Friday Selloff Set to Trigger Opposing Short-term Signals

Historically, 1%+ down days on Jobs Report Fridays tend to precede further downside in the first two days of the following week. Each of the last 30 occurrences is listed in the table below. Note that in 21 cases, or 70% of the time, the S&P posted a lower close two sessions later, significantly greater than 47% random chance for a lower S&P two days later in the same time frame…

S&P500 -1%+ on Friday Employment Report
06/04/10… S&P500 -0.3% two sessions later
05/07/10… S&P500 +4.0% two sessions later
07/02/09… S&P500 -1.7% two sessions later
01/09/09… S&P500 -2.1% two sessions later
10/03/08… S&P500 -9.4% two sessions later
06/06/08… S&P500 -0.2% two sessions later
01/04/08… S&P500 -1.5% two sessions later
09/07/07… S&P500 +1.2% two sessions later
08/03/07… S&P500 +3.1% two sessions later
04/07/06… S&P500 -0.7% two sessions later
08/06/04… S&P500 +1.4% two sessions later
05/07/04… S&P500 -0.3% two sessions later
08/01/03… S&P500 -1.5% two sessions later
02/07/03… S&P500 -0.1% two sessions later
10/04/02… S&P500 -0.3% two sessions later
08/02/02… S&P500 -0.5% two sessions later
05/03/02… S&P500 -2.2% two sessions later
09/07/01… S&P500 -4.3% two sessions later
07/06/01… S&P500 -0.8% two sessions later
04/06/01… S&P500 +3.5% two sessions later
03/09/01… S&P500 -2.9% two sessions later
02/02/01… S&P500 +0.2% two sessions later
01/05/01… S&P500 +0.2% two sessions later
10/06/00… S&P500 -1.6% two sessions later
08/06/99… S&P500 -1.5% two sessions later
01/09/98… S&P500 +2.6% two sessions later
11/07/97… S&P500 -0.4% two sessions later
07/05/96… S&P500 -0.4% two sessions later
04/08/96… S&P500 -1.7% two sessions later
03/08/96… S&P500 +0.6% two sessions later

That said, we’re also seeing a short-term bullish signal set to trigger at today’s close, so it depends on your outlook as to which you favor. Intermediate-term studies are bullish and point to an S&P back over 1125 later this month, so I continue to lean long. Friday is shaping up to be the second consecutive session in which S&P futures have not traded above the previous day’s close. Historically, that’s an indication the market is short-term oversold and likely to bounce the following session. The last 30 occurrences are listed below…

S&P Futures Do Not Trade >Previous Day’s Settlement Two Consecutive Sessions
11/20/09… S&P futures +1.3% next session
10/02/09… S&P futures +1.4% next session
08/17/09… S&P futures +1.2% next session
07/29/09… S&P futures +0.8% next session
04/07/09… S&P futures +1.1% next session
03/30/09… S&P futures +1.3% next session
03/02/09… S&P futures -2.3% next session
11/12/08… S&P futures +6.4% next session
11/06/08… S&P futures +3.5% next session
10/22/08… S&P futures +1.4% next session
02/29/08… S&P futures +0.1% next session
02/05/08… S&P futures -1.0% next session
12/17/07… S&P futures +0.7% next session
12/04/07… S&P futures +1.6% next session
10/19/07… S&P futures +0.5% next session
10/16/07… S&P futures +0.3% next session
08/28/07… S&P futures +1.9% next session
06/06/07… S&P futures -1.8% next session
03/28/07… S&P futures +0.1% next session
11/27/06… S&P futures +0.4% next session
09/07/06… S&P futures +0.2% next session
08/01/06… S&P futures +0.6% next session
07/13/06… S&P futures -0.4% next session
01/18/06… S&P futures +0.4% next session
08/05/05… S&P futures -0.2% next session
03/22/04… S&P futures -0.2% next session
09/10/03… S&P futures +0.3% next session
09/30/02… S&P futures +4.8% next session
09/24/02… S&P futures +2.5% next session
02/04/02… S&P futures -0.6% next session

In 23 out of the past 30 cases, or 77% of the time, S&P futures settled higher the following session, significantly above the 54% random chance for a higher S&P close one day later in the same time frame.

Categories : Archived Intraday Commentary, Intraday Commentary

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