Employment Report Selloff

Market has (potentially) two things working against it heading into the first part of next week. One, S&P futures filled Thursday’s upside gap. When an unfilled upside gap is filled the very next session, it’s usually a sign of short-term weakness. In 27 out of the last 30 occurrences, or 90% of the time, S&P futures closed at a subsequently lower level (below the setup day’s close) within the next four sessions, well ahead of the 70% random chance…

S&P Futures Immediately Fill an Upside Gap
03/04/11… ???
11/26/10… Lower S&P close two sessions later
10/26/10… Lower S&P close one session later
10/14/10… Lower S&P close three sessions later
09/07/10… No lower close within four sessions
04/30/10… Lower S&P close two sessions later
04/21/10… Lower S&P close four sessions later
12/15/09… Lower S&P close two sessions later
01/29/09… Lower S&P close one session later
11/05/08… Lower S&P close one session later
09/22/08… Lower S&P close one session later
09/09/08… Lower S&P close four sessions later
08/29/08… Lower S&P close one session later
08/25/08… No lower close within four sessions
09/20/07… Lower S&P close two sessions later
07/05/07… Lower S&P close three sessions later
08/03/06… Lower S&P close one session later
06/20/05… Lower S&P close three sessions later
10/05/04… Lower S&P close two sessions later
03/18/04… Lower S&P close one session later
07/15/03… Lower S&P close one session later
10/18/02… Lower S&P close four sessions later
10/12/01… Lower S&P close one session later
04/06/01… No lower close within four sessions
11/28/00… Lower S&P close one session later
03/06/00… Lower S&P close one session later
02/09/00… Lower S&P close two sessions later
01/18/00… Lower S&P close two sessions later
01/11/00… Lower S&P close one session later
10/25/99… Lower S&P close one session later
09/28/99… Lower S&P close one session later

In addition, 1%+ down days on Jobs Report Fridays tend to precede further downside in the first two days of the following week. Each of the last 30 occurrences is listed in the table below. Note that in 21 cases, or 70% of the time, the S&P posted a lower close two sessions later, significantly greater than 47% random chance for a lower S&P two days later in the same time frame… (whether this is triggered remains to be seen as the S&P is currently off exactly 1%)

S&P500 -1% on Friday Employment Report
06/04/10… S&P500 -0.3% two sessions later
05/07/10… S&P500 +4.0% two sessions later
07/02/09… S&P500 -1.7% two sessions later
01/09/09… S&P500 -2.1% two sessions later
10/03/08… S&P500 -9.4% two sessions later
06/06/08… S&P500 -0.2% two sessions later
01/04/08… S&P500 -1.5% two sessions later
09/07/07… S&P500 +1.2% two sessions later
08/03/07… S&P500 +3.1% two sessions later
04/07/06… S&P500 -0.7% two sessions later
08/06/04… S&P500 +1.4% two sessions later
05/07/04… S&P500 -0.3% two sessions later
08/01/03… S&P500 -1.5% two sessions later
02/07/03… S&P500 -0.1% two sessions later
10/04/02… S&P500 -0.3% two sessions later
08/02/02… S&P500 -0.5% two sessions later
05/03/02… S&P500 -2.2% two sessions later
09/07/01… S&P500 -4.3% two sessions later
07/06/01… S&P500 -0.8% two sessions later
04/06/01… S&P500 +3.5% two sessions later
03/09/01… S&P500 -2.9% two sessions later
02/02/01… S&P500 +0.2% two sessions later
01/05/01… S&P500 +0.2% two sessions later
10/06/00… S&P500 -1.6% two sessions later
08/06/99… S&P500 -1.5% two sessions later
01/09/98… S&P500 +2.6% two sessions later
11/07/97… S&P500 -0.4% two sessions later
07/05/96… S&P500 -0.4% two sessions later
04/08/96… S&P500 -1.7% two sessions later
03/08/96… S&P500 +0.6% two sessions later

Categories : Archived Intraday Commentary, Intraday Commentary

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