Selling Pressure Approaching Short-term Exhaustion Point

Sellers continue to hold the upper hand Wednesday, with S&P futures nearly posting a second consecutive downside gap (high<previous day’s close). That has telling implications for the short-term, because when S&P futures post two consecutive sessions without trading above the previous day’s close, it often means selling pressure is near a short-term exhaustion point. While we’ve traded slightly above Tuesday’s close (by less than a point), the principal still holds true. Below I’ve listed each of the last thirty instances in which S&P futures did not trade more than 0.2% above the previous day’s close on two consecutive sessions…

S&P Futures Do Not Trade >0.2% Above Previous Day’s Close Two Days
05/05/10… S&P futures ??? one session later
11/20/09… S&P futures +1.3% one session later
10/02/09… S&P futures +1.4% one session later
08/17/09… S&P futures +1.2% one session later
04/07/09… S&P futures +1.1% one session later
03/30/09… S&P futures +1.3% one session later
11/12/08… S&P futures +6.4% one session later
11/06/08… S&P futures +3.5% one session later
10/22/08… S&P futures +1.4% one session later
05/21/08… S&P futures +0.0% one session later
04/14/08… S&P futures +0.4% one session later
02/29/08… S&P futures +0.1% one session later
08/28/07… S&P futures +1.9% one session later
06/07/07… S&P futures +1.3% one session later
09/07/06… S&P futures +0.2% one session later
07/14/06… S&P futures -0.1% one session later
02/03/06… S&P futures +0.3% one session later
01/18/06… S&P futures +0.4% one session later
08/05/05… S&P futures -0.2% one session later
09/23/04… S&P futures +0.4% one session later
09/10/03… S&P futures +0.3% one session later
09/24/02… S&P futures +2.5% one session later
08/02/02… S&P futures -3.6% one session later
12/10/01… S&P futures -0.3% one session later
08/06/01… S&P futures +0.4% one session later
07/06/01… S&P futures +0.5% one session later
03/12/01… S&P futures +1.5% one session later
11/13/00… S&P futures +2.6% one session later
09/06/00… S&P futures+0.8% one session later
06/23/00… S&P futures +1.1% one session later
05/22/00… S&P futures -1.5% one session later

Note that in 25 out of the last 30 occurrences stretching back ten years, or 83% of the time, S&P futures closed higher the following session. That’s significantly greater than the 53% at-any-time odds for a higher S&P close one day later in the same time frame.

Categories : Archived Intraday Commentary, Intraday Commentary

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