Implications of Today’s Upside Gap

With S&P futures gapping higher at the open and remaining on an upward path, keep in mind that upside gaps immediately following an FOMC announcement day don’t tend to stick on a short-term basis. Since 1990, we’ve seen 29 separate instances in which S&P futures opened above the previous session’s high the day after a regularly scheduled FOMC announcement, all of which are listed in the table below…

S&P Futures Gap Up Post-FOMC Announcement
04/29/10… S&P futures ???
03/17/10… S&P futures close -0.2% from open two days later
01/28/10… S&P futures close -1.6% from open same day
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

Note that in each of the last 22 occurrences, and in 26 out of 29 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 indicates we’ll see June S&Ps settle back under today’s open of 1196 by next Monday at the latest.

Categories : Archived Intraday Commentary, Intraday Commentary

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