When ES Open Interest Falls on a Strong Rally Day

Interesting to note that open interest in E-Mini S&P futures fell 1% on Wednesday’s surge. This pattern has happened a bit over the last few years but hardly ever occurred prior to 2007. I scanned for instances when S&P futures gained more than 2% and didn’t trade below the previous day’s close, yet open interest fell. This has occurred 20 times in the last three years, but before November ’07 you have to go all the way back to 2003 to find the next occurrence. Of the last 20 cases, the market typically came under pressure over the next two sessions, falling 15 out of 20 times with an average loss of 3%. Only twice did the market manage a significant gain over the next two days…

ES Open Interest Drops on Upside Gap Day w/ 2%+ Gain
07/07/10… S&P futures ??? two sessions later
05/27/10… S&P futures -2.9% two sessions later
11/09/09… S&P futures +0.4% two sessions later
10/29/09… S&P futures -2.1% two sessions later
08/21/09… S&P futures +0.1% two sessions later
03/23/09… S&P futures -1.1% two sessions later
02/06/09… S&P futures -4.7% two sessions later
12/08/08… S&P futures -1.0% two sessions later
12/02/08… S&P futures -0.2% two sessions later
11/24/08… S&P futures +4.5%  two sessions later (*)
11/07/08… S&P futures -4.6% two sessions later
11/04/08… S&P futures -9.8% two sessions later
10/30/08… S&P futures +0.8% two sessions later
10/28/08… S&P futures +2.4%  two sessions later (*)
10/13/08… S&P futures -11.2% two sessions later
09/19/08… S&P futures -4.7% two sessions later
08/05/08… S&P futures -1.2% two sessions later
03/24/08… S&P futures -1.2% two sessions later
03/18/08… S&P futures -0.7% two sessions later
03/11/08… S&P futures -0.8% two sessions later
11/13/07… S&P futures -1.7% two sessions later

Categories : Archived Intraday Commentary, Intraday Commentary

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