&P futures -0.3% two sessions later
10/24/06… S&P futures +0.6% two sessions later (*)
10/16/06… S&P futures -0.3% two sessions later
10/05/06… S&P futures -0.1% two sessions later
03/15/06… S&P futures +0.2% two sessions later
12/14/05… S&P futures -0.6% two sessions later
11/23/05… S&P futures -0.6% two sessions later
05/17/05… S&P futures +1.4% two sessions later (*)
02/25/05… S&P futures -0.2% two sessions later
10/28/04… S&P futures +0.3% two sessions later
09/02/04… S&P futures +0.2% two sessions later
05/26/04… S&P futures +0.4% two sessions later
01/07/04… S&P futures -0.5% two sessions later
12/23/03… S&P futures -0.0% two sessions later
06/05/03… S&P futures -1.4% two sessions later
07/31/02… S&P futures -5.1% two sessions later
11/26/01… S&P futures -2.2% two sessions later
10/03/01… S&P futures -0.2% two sessions later
01/11/01… S&P futures +0.1% two sessions later
12/28/00… S&P futures -4.0% two sessions later
12/27/00… S&P futures -1.2% two sessions later
04/12/99… S&P futures -2.4% two sessions later
11/06/98… S&P futures -1.7% two sessions later
10/15/98… S&P futures +0.5% two sessions later
Note that in 21 out of the past 30 occurrences, or 70% of the time, the S&P closed lower two sessions later, significantly greater than the 48% at-any-time odds for a lower close two days later. Also note that even when the market managed to keep moving higher, upside potential was typically capped at 0.5%. In only three cases did the S&P rally more than 0.5% in the two days following this pattern, while it fell more than 0.5% thirteen times.