Implications of Tuesday’s Narrow Range (NR10) Day

Interesting to note that S&P futures held to less than a 7-point range Tuesday, its smallest range day in a month. When S&P futures post the narrowest range of the last ten sessions (NR10) immediately following an unfilled upside gap (as occurred Monday), it’s traditionally led to further upside over the next 1-2 sessions. Since 2000 this pattern has occurred a total of 31 times, 28 of which led to a higher S&P close (above the setup day’s close) within the next two days. That 90% rate is significantly above the 65% random chance for a close above today’s settlement within the next two sessions…

S&P Futures Post NR10 Day Following Unfilled Upside Gap
03/22/11… ???
02/02/11… Higher S&P futures close one session later
01/13/11… Higher S&P futures close one session later
09/27/10… Higher S&P futures close one session later
09/07/10… Higher S&P futures close one session later
08/03/10… Higher S&P futures close one session later
03/08/10… Higher S&P futures close one session later
12/22/09… Higher S&P futures close one session later
11/17/09… Higher S&P futures close one session later
11/10/09… Higher S&P futures close one session later
10/07/09… Higher S&P futures close one session later
05/05/09… Higher S&P futures close one session later
04/27/09… Higher S&P futures close two sessions later
03/25/08… No higher close within next two days
12/24/07… Higher S&P futures close one session later
06/18/07… Higher S&P futures close one session later
04/04/07… Higher S&P futures close one session later
12/28/06… No higher close within next two days
06/30/06… Higher S&P futures close one session later
06/16/06… No higher close within next two days
05/08/06… Higher S&P futures close one session later
11/01/05… Higher S&P futures close one session later
05/27/05… Higher S&P futures close two sessions later
05/19/05… Higher S&P futures close two sessions later
12/30/03… Higher S&P futures close one session later
10/06/03… Higher S&P futures close one session later
02/19/03… Higher S&P futures close two sessions later
11/05/02… Higher S&P futures close one session later
10/14/02… Higher S&P futures close one session later
10/01/01… Higher S&P futures close one session later
06/05/00… Higher S&P futures close two sessions later
01/18/00… Higher S&P futures close one session later

Categories : Archived EOD Commentary, End-of-Day Commentary

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