Another Unfilled Gap for S&P Futures? This Price Pattern Says No
By
Rennie on Tuesday, May 11th, 2010 at 8:32 am
S&P futures currently off 1% in overnight trading, near Monday’s day session low of 1144.50. If we open below that level (but above 1138.50), it could represent a quick intraday buying opportunity to fill the gap. Since inception of the S&P contract, there have only been fourteen occurrences in which an unfilled upside gap session (low>previous day’s high) was followed by a gap down open (below the previous day’s low) the next day. A common thread runs through all fourteen occurrences. The S&Ps never opened more than 0.5% below the previous day’s low, and in every case the opening gap was filled (meaning it traded back up to the previous day’s low)…
S&P Futures Gap Down at Open Following Unfilled Upside Gap
04/21/08… S&P futures gap down 0.0%, gap filled intraday
08/03/06… S&P futures gap down 0.2%, gap filled intraday
06/20/05… S&P futures gap down 0.1%, gap filled intraday
10/18/02… S&P futures gap down 0.4%, gap filled intraday
06/05/00… S&P futures gap down 0.0%, gap filled intraday
01/18/00… S&P futures gap down 0.3%, gap filled intraday
10/25/99… S&P futures gap down 0.2%, gap filled intraday
09/28/99… S&P futures gap down 0.4%, gap filled intraday
11/30/98… S&P futures gap down 0.1%, gap filled intraday
10/13/98… S&P futures gap down 0.1%, gap filled intraday
10/16/95… S&P futures gap down 0.2%, gap filled intraday
06/15/92… S&P futures gap down 0.4%, gap filled intraday
11/13/91… S&P futures gap down 0.0%, gap filled intraday
07/18/85… S&P futures gap down 0.0%, gap filled intraday
Put another way, we’ve never seen an unfilled upside gap immediately followed by an unfilled downside gap. While the sample size is small, if the 14 occurrences above are any indication, an open in the SPM 1138.50 – 1144.50 area could probably be bought for a quick intraday move to fill the gap at 1144.50. Any open below 1138.50 (more than 0.5% below Monday’s low) would fall outside of historical tendencies.
Another Unfilled Gap for S&P Futures? This Price Pattern Says No
By Rennie on Tuesday, May 11th, 2010 at 8:32 amS&P futures currently off 1% in overnight trading, near Monday’s day session low of 1144.50. If we open below that level (but above 1138.50), it could represent a quick intraday buying opportunity to fill the gap. Since inception of the S&P contract, there have only been fourteen occurrences in which an unfilled upside gap session (low>previous day’s high) was followed by a gap down open (below the previous day’s low) the next day. A common thread runs through all fourteen occurrences. The S&Ps never opened more than 0.5% below the previous day’s low, and in every case the opening gap was filled (meaning it traded back up to the previous day’s low)…
S&P Futures Gap Down at Open Following Unfilled Upside Gap
04/21/08… S&P futures gap down 0.0%, gap filled intraday
08/03/06… S&P futures gap down 0.2%, gap filled intraday
06/20/05… S&P futures gap down 0.1%, gap filled intraday
10/18/02… S&P futures gap down 0.4%, gap filled intraday
06/05/00… S&P futures gap down 0.0%, gap filled intraday
01/18/00… S&P futures gap down 0.3%, gap filled intraday
10/25/99… S&P futures gap down 0.2%, gap filled intraday
09/28/99… S&P futures gap down 0.4%, gap filled intraday
11/30/98… S&P futures gap down 0.1%, gap filled intraday
10/13/98… S&P futures gap down 0.1%, gap filled intraday
10/16/95… S&P futures gap down 0.2%, gap filled intraday
06/15/92… S&P futures gap down 0.4%, gap filled intraday
11/13/91… S&P futures gap down 0.0%, gap filled intraday
07/18/85… S&P futures gap down 0.0%, gap filled intraday
Put another way, we’ve never seen an unfilled upside gap immediately followed by an unfilled downside gap. While the sample size is small, if the 14 occurrences above are any indication, an open in the SPM 1138.50 – 1144.50 area could probably be bought for a quick intraday move to fill the gap at 1144.50. Any open below 1138.50 (more than 0.5% below Monday’s low) would fall outside of historical tendencies.