Intraday Tendencies Prior to Market Holidays
By
Rennie on Thursday, May 26th, 2011 at 12:27 pm
The tables below highlight the intraday performance of S&P futures on the session prior to Memorial Day. The first table highlights those instances when S&P futures opened higher while the second table contains instances when futures opened lower…
S&P Futures Open Up on Session Prior to Memorial Day
05/22/09… S&P futures open up, close -0.5% from open
05/25/07… S&P futures open up, close +0.1% from open
05/26/06… S&P futures open up, close +0.3% from open
05/27/05… S&P futures open up, close +0.1% from open
05/28/99… S&P futures open up, close +0.8% from open
05/22/98… S&P futures open up, close -0.6% from open
05/23/97… S&P futures open up, close +0.6% from open
05/24/96… S&P futures open up, close +0.2% from open
05/22/92… S&P futures open up, close +0.2% from open
05/24/91… S&P futures open up, close +0.3% from open
05/22/87… S&P futures open up, close -0.1% from open
05/24/85… S&P futures open up, close +0.1% from open
05/27/83… S&P futures open up, close -0.7% from open
S&P Futures Open Down on Session Prior to Memorial Day
05/28/10… S&P futures open down, close -1.1% from open
05/23/08… S&P futures open down, close -1.1% from open
05/28/04… S&P futures open down, close -0.1% from open
05/23/03… S&P futures open down, close +0.2% from open
05/24/02… S&P futures open down, close -1.2% from open
05/25/01… S&P futures open down, close -1.2% from open
05/26/95… S&P futures open down, close -0.9% from open
05/27/94… S&P futures open down, close +0.2% from open
05/25/90… S&P futures open down, close -0.7% from open
05/26/89… S&P futures open down, close +0.7% from open
05/27/88… S&P futures open down, close +0.2% from open
05/23/86… S&P futures open down, close +0.4% from open
05/28/82… S&P futures open down, close -0.6% from open
S&P Futures Open Unch on Session Prior to Memorial Day
05/26/00… S&P futures open unchanged
05/28/93… S&P futures open unchanged
05/25/84… S&P futures open unchanged
It may not immediately jump out, but there’s been a notable tendency for the market to continue trading in the direction of the open on this pre-holiday session. Of the 22 occurrences since 1990 in which S&P futures opened higher or lower on the session preceding Memorial Day, S&P futures continued to trade in the direction of the open 18 times. This means that an up open led to a close above the open, and a down open led to a close below the open 82% of the time. The random chance for the S&P to close above an up open or below a down open is only 52%, so at least since 1990 there has been an edge in simply following the direction of the open. The tendency is not apparent prior to 1990.
In theory this makes sense, as it takes an uptick in volume to reverse a trend. With volume invariably light on the session prior to a holiday, there should be a decreased tendency for the market to stage an intraday reversal. Theoretically this should be apparent prior to other market holidays as well.
Intraday Tendencies Prior to Market Holidays
By Rennie on Thursday, May 26th, 2011 at 12:27 pmThe tables below highlight the intraday performance of S&P futures on the session prior to Memorial Day. The first table highlights those instances when S&P futures opened higher while the second table contains instances when futures opened lower…
S&P Futures Open Up on Session Prior to Memorial Day
05/22/09… S&P futures open up, close -0.5% from open
05/25/07… S&P futures open up, close +0.1% from open
05/26/06… S&P futures open up, close +0.3% from open
05/27/05… S&P futures open up, close +0.1% from open
05/28/99… S&P futures open up, close +0.8% from open
05/22/98… S&P futures open up, close -0.6% from open
05/23/97… S&P futures open up, close +0.6% from open
05/24/96… S&P futures open up, close +0.2% from open
05/22/92… S&P futures open up, close +0.2% from open
05/24/91… S&P futures open up, close +0.3% from open
05/22/87… S&P futures open up, close -0.1% from open
05/24/85… S&P futures open up, close +0.1% from open
05/27/83… S&P futures open up, close -0.7% from open
S&P Futures Open Down on Session Prior to Memorial Day
05/28/10… S&P futures open down, close -1.1% from open
05/23/08… S&P futures open down, close -1.1% from open
05/28/04… S&P futures open down, close -0.1% from open
05/23/03… S&P futures open down, close +0.2% from open
05/24/02… S&P futures open down, close -1.2% from open
05/25/01… S&P futures open down, close -1.2% from open
05/26/95… S&P futures open down, close -0.9% from open
05/27/94… S&P futures open down, close +0.2% from open
05/25/90… S&P futures open down, close -0.7% from open
05/26/89… S&P futures open down, close +0.7% from open
05/27/88… S&P futures open down, close +0.2% from open
05/23/86… S&P futures open down, close +0.4% from open
05/28/82… S&P futures open down, close -0.6% from open
S&P Futures Open Unch on Session Prior to Memorial Day
05/26/00… S&P futures open unchanged
05/28/93… S&P futures open unchanged
05/25/84… S&P futures open unchanged
It may not immediately jump out, but there’s been a notable tendency for the market to continue trading in the direction of the open on this pre-holiday session. Of the 22 occurrences since 1990 in which S&P futures opened higher or lower on the session preceding Memorial Day, S&P futures continued to trade in the direction of the open 18 times. This means that an up open led to a close above the open, and a down open led to a close below the open 82% of the time. The random chance for the S&P to close above an up open or below a down open is only 52%, so at least since 1990 there has been an edge in simply following the direction of the open. The tendency is not apparent prior to 1990.
In theory this makes sense, as it takes an uptick in volume to reverse a trend. With volume invariably light on the session prior to a holiday, there should be a decreased tendency for the market to stage an intraday reversal. Theoretically this should be apparent prior to other market holidays as well.