S&P Futures Post Unfilled Downside Gap, Stage Late-Day Recovery
By
Rennie on Monday, April 18th, 2011 at 9:52 pm
S&P futures posted an unfilled downside gap Monday but settled in the top 25% of the day’s range, a potentially negative sign for the next 1-2 sessions. When the S&Ps settle above the midpoint on a day when most stocks close lower, it points to a weak recovery that usually doesn’t stick over the near-term. The last thirty instances of a close above the day’s midpoint despite 2:1+ negative breadth on the NYSE are highlighted below…
S&P Futures Close >Midpoint Despite 2:1 Negative Breadth (NYSE)
04/18/11… ???
03/15/11… Lower S&P close one session later
03/14/11… Lower S&P close one session later
08/10/10… Lower S&P close one session later
05/06/10… Lower S&P close one session later
01/20/10… Lower S&P close one session later
01/12/10… No lower close within next two sessions
11/27/09… No lower close within next two sessions
11/19/09… Lower S&P close one session later
08/31/09… Lower S&P close one session later
08/14/09… Lower S&P close one session later
06/03/09… No lower close within next two sessions
05/21/09… Lower S&P close one session later
04/06/09… Lower S&P close one session later
03/27/09… Lower S&P close one session later
02/20/09… Lower S&P close one session later
01/22/09… Lower S&P close one session later
12/22/08… Lower S&P close one session later
12/15/08… No lower close within next two sessions
10/22/08… Lower S&P close two sessions later
10/06/08… Lower S&P close one session later
09/26/08… Lower S&P close one session later
04/22/08… Lower S&P close one session later
03/17/08… No lower close within next two sessions
03/04/08… Lower S&P close two sessions later
11/05/07… Lower S&P close two sessions later
09/07/07… Lower S&P close one session later
09/05/07… Lower S&P close two sessions later
06/05/07… Lower S&P close one session later
03/27/07… Lower S&P close one session later
07/05/06… Lower S&P close two sessions later
In 25 out of the last 30 occurrences, or 83% of the time, S&P futures closed below the setup day’s settlement one or two trading days later, significantly above the 57% random odds for a lower S&P close 1-2 days later in the same time frame.
Looking beyond the short-term, there’s reason to believe this is not the beginning of a sustained move lower. Following is a brief rundown of intermediate and longer-term studies triggered in the last couple of months. See the links for details…
SPX R-Squared held above 90% four consecutive days on April 7th, which points to an S&P above 1333 in the first week of May. http://markettells.com/2011/04/intermediate-term-clues-from-spx-r-squared-linear-regression-slope/
VXO closed down seven consecutive sessions on March 25th, which points to an S&P above 1313 on May 20th. http://markettells.com/2011/03/this-volatility-signal-has-always-led-to-a-higher-sp-two-months-later/
SPX ADT10 closed over 65 on March 30th, which points to limited downside potential the remainder of April and an S&P above 1328 in late September. http://markettells.com/2011/04/sign-of-persistence-from-the-russell-2-day-rsi/
VXO closed up 10%+ two consecutive sessions on March 15 & 16th, which indicates S&P will be above 1256 mid-June. http://markettells.com/2011/03/follow-up-to-vix-vxo-set-to-trigger-bottoming-signal/
S&P YTD positive at the end of February points to an S&P above 1327 end of December. http://markettells.com/2011/03/spx-closes-below-its-50-day-sma-february-effect-reminder/
Seven higher lows on the monthly S&P chart indicates S&P will be above 1327 end of September. http://markettells.com/2011/03/persistent-moves-on-the-monthly-and-quarterly-sp-charts/
March was the first month with a lower monthly high after six higher monthly highs, indicating S&P will post a monthly close above 1325 in April, May or June. See http://markettells.com/2011/03/persistent-moves-on-the-monthly-and-quarterly-sp-charts/
Three consecutive up quarters for the SPX indicates S&P will post a quarterly close above 1325 by end of 2011. http://markettells.com/2011/03/persistent-moves-on-the-monthly-and-quarterly-sp-charts/
S&P Futures Post Unfilled Downside Gap, Stage Late-Day Recovery
By Rennie on Monday, April 18th, 2011 at 9:52 pmS&P futures posted an unfilled downside gap Monday but settled in the top 25% of the day’s range, a potentially negative sign for the next 1-2 sessions. When the S&Ps settle above the midpoint on a day when most stocks close lower, it points to a weak recovery that usually doesn’t stick over the near-term. The last thirty instances of a close above the day’s midpoint despite 2:1+ negative breadth on the NYSE are highlighted below…
S&P Futures Close >Midpoint Despite 2:1 Negative Breadth (NYSE)
04/18/11… ???
