Distribution Day After a Gap Down
By
Rennie on Friday, August 19th, 2011 at 2:20 pm
Not a good sign if S&P futures close down in excess of 0.5%. Historically, a one-way move lower immediately following a downside gap generally leads to a bit more follow-through over the next 1-3 sessions. In the table below is every instance since 1990 in which S&P futures closed down in excess of 0.5% and posted a lower high and lower low immediately following an unfilled downside gap (defined as high < previous day’s low)…
S&P Futures -0.5%, Lower High & Low after Unfilled Downside Gap
07/12/11… Lower S&P close two sessions later
07/11/11… Lower S&P close one session later
02/23/11… Lower S&P close one session later
08/12/10… Lower S&P close one session later
06/30/10… Lower S&P close one session later
06/07/10… No lower S&P close within three sessions
05/05/10… Lower S&P close one session later
06/16/09… Lower S&P close one session later
03/03/09… Lower S&P close two sessions later
02/18/09… Lower S&P close one session later
10/07/08… Lower S&P close one session later
05/21/08… Lower S&P close two sessions later
02/06/08… No lower S&P close within three sessions
01/16/08… Lower S&P close one session later
01/21/05… Lower S&P close one session later
09/23/04… Lower S&P close two sessions later
04/29/04… Lower S&P close one session later
01/21/03… Lower S&P close one session later
09/24/02… Lower S&P close four sessions later
07/22/02… Lower S&P close one session later
03/12/01… Lower S&P close two sessions later
02/20/01… Lower S&P close one session later
07/19/00… Lower S&P close two sessions later
05/22/00… Lower S&P close one session later
06/24/99… Lower S&P close one session later
05/06/98… Lower S&P close one session later
08/30/96… Lower S&P close three sessions later
07/08/96… Lower S&P close three sessions later
09/12/94… No lower S&P close within three sessions
06/21/94… Lower S&P close two sessions later
05/09/94… Lower S&P close two sessions later
03/25/94… Lower S&P close two sessions later
07/06/93… No lower S&P close within three sessions
04/22/91… Lower S&P close one session later
10/29/90… No lower S&P close within three sessions
10/10/90… Lower S&P close one session later
08/22/90… Lower S&P close one session later
08/17/90… Lower S&P close two sessions later
01/15/90… Lower S&P close two sessions later
In 25 out of the last 28 occurrences, and in 33 out of 39 (85%) since 1990, S&P futures posted a subsequently lower close within the next three sessions. That’s significantly greater than the 65% random chance for a close below today’s settlement within the next three days.
Distribution Day After a Gap Down
By Rennie on Friday, August 19th, 2011 at 2:20 pmNot a good sign if S&P futures close down in excess of 0.5%. Historically, a one-way move lower immediately following a downside gap generally leads to a bit more follow-through over the next 1-3 sessions. In the table below is every instance since 1990 in which S&P futures closed down in excess of 0.5% and posted a lower high and lower low immediately following an unfilled downside gap (defined as high < previous day’s low)…
S&P Futures -0.5%, Lower High & Low after Unfilled Downside Gap
07/12/11… Lower S&P close two sessions later
07/11/11… Lower S&P close one session later
02/23/11… Lower S&P close one session later
08/12/10… Lower S&P close one session later
06/30/10… Lower S&P close one session later
06/07/10… No lower S&P close within three sessions
05/05/10… Lower S&P close one session later
06/16/09… Lower S&P close one session later
03/03/09… Lower S&P close two sessions later
02/18/09… Lower S&P close one session later
10/07/08… Lower S&P close one session later
05/21/08… Lower S&P close two sessions later
02/06/08… No lower S&P close within three sessions
01/16/08… Lower S&P close one session later
01/21/05… Lower S&P close one session later
09/23/04… Lower S&P close two sessions later
04/29/04… Lower S&P close one session later
01/21/03… Lower S&P close one session later
09/24/02… Lower S&P close four sessions later
07/22/02… Lower S&P close one session later
03/12/01… Lower S&P close two sessions later
02/20/01… Lower S&P close one session later
07/19/00… Lower S&P close two sessions later
05/22/00… Lower S&P close one session later
06/24/99… Lower S&P close one session later
05/06/98… Lower S&P close one session later
08/30/96… Lower S&P close three sessions later
07/08/96… Lower S&P close three sessions later
09/12/94… No lower S&P close within three sessions
06/21/94… Lower S&P close two sessions later
05/09/94… Lower S&P close two sessions later
03/25/94… Lower S&P close two sessions later
07/06/93… No lower S&P close within three sessions
04/22/91… Lower S&P close one session later
10/29/90… No lower S&P close within three sessions
10/10/90… Lower S&P close one session later
08/22/90… Lower S&P close one session later
08/17/90… Lower S&P close two sessions later
01/15/90… Lower S&P close two sessions later
In 25 out of the last 28 occurrences, and in 33 out of 39 (85%) since 1990, S&P futures posted a subsequently lower close within the next three sessions. That’s significantly greater than the 65% random chance for a close below today’s settlement within the next three days.