ES Open Interest Alert
By
Rennie on Thursday, September 2nd, 2010 at 2:05 am
Preliminary open interest figures released by the CME this evening reveal a sharp drop in E-Mini S&P (ES) open interest in excess of 50,000+ contracts, or approximately 1.7%. That’s a significant drop on a day when S&P futures posted an unfilled upside gap (low > previous day’s high) and indicates the rally was propelled more by short-covering than fresh buyers. Historically, this has been a bearish sign for the short-term and the next day in particular. The last 30 times that S&P futures posted an unfilled upside gap and ES open interest fell over 1% are listed below…
ES Open Interest Down 1%+ on Unfilled Upside Gap
09/01/10… S&P futures ??? next day
05/27/10… S&P futures -1.1% next day
05/12/10… S&P futures -1.1% next day
02/16/10… S&P futures +0.6% next day
09/22/09… S&P futures -0.8% next day
03/23/09… S&P futures -1.7% next day
02/06/09… S&P futures -0.3% next day
12/08/08… S&P futures -1.7% next day
11/24/08… S&P futures +0.6% next day
10/28/08… S&P futures -1.3% next day
10/13/08… S&P futures -1.4% next day
09/19/08… S&P futures -2.6% next day
08/22/08… S&P futures -2.0% next day
07/23/08… S&P futures -2.2% next day
06/25/08… S&P futures -2.9% next day
06/13/08… S&P futures +0.0% next day
05/30/08… S&P futures -1.1% next day
03/18/08… S&P futures -2.6% next day
02/12/08… S&P futures +1.0% next day
12/21/07… S&P futures +0.6% next day
11/13/07… S&P futures -0.4% next day
09/27/07… S&P futures -0.4% next day
09/21/07… S&P futures -0.2% next day
09/19/07… S&P futures -0.6% next day
08/31/07… S&P futures +0.9% next day
08/17/07… S&P futures -0.1% next day
08/13/07… S&P futures -1.4% next day
07/30/07… S&P futures -1.3% next day
06/14/07… S&P futures +0.5% next day
06/13/07… S&P futures +0.6% next day
03/19/07… S&P futures +0.5% next day
In 21 out of the last 30 occurrences, or 70% of the time, S&P futures closed lower the next day, significantly above the 45% random chance for a lower S&P close one day later in the same time frame. The S&P never closed up more than 1% the next day, while it fell more than 1% fourteen times.
ES Open Interest Alert
By Rennie on Thursday, September 2nd, 2010 at 2:05 amPreliminary open interest figures released by the CME this evening reveal a sharp drop in E-Mini S&P (ES) open interest in excess of 50,000+ contracts, or approximately 1.7%. That’s a significant drop on a day when S&P futures posted an unfilled upside gap (low > previous day’s high) and indicates the rally was propelled more by short-covering than fresh buyers. Historically, this has been a bearish sign for the short-term and the next day in particular. The last 30 times that S&P futures posted an unfilled upside gap and ES open interest fell over 1% are listed below…
ES Open Interest Down 1%+ on Unfilled Upside Gap
09/01/10… S&P futures ??? next day
05/27/10… S&P futures -1.1% next day
05/12/10… S&P futures -1.1% next day
02/16/10… S&P futures +0.6% next day
09/22/09… S&P futures -0.8% next day
03/23/09… S&P futures -1.7% next day
02/06/09… S&P futures -0.3% next day
12/08/08… S&P futures -1.7% next day
11/24/08… S&P futures +0.6% next day
10/28/08… S&P futures -1.3% next day
10/13/08… S&P futures -1.4% next day
09/19/08… S&P futures -2.6% next day
08/22/08… S&P futures -2.0% next day
07/23/08… S&P futures -2.2% next day
06/25/08… S&P futures -2.9% next day
06/13/08… S&P futures +0.0% next day
05/30/08… S&P futures -1.1% next day
03/18/08… S&P futures -2.6% next day
02/12/08… S&P futures +1.0% next day
12/21/07… S&P futures +0.6% next day
11/13/07… S&P futures -0.4% next day
09/27/07… S&P futures -0.4% next day
09/21/07… S&P futures -0.2% next day
09/19/07… S&P futures -0.6% next day
08/31/07… S&P futures +0.9% next day
08/17/07… S&P futures -0.1% next day
08/13/07… S&P futures -1.4% next day
07/30/07… S&P futures -1.3% next day
06/14/07… S&P futures +0.5% next day
06/13/07… S&P futures +0.6% next day
03/19/07… S&P futures +0.5% next day
In 21 out of the last 30 occurrences, or 70% of the time, S&P futures closed lower the next day, significantly above the 45% random chance for a lower S&P close one day later in the same time frame. The S&P never closed up more than 1% the next day, while it fell more than 1% fourteen times.