S&P Futures Post Unfilled Downside Gap, NR10

Two noteworthy developments on Monday that tilt the odds in favor of higher prices over the next week…

1) S&P futures did not trade above the previous day’s settlement for the second day in a row Monday, usually a sign the market is short-term oversold. Over the last 30 separate occurrences of this two-day price pattern, the S&P was higher one week later 77% of the time.

2) S&P futures posted a NR10 day (narrowest range of last ten sessions) despite lopsided negative breadth. It’s unusual to see an NR10 day coincide with a 2:1 negative breadth session. Since inception of the S&P futures contract, I found 30 instances in which NYSE breadth closed 2:1 negative and S&P futures posted an NR10 day. Similar to the gap study, 23 out of 30 (77%) led to a higher S&P one week later…

S&P Futures Do Not Trade >Previous Day’s Settlement Two Consecutive Sessions
05/23/11… S&P futures ??? one week later
03/15/11… S&P futures +1.0% one week later
11/12/10… S&P futures +0.2% one week later
08/11/10… S&P futures +0.2% one week later
08/06/10… S&P futures -3.9% one week later
11/20/09… S&P futures +0.4% one week later
10/02/09… S&P futures +4.5% one week later
08/17/09… S&P futures +4.7% one week later
07/29/09… S&P futures +2.7% one week later
04/07/09… S&P futures +4.2% one week later
03/30/09… S&P futures +5.9% one week later
03/02/09… S&P futures -4.2% one week later
11/12/08… S&P futures -4.8% one week later
11/06/08… S&P futures +0.4% one week later
10/22/08… S&P futures +2.7% one week later
02/29/08… S&P futures -2.9% one week later
02/05/08… S&P futures +0.5% one week later
12/17/07… S&P futures +3.4% one week later
12/04/07… S&P futures +1.0% one week later
10/19/07… S&P futures +2.4% one week later
10/16/07… S&P futures -1.4% one week later
08/28/07… S&P futures +2.7% one week later
06/06/07… S&P futures -0.1% one week later
03/28/07… S&P futures +1.3% one week later
11/27/06… S&P futures +2.0% one week later
09/07/06… S&P futures +1.7% one week later
08/01/06… S&P futures +0.0% one week later
07/13/06… S&P futures +0.5% one week later
01/18/06… S&P futures -1.0% one week later
08/05/05… S&P futures +0.1% one week later
03/22/04… S&P futures +2.6% one week later

S&P Futures NR10 Day w/ 2:1 Negative Breadth
05/23/11… S&P futures ??? one week later
09/07/10… S&P futures +2.7% one week later
07/28/10… S&P futures +2.0% one week later
05/28/10… S&P futures -3.7% one week later
08/31/09… S&P futures +0.5% one week later
08/17/09… S&P futures +4.7% one week later
05/11/09… S&P futures -0.2% one week later
04/27/09… S&P futures +5.4% one week later
04/07/09… S&P futures +4.2% one week later
03/27/09… S&P futures +3.0% one week later
10/21/08… S&P futures -2.2% one week later
06/18/08… S&P futures -1.2% one week later
09/17/07… S&P futures +2.8% one week later
08/27/07… S&P futures +1.4% one week later
03/07/06… S&P futures +1.6% one week later
05/25/05… S&P futures +1.1% one week later
09/17/98… S&P futures +2.4% one week later
09/10/98… S&P futures +5.2% one week later
12/07/94… S&P futures +0.7% one week later
11/11/94… S&P futures +0.1% one week later
02/20/91… S&P futures +0.7% one week later
12/17/90… S&P futures +0.6% one week later
09/14/90… S&P futures -1.5% one week later
11/09/87… S&P futures +1.1% one week later
03/17/86… S&P futures +0.2% one week later
09/13/85… S&P futures +0.5% one week later
05/11/84… S&P futures -1.7% one week later
02/09/84… S&P futures -0.2% one week later
08/08/83… S&P futures +2.4% one week later
09/17/82… S&P futures +0.2% one week later
09/10/82… S&P futures +2.4% one week later

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

 Print This Post