S&P Futures Open at a Five-Day High, Close at a Five-Day Low

Tuesday’s loss wasn’t the largest in recent memory, but it may have felt that way to intraday traders. S&P futures fell 1.9%, less than the 2.1% loss recorded just a week earlier, but on an open-to-close basis futures fell 2.3%, the largest decline since last May. In reviewing previous instances when S&P futures staged a similarly large open-to-close decline (the largest in 40+ trading days), there was a notable bullish edge over the short-term. Here’s a look at the last 30 instances and the performance of the S&P over the next 1,2 and 3 trading days…

S&P Futures Open-to-Close Pct Loss Largest in Two Months
03/01/11… S&P futures ???
01/28/11… S&P futures +0.9%, +2.5%, +2.2%
11/16/10… S&P futures +0.2%, +2.0%, +2.0%
11/09/10… S&P futures +0.3%, +0.0%, -1.3%
07/16/10… S&P futures +0.1%, +1.6%, +0.1%
05/06/10… S&P futures -1.4%, +3.1%, +2.7%
04/30/10… S&P futures +1.3%, -0.9%, -1.7%
04/27/10… S&P futures +0.8%, +2.1%, +0.2%
04/16/10… S&P futures +0.5%, +1.3%, +0.9%
02/04/10… S&P futures -0.2%, -0.6%, +0.4%
01/21/10… S&P futures -1.8%, -1.7%, -2.2%
12/31/09… S&P futures +1.6%, +1.9%, +2.0%
10/30/09… S&P futures +0.6%, +0.8%, +1.4%
10/01/09… S&P futures -0.6%, +0.9%, +2.1%
09/01/09… S&P futures -0.2%, +0.5%, +1.8%
06/22/09… S&P futures +0.2%, +1.1%, +3.2%
02/23/09… S&P futures +3.2%, +2.2%, +0.9%
10/09/08… S&P futures -2.4%, +11.4%, +9.8%
09/29/08… S&P futures +4.3%, +4.4%, +0.5%
09/09/08… S&P futures +0.6%, +2.0%, +2.5%
06/06/08… S&P futures +0.3%, -0.2%, -1.7%
03/19/08… S&P futures +2.0%, +4.0%, +4.0%
01/17/08… S&P futures -1.1%, -2.3%, +0.1%
12/11/07… S&P futures +0.8%, +0.7%, -0.7%
11/26/07… S&P futures +1.2%, +4.4%, +4.4%
10/19/07… S&P futures +0.5%, +1.3%, +1.1%
08/03/07… S&P futures +1.7%, +2.7%, +4.2%
07/27/07… S&P futures +1.6%, +0.3%, +0.8%
06/07/07… S&P futures +1.3%, +1.4%, +0.3%
02/27/07… S&P futures +1.0%, +0.7%, -0.7%
11/27/06… S&P futures +0.4%, +1.3%, +1.4%

Across all three time frames there’s a statistically significant edge. Two days out seems to be the sweet spot, with the S&P higher 25 out of 30 occurrences (83%) vs. 55% random odds and averaging a gain of 2.2%.

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

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