S&P Futures Following Through from Wednesday’s Upside Gap

S&P futures in the process of posting a short-term bullish price pattern as we’ve already seen a higher high vs. Wednesday and we’re in the process of posting a higher low as well. That’s significant given that the S&Ps posted an unfilled upside gap Wednesday. Here’s a look at all instances in which S&P futures posted a higher high and low immediately after an upside gap (regardless of whether the close was positive or negative)…

S&P Futures Higher High & Low after Upside Gap
03/08/10… Higher S&P close one session later
03/03/10… Higher S&P close one session later
03/02/10… Higher S&P close one session later
12/28/09… No higher close next 1-2 sessions
12/22/09… Higher S&P close one session later
12/11/09… Higher S&P close one session later
12/02/09… Higher S&P close one session later
11/10/09… Higher S&P close one session later
10/15/09… Higher S&P close two sessions later
10/09/09… Higher S&P close one session later
09/09/09… Higher S&P close one session later
08/24/09… Higher S&P close one session later
07/16/09… Higher S&P close one session later
06/02/09… No higher close next 1-2 sessions
05/05/09… Higher S&P close one session later
04/13/09… No higher close next 1-2 sessions
11/25/08… Higher S&P close one session later
04/17/08… Higher S&P close one session later
04/02/08… Higher S&P close one session later
03/19/08… Higher S&P close one session later
12/24/07… Higher S&P close one session later
12/06/07… Higher S&P close two sessions later
11/29/07… Higher S&P close one session later
07/13/07… No higher close next 1-2 sessions
04/23/07… Higher S&P close one session later
04/17/07… Higher S&P close one session later
02/15/07… Higher S&P close two sessions later
11/30/06… Higher S&P close two sessions later
08/17/06… Higher S&P close one session later
06/30/06… Higher S&P close one session later

In 26 out of the last 30 occurrences, or 87% of the time, the S&P posted a subsequently higher close (above the setup day’s close) within the next two days, significantly above the 67% at-any-time odds for a higher close within two sessions in the same time frame. This setup will go into effect at today’s close as long as June S&Ps hold above 1196 intraday.

Also noteworthy that the S&P cash index is trading slightly lower today after a series of five consecutive up days. Should the SPX close lower, it would tilt the odds in favor of a higher close on Friday. The table below summarizes the last thirty separate occurrences in which the SPX posted its first lower close after a series of 5+ up days. Note the definitive tendency for the dominant uptrend to resume the following session. In 23 out of the last 30 occurrences, or 77% of the time the S&P closed higher the next day, significantly above the 55% random chance for a higher SPX close one day later in the same time frame…

First down day after a series of five or more up days
03/08/10… S&P500 +0.2% next day
01/12/10… S&P500 +0.8% next day
12/29/09… S&P500 +0.0% next day
11/10/09… S&P500 +0.5% next day
10/13/09… S&P500 +1.8% next day
09/11/09… S&P500 +0.6% next day
12/01/08… S&P500 +4.0% next day
07/10/07… S&P500 +0.6% next day
06/05/07… S&P500 -0.9% next day
05/08/07… S&P500 +0.3% next day
04/19/07… S&P500 +0.9% next day
04/11/07… S&P500 +0.6% next day
11/20/06… S&P500 +0.2% next day
10/27/06… S&P500 +0.0% next day
08/21/06… S&P500 +0.1% next day
03/20/06… S&P500 -0.6% next day
01/10/06… S&P500 +0.4% next day
11/28/05… S&P500 +0.0% next day
10/03/05… S&P500 -1.0% next day
07/18/05… S&P500 +0.7% next day
06/20/05… S&P500 -0.2% next day
02/17/05… S&P500 +0.1% next day
11/08/04… S&P500 -0.1% next day
08/03/04… S&P500 -0.1% next day
05/28/04… S&P500 +0.1% next day
10/08/03… S&P500 +0.5% next day
09/05/03… S&P500 +1.0% next day
08/13/03… S&P500 +0.7% next day
06/06/03… S&P500 -1.2% next day
05/29/03… S&P500 +1.5% next day

Finally, I’d add that in recent years (only), the S&P500 has had a notable tendency to rally in the week following the April 15th tax deadline as retirement plan contributions are put to work in the market. The table below highlights the S&P’s performance in the week following April 15th (or the first trading day after the 15th if it fell on a weekend)…

S&P Performance Following April 15^th
04/15/10… S&P500 ??? one week later
04/15/09… S&P500 -1.0% one week later
04/15/08… S&P500 +3.1% one week later
04/17/07… S&P500 +0.6% one week later
04/17/06… S&P500 +1.8% one week later
04/15/05… S&P500 +0.8% one week later
04/15/04… S&P500 +1.0% one week later
04/15/03… S&P500 +3.2% one week later
04/15/02… S&P500 +0.5% one week later
04/16/01… S&P500 +3.8% one week later
04/17/00… S&P500 +5.4% one week later
04/15/99… S&P500 +2.7% one week later
04/15/98… S&P500 +1.0% one week later
04/15/97… S&P500 +2.6% one week later
04/15/96… S&P500 +0.8% one week later
04/17/95… S&P500 +1.3% one week later

Categories : Archived Intraday Commentary, Intraday Commentary

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