S&P Futures Working on a Second Consecutive Upside Gap

Short-term bullish price action as S&P futures have opened above the previous day’s (RTH) high for a second consecutive session. This doesn’t tell us how today’s session is likely to end, but it does tell us that buyers will most likely continue to make their presence felt on Wednesday. Historically, two consecutive opens above the previous day’s high has a good track record of leading to further strength the following session. The last thirty occurrences are listed in the table below, along with the S&P’s performance the following session. Note that in 26 out of the last 30 occurrences, or 87% of the time, the S&P closed higher the next day, significantly above the 55% at-any-time odds for a higher close one day later in the same time frame…

S&P Futures Open >Previous Session’s High Two Days
03/02/10… S&P500 ??? next day
02/17/10… S&P500 +0.6% next day
12/29/09… S&P500 +0.0% next day
12/28/09… S&P500 -0.1% next day
12/24/09… S&P500 +0.1% next day
09/09/09… S&P500 +0.9% next day
09/08/09… S&P500 +0.7% next day
08/24/09… S&P500 +0.2% next day
07/21/09… S&P500 -0.4% next day
07/15/09… S&P500 +0.9% next day
06/01/09… S&P500 +0.4% next day
05/07/09… S&P500 +2.4% next day
03/16/09… S&P500 +3.2% next day
12/31/08… S&P500 +3.2% next day
11/25/08… S&P500 +3.5% next day
10/14/08… S&P500 -9.0% next day (*)
05/14/08… S&P500 +1.1% next day
04/16/08… S&P500 +0.1% next day
04/02/08… S&P500 +0.1% next day
03/19/08… S&P500 +2.4% next day
01/25/08… S&P500 +1.8% next day
12/24/07… S&P500 +0.1% next day
10/29/07… S&P500 -0.7% next day
09/27/07… S&P500 -0.3% next day
09/19/07… S&P500 -0.7% next day
08/23/07… S&P500 +1.2% next day
06/01/07… S&P500 +0.2% next day
04/17/07… S&P500 +0.1% next day
04/16/07… S&P500 +0.2% next day
03/09/07… S&P500 +0.3% next day
08/16/06… S&P500 +0.2% next day

In addition, S&P futures are in the process of posting a bullish ‘gap & go’ pattern. When the futures post a higher high, higher low and higher close  immediately after an unfilled upside gap, it’s traditionally a bullish indication looking out two trading days as bullish momentum remains intact. The last thirty times that the front-month S&P contract posted a higher high, low and close immediately after an unfilled upside gap are listed in the table below…

S&P Futures Post Higher High, Low & Close After Upside Gap
12/28/09… S&P futures -0.1% two sessions later
12/22/09… S&P futures +0.7% two sessions later
12/11/09… S&P futures +0.1% two sessions later
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

Note that in 23 out of 30 occurrences, or 77% of the time, the S&Ps were trading higher two sessions later, significantly above the 54% random odds of a higher S&P two days later. For this setup to go into effect, March S&Ps need to settle above yesterday’s close of 1114.60.

Categories : Archived Intraday Commentary, Intraday Commentary

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