03/15/11… Lower S&P close one session later
03/14/11… Lower S&P close one session later
08/10/10… Lower S&P close one session later
05/06/10… Lower S&P close one session later
01/20/10… Lower S&P close one session later
01/12/10… No lower close within next two sessions
11/27/09… No lower close within next two sessions
11/19/09… Lower S&P close one session later
08/31/09… Lower S&P close one session later
08/14/09… Lower S&P close one session later
06/03/09… No lower close within next two sessions
05/21/09… Lower S&P close one session later
04/06/09… Lower S&P close one session later
03/27/09… Lower S&P close one session later
02/20/09… Lower S&P close one session later
01/22/09… Lower S&P close one session later
12/22/08… Lower S&P close one session later
12/15/08… No lower close within next two sessions
10/22/08… Lower S&P close two sessions later
10/06/08… Lower S&P close one session later
09/26/08… Lower S&P close one session later
04/22/08… Lower S&P close one session later
03/17/08… No lower close within next two sessions
03/04/08… Lower S&P close two sessions later
11/05/07… Lower S&P close two sessions later
09/07/07… Lower S&P close one session later
09/05/07… Lower S&P close two sessions later
06/05/07… Lower S&P close one session later
03/27/07… Lower S&P close one session later
07/05/06… Lower S&P close two sessions later
In 25 out of the last 30 occurrences, or 83% of the time, S&P futures closed below the setup day’s settlement one or two trading days later, significantly above the 57% random odds for a lower S&P close 1-2 days later in the same time frame.
Looking beyond the short-term, there’s reason to believe this is not the beginning of a sustained move lower. Following is a brief rundown of intermediate and longer-term studies triggered in the last couple of months. See the links for details…
SPX R-Squared held above 90% four consecutive days on April 7th, which points to an S&P above 1333 in the first week of May. http://markettells.com/2011/04/intermediate-term-clues-from-spx-r-squared-linear-regression-slope/
VXO closed down seven consecutive sessions on March 25th, which points to an S&P above 1313 on May 20th. http://markettells.com/2011/03/this-volatility-signal-has-always-led-to-a-higher-sp-two-months-later/
SPX ADT10 closed over 65 on March 30th, which points to limited downside potential the remainder of April and an S&P above 1328 in late September. http://markettells.com/2011/04/sign-of-persistence-from-the-russell-2-day-rsi/
VXO closed up 10%+ two consecutive sessions on March 15 & 16th, which indicates S&P will be above 1256 mid-June. http://markettells.com/2011/03/follow-up-to-vix-vxo-set-to-trigger-bottoming-signal/
S&P YTD positive at the end of February points to an S&P above 1327 end of December. http://markettells.com/2011/03/spx-closes-below-its-50-day-sma-february-effect-reminder/
Seven higher lows on the monthly S&P chart indicates S&P will be above 1327 end of September. http://markettells.com/2011/03/persistent-moves-on-the-monthly-and-quarterly-sp-charts/
March was the first month with a lower monthly high after six higher monthly highs, indicating S&P will post a monthly close above 1325 in April, May or June. See http://markettells.com/2011/03/persistent-moves-on-the-monthly-and-quarterly-sp-charts/
Three consecutive up quarters for the SPX indicates S&P will post a quarterly close above 1325 by end of 2011. http://markettells.com/2011/03/persistent-moves-on-the-monthly-and-quarterly-sp-charts/