Updated Look at S&P Futures Performance on Half-Days

With stocks set to close early on Friday, here’s an updated look at the performance of S&P futures on prior half-days, beginning with the closing percentage change and followed by the open-to-close performance…

S&P Futures Performance on Half Days in the Stock Market
11/26/10… S&P500 ???
12/24/09… S&P500 +0.6%, +0.4% from open
11/27/09… S&P500 -1.7%, +1.0% from open
12/24/08… S&P500 +0.8%, +0.3% from open
11/28/08… S&P500 +1.0%, +1.5% from open
07/03/08… S&P500 +0.2%, -0.6% from open
12/24/07… S&P500 +0.6%, +0.3% from open
11/23/07… S&P500 +1.7%, +0.7% from open
07/03/07… S&P500 +0.3%, +0.1% from open
11/24/06… S&P500 -0.4%, +0.1% from open
07/03/06… S&P500 +0.7%, +0.3% from open
11/25/05… S&P500 +0.1%, +0.1% from open
11/26/04… S&P500 -0.1%, -0.1% from open
12/26/03… S&P500 +0.1%, +0.0% from open
12/24/03… S&P500 -0.1%, +0.1% from open
11/28/03… S&P500 +0.1%, +0.1% from open
07/03/03… S&P500 -1.1%, -0.4% from open
12/24/02… S&P500 -0.6%, -0.2% from open
11/29/02… S&P500 -0.2%, -0.5% from open
07/05/02… S&P500 +4.0%, +2.8% from open
11/24/00… S&P500 +1.8%, +0.6% from open
07/03/00… S&P500 +1.5%, +1.4% from open
12/31/99… S&P500 +0.2%, +0.1% from open
11/26/99… S&P500 -0.5%, -0.7% from open
12/24/98… S&P500 -0.3%, -0.2% from open
11/27/98… S&P500 +0.7%, +0.1% from open
12/26/97… S&P500 +0.4%, -0.1% from open
12/24/97… S&P500 -0.3%, -1.1% from open

Interesting to note that S&P futures did not close down more than 0.7% from the open in each of the last 26 occurrences. Also worth noting that when the S&P closed lower on a half-day session, the market has tended to trade flat-to-down the following session, with only one out of ten occurrences leading to a gain of more than 0.5%…

S&P Closes Lower on Half-Day Session
11/27/09… S&P500 -1.7%, +0.5% next session
11/24/06… S&P500 -0.4%, -1.4% next session
11/26/04… S&P500 -0.1%, -0.4% next session
12/24/03… S&P500 -0.1%, +0.1% next session
07/03/03… S&P500 -1.1%, +2.0% next session (*)
12/24/02… S&P500 -0.6%, -0.1% next session
11/29/02… S&P500 -0.2%, -0.1% next session
11/26/99… S&P500 -0.5%, -0.3% next session
12/24/98… S&P500 -0.3%, -0.5% next session
12/24/97… S&P500 -0.3%, +0.4% next session

Categories : Archived Intraday Commentary, Intraday Commentary

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