What Follows Two Gap Up Opens
By
Rennie on Friday, December 10th, 2010 at 1:16 am
S&P futures once again trading higher overnight, currently a couple of points above Thursday’s high. Should the overnight strength stick, it would represent the second day in a row with an open above the previous session’s high. Here’s a look at how the S&P traded the remainder of the day after a second gap up open…
S&P futures Open >Previous Session’s High Two Days
04/05/10… S&P futures close +0.5% from open
03/17/10… S&P futures close +0.2% from open
03/02/10… S&P futures close -0.1% from open
02/17/10… S&P futures close +0.2% from open
12/29/09… S&P futures close -0.4% from open
12/28/09… S&P futures close -0.2% from open
12/24/09… S&P futures close +0.4% from open
09/09/09… S&P futures close +0.6% from open
09/08/09… S&P futures close -0.0% from open
08/24/09… S&P futures close -0.4% from open
07/21/09… S&P futures close -0.1% from open
07/15/09… S&P futures close +1.5% from open
06/01/09… S&P futures close +0.8% from open
05/07/09… S&P futures close -2.0% from open
03/16/09… S&P futures close -1.0% from open
12/31/08… S&P futures close +1.3% from open
11/25/08… S&P futures close -1.8% from open
10/14/08… S&P futures close -4.6% from open
05/14/08… S&P futures close -0.2% from open
04/16/08… S&P futures close +1.8% from open
04/02/08… S&P futures close -0.2% from open
03/19/08… S&P futures close -2.9% from open
01/25/08… S&P futures close -2.5% from open
12/24/07… S&P futures close +0.3% from open
10/29/07… S&P futures close +0.1% from open
09/27/07… S&P futures close +0.1% from open
09/19/07… S&P futures close -0.1% from open
08/23/07… S&P futures close -0.6% from open
06/01/07… S&P futures close +0.1% from open
04/17/07… S&P futures close +0.1% from open
04/16/07… S&P futures close +0.4% from open
03/09/07… S&P futures close -0.4% from open
08/16/06… S&P futures close +0.3% from open
08/15/06… S&P futures close +0.3% from open
06/30/06… S&P futures close -0.4% from open
05/26/06… S&P futures close +0.3% from open
12/27/05… S&P futures close -1.1% from open
11/18/05… S&P futures close +0.0% from open
02/01/05… S&P futures close +0.5% from open
About even odds in terms of whether S&P futures settle above or below the open. Average gain was 0.54%, average loss 1.0%, indicating more profit potential on a fade.
The consistent edge from two gap up opens actually doesn’t occur until the next day. Regardless of how S&P futures close relative to the second up open, buying power typically resurfaces the following session. Here’s the same track record as above but in this case I’ve noted the S&P’s next-day performance…
S&P Futures Open >Previous Session’s High Two Days
04/05/10… S&P futures +0.2% next day
03/17/10… S&P futures +0.0% next day
03/02/10… S&P futures +0.1% next day
02/17/10… S&P futures +0.6% next day
12/29/09… S&P futures +0.0% next day
12/28/09… S&P futures -0.1% next day
12/24/09… S&P futures +0.1% next day
09/09/09… S&P futures +0.9% next day
09/08/09… S&P futures +0.7% next day
08/24/09… S&P futures +0.2% next day
07/21/09… S&P futures -0.4% next day
07/15/09… S&P futures +0.9% next day
06/01/09… S&P futures +0.4% next day
05/07/09… S&P futures +2.4% next day
03/16/09… S&P futures +3.2% next day
12/31/08… S&P futures +3.2% next day
11/25/08… S&P futures +3.5% next day
10/14/08… S&P futures -9.0% next day (*)
05/14/08… S&P futures +1.1% next day
04/16/08… S&P futures +0.1% next day
04/02/08… S&P futures +0.1% next day
03/19/08… S&P futures +2.4% next day
01/25/08… S&P futures +1.8% next day
12/24/07… S&P futures +0.1% next day
10/29/07… S&P futures -0.7% next day
09/27/07… S&P futures -0.3% next day
09/19/07… S&P futures -0.7% next day
08/23/07… S&P futures +1.2% next day
06/01/07… S&P futures +0.2% next day
04/17/07… S&P futures +0.1% next day
04/16/07… S&P futures +0.2% next day
03/09/07… S&P futures +0.3% next day
08/16/06… S&P futures +0.2% next day
08/15/06… S&P futures +0.9% next day
06/30/06… S&P futures +0.7% next day
05/26/06… S&P futures -1.8% next day
12/27/05… S&P futures +0.1% next day
11/18/05… S&P futures +0.5% next day
02/01/05… S&P futures +0.3% next day
32 out of 39 times since 2005, or 82% of the time, S&P futures closed higher, significantly above the 55% random chance. This signal will go into effect at Friday’s close and target a higher close on Monday if March S&P futures open above 1230 on Friday.
