Gap to New High
By
Rennie on Wednesday, January 12th, 2011 at 4:34 pm
Almost overlooked the fact that S&P futures posted a second consecutive session with an open above the previous day’s (RTH) high. That’s usually a sign of strength for the next day (Thursday in this case), in direct opposition to the earlier breadth study. Every instance since 2005 in which the front-month S&Ps opened above the previous day’s high on two consecutive sessions are listed in the table below…
S&P Futures Open >Previous Session’s High Two Days
01/12/11… S&P futures ??? next day
12/29/10… S&P futures -0.1% next day
12/21/10… S&P futures +0.3% next day
12/13/10… S&P futures +0.1% next day
12/10/10… S&P futures +0.0% next day
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
In 35 out of 43 occurrences since 2005, or 81% of the time, S&P futures settled higher the following session, significantly above the 55% random chance, with only two cases of a 1%+ selloff. In ten of the last eleven occurrences the S&P closed within 0.3% of unchanged, which wouldn’t be a surprise on Thursday given the mixed indications.
Gap to New High
By Rennie on Wednesday, January 12th, 2011 at 4:34 pmAlmost overlooked the fact that S&P futures posted a second consecutive session with an open above the previous day’s (RTH) high. That’s usually a sign of strength for the next day (Thursday in this case), in direct opposition to the earlier breadth study. Every instance since 2005 in which the front-month S&Ps opened above the previous day’s high on two consecutive sessions are listed in the table below…
S&P Futures Open >Previous Session’s High Two Days
01/12/11… S&P futures ??? next day
12/29/10… S&P futures -0.1% next day
12/21/10… S&P futures +0.3% next day
12/13/10… S&P futures +0.1% next day
12/10/10… S&P futures +0.0% next day
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
In 35 out of 43 occurrences since 2005, or 81% of the time, S&P futures settled higher the following session, significantly above the 55% random chance, with only two cases of a 1%+ selloff. In ten of the last eleven occurrences the S&P closed within 0.3% of unchanged, which wouldn’t be a surprise on Thursday given the mixed indications.