Unfilled Downside Gaps Post-FOMC
By
Rennie on Wednesday, August 11th, 2010 at 3:03 pm
Wednesday will mark the second consecutive session in which S&P futures have not traded above the previous day’s close. You may recall this pattern was just triggered this past Friday. Historically, this has been a good indication that 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
08/06/10… S&P futures +0.5% next session
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
In 24 out of the last 30 occurrences, or 80% of the time, S&P futures settled higher the next day, significantly above the 54% random chance for a higher close one day later in the same time frame.
One note of caution, however, is that the unfilled downside gap comes directly on the heels of yesterday’s FOMC announcement. That’s only the ninth occurrence since 1990, and it’s interesting to note that in 7 of the last 8 occurrences the market continued to move lower the next day, losing a hefty 1.9% on average. Despite the strong track record of the S&P futures price pattern above, the unusually large losses suffered after a downside gap post-FOMC makes me want to sit out Thursday’s session.
Unfilled Downside Gap (High<Previous Day’s Low) Post-FOMC
12/17/09… S&P500 +0.6% next session
06/25/08… S&P500 -2.9% next session
09/20/05… S&P500 -0.9% next session
09/21/04… S&P500 -1.4% next session
03/19/02… S&P500 -1.6% next session
12/19/00… S&P500 -3.1% next session
07/03/96… S&P500 -2.2% next session
07/03/90… S&P500 -1.2% next session
Unfilled Downside Gaps Post-FOMC
By Rennie on Wednesday, August 11th, 2010 at 3:03 pmWednesday will mark the second consecutive session in which S&P futures have not traded above the previous day’s close. You may recall this pattern was just triggered this past Friday. Historically, this has been a good indication that 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
08/06/10… S&P futures +0.5% next session
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
In 24 out of the last 30 occurrences, or 80% of the time, S&P futures settled higher the next day, significantly above the 54% random chance for a higher close one day later in the same time frame.
One note of caution, however, is that the unfilled downside gap comes directly on the heels of yesterday’s FOMC announcement. That’s only the ninth occurrence since 1990, and it’s interesting to note that in 7 of the last 8 occurrences the market continued to move lower the next day, losing a hefty 1.9% on average. Despite the strong track record of the S&P futures price pattern above, the unusually large losses suffered after a downside gap post-FOMC makes me want to sit out Thursday’s session.
Unfilled Downside Gap (High<Previous Day’s Low) Post-FOMC
12/17/09… S&P500 +0.6% next session
06/25/08… S&P500 -2.9% next session
09/20/05… S&P500 -0.9% next session
09/21/04… S&P500 -1.4% next session
03/19/02… S&P500 -1.6% next session
12/19/00… S&P500 -3.1% next session
07/03/96… S&P500 -2.2% next session
07/03/90… S&P500 -1.2% next session