What Follows Two Gap Up Opens
By Rennie on Friday, December 10th, 2010 at 1:16 amS&P futures once again trading higher overnight, currently a couple of points above Thursday’s high. Should the overnight strength stick, it would represent the second day in a row with an open above the previous session’s high. Here’s a look at how the S&P traded the remainder of the day after a second gap up open…
S&P futures Open >Previous Session’s High Two Days
04/05/10… S&P futures close +0.5% from open
03/17/10… S&P futures close +0.2% from open
03/02/10… S&P futures close -0.1% from open
02/17/10… S&P futures close +0.2% from open
12/29/09… S&P futures close -0.4% from open
12/28/09… S&P futures close -0.2% from open
12/24/09… S&P futures close +0.4% from open
09/09/09… S&P futures close +0.6% from open
09/08/09… S&P futures close -0.0% from open
08/24/09… S&P futures close -0.4% from open
07/21/09… S&P futures close -0.1% from open
07/15/09… S&P futures close +1.5% from open
06/01/09… S&P futures close +0.8% from open
05/07/09… S&P futures close -2.0% from open
03/16/09… S&P futures close -1.0% from open
12/31/08… S&P futures close +1.3% from open
11/25/08… S&P futures close -1.8% from open
10/14/08… S&P futures close -4.6% from open
05/14/08… S&P futures close -0.2% from open
04/16/08… S&P futures close +1.8% from open
04/02/08… S&P futures close -0.2% from open
03/19/08… S&P futures close -2.9% from open
01/25/08… S&P futures close -2.5% from open
12/24/07… S&P futures close +0.3% from open
10/29/07… S&P futures close +0.1% from open
09/27/07… S&P futures close +0.1% from open
09/19/07… S&P futures close -0.1% from open
08/23/07… S&P futures close -0.6% from open
06/01/07… S&P futures close +0.1% from open
04/17/07… S&P futures close +0.1% from open
04/16/07… S&P futures close +0.4% from open
03/09/07… S&P futures close -0.4% from open
08/16/06… S&P futures close +0.3% from open
08/15/06… S&P futures close +0.3% from open
06/30/06… S&P futures close -0.4% from open
05/26/06… S&P futures close +0.3% from open
12/27/05… S&P futures close -1.1% from open
11/18/05… S&P futures close +0.0% from open
02/01/05… S&P futures close +0.5% from open
About even odds in terms of whether S&P futures settle above or below the open. Average gain was 0.54%, average loss 1.0%, indicating more profit potential on a fade.
The consistent edge from two gap up opens actually doesn’t occur until the next day. Regardless of how S&P futures close relative to the second up open, buying power typically resurfaces the following session. Here’s the same track record as above but in this case I’ve noted the S&P’s next-day performance…
S&P Futures Open >Previous Session’s High Two Days
04/05/10… S&P futures +0.2% next day
03/17/10… S&P futures +0.0% next day
03/02/10… S&P futures +0.1% next day
02/17/10… S&P futures +0.6% next day
12/29/09… S&P futures +0.0% next day
12/28/09… S&P futures -0.1% next day
12/24/09… S&P futures +0.1% next day
09/09/09… S&P futures +0.9% next day
09/08/09… S&P futures +0.7% next day
08/24/09… S&P futures +0.2% next day
07/21/09… S&P futures -0.4% next day
07/15/09… S&P futures +0.9% next day
06/01/09… S&P futures +0.4% next day
05/07/09… S&P futures +2.4% next day
03/16/09… S&P futures +3.2% next day
12/31/08… S&P futures +3.2% next day
11/25/08… S&P futures +3.5% next day
10/14/08… S&P futures -9.0% next day (*)
05/14/08… S&P futures +1.1% next day
04/16/08… S&P futures +0.1% next day
04/02/08… S&P futures +0.1% next day
03/19/08… S&P futures +2.4% next day
01/25/08… S&P futures +1.8% next day
12/24/07… S&P futures +0.1% next day
10/29/07… S&P futures -0.7% next day
09/27/07… S&P futures -0.3% next day
09/19/07… S&P futures -0.7% next day
08/23/07… S&P futures +1.2% next day
06/01/07… S&P futures +0.2% next day
04/17/07… S&P futures +0.1% next day
04/16/07… S&P futures +0.2% next day
03/09/07… S&P futures +0.3% next day
08/16/06… S&P futures +0.2% next day
08/15/06… S&P futures +0.9% next day
06/30/06… S&P futures +0.7% next day
05/26/06… S&P futures -1.8% next day
12/27/05… S&P futures +0.1% next day
11/18/05… S&P futures +0.5% next day
02/01/05… S&P futures +0.3% next day
32 out of 39 times since 2005, or 82% of the time, S&P futures closed higher, significantly above the 55% random chance. This signal will go into effect at Friday’s close and target a higher close on Monday if March S&P futures open above 1230 on Friday.