Jobs Report Selloff
By
Rennie on Friday, September 2nd, 2011 at 2:35 pm
A lot of mixed signals heading into the long weekend. Let’s start with the positives…
The Nasdaq100 is currently outperforming the S&P500 on a percentage basis by a very slim margin. If it manages to hold that edge into the close, it would suggest a higher NDX close (above Friday’s close) either Tuesday or Wednesday of next week. Listed below are all instances since 1990 in which the NDX & SPX closed down more than 0.5% two consecutive sessions and the NDX outperformed the SPX both days. In 18 out of 19 cases, the NDX closed at a subsequently higher level in the next 1-2 days…
NDX & SPX -0.5% Two Days, NDX Outperforms
06/01/10… Nasdaq100 +2.4% next session
09/24/09… Nasdaq100 +0.9% two sessions later
06/16/09… Nasdaq100 +0.9% next session
03/02/09… Nasdaq100 +0.4% next session
01/30/09… Nasdaq100 +1.3% next session
11/20/08… Nasdaq100 +4.7% next session
11/12/08… Nasdaq100 +6.5% next session
10/27/08… Nasdaq100 +10.9% next session
07/27/07… Nasdaq100 +0.9% next session
05/10/04… Nasdaq100 +1.8% next session
03/11/04… Nasdaq100 +2.1% next session
03/11/03… Nasdaq100 +1.2% next session
10/07/02… Nasdaq100 +0.9% next session
07/22/02… Nasdaq100 +1.3% two sessions later
07/10/02… Nasdaq100 +4.1% next session
08/30/99… Nasdaq100 +1.3% next session
08/08/97… Nasdaq100 -2.2% two sessions later
01/15/90… Nasdaq100 +2.1% next session
01/05/90… Nasdaq100 +0.2% next session
One other positive is that S&P futures are currently set to post an NR10 day (narrowest range of last ten sessions). It’s pretty unusual to see a lopsided negative breadth day coincide with an NR10 day. Since inception of S&P futures I found only 31 instances, 24 (77%) of which led to a higher S&P one week later. That’s a decent edge over the 55% random chance for a higher market one week later…
S&P Futures NR10 Day w/ 2:1 Negative Breadth
05/23/11… S&P futures +2.2% 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
Now for the negatives…
If S&P futures close above today’s midpoint, currently around 1178 on the September contract, it would point to a lower close on Tuesday. When the S&Ps close above the midpoint on a day when most stocks are trending lower, it signals a weak recovery that usually doesn’t stick. Here’s a look at each of the last thirty instances in which S&P futures closed above the day’s midpoint despite 2:1+ negative breadth (NYSE)…
S&P Futures Close >Midpoint Despite 2:1 Negative Breadth
08/16/11… S&P futures -0.2% next session
08/05/11… S&P futures -7.2% next session
07/29/11… S&P futures -0.9% next session
07/18/11… S&P futures +1.6% next session
07/08/11… S&P futures -1.7% next session
04/18/11… S&P futures +0.6% next session
03/15/11… S&P futures -1.7% next session
03/14/11… S&P futures -1.2% next session
08/10/10… S&P futures -3.1% next session
05/06/10… S&P futures -1.4% next session
01/20/10… S&P futures -2.0% next session
01/12/10… S&P futures +0.7% next session
11/27/09… S&P futures +0.5% next session
11/19/09… S&P futures -0.4% next session
08/31/09… S&P futures -2.3% next session
08/14/09… S&P futures -2.7% next session
06/03/09… S&P futures +0.9% next session
05/21/09… S&P futures -0.4% next session
04/06/09… S&P futures -2.0% next session
03/27/09… S&P futures -3.9% next session
02/20/09… S&P futures -3.2% next session
01/22/09… S&P futures -0.2% next session
12/22/08… S&P futures -1.5% next session
12/15/08… S&P futures +4.6% next session
10/22/08… S&P futures +1.4% next session
10/06/08… S&P futures -4.5% next session
09/26/08… S&P futures -7.9% next session
04/22/08… S&P futures -0.2% next session
03/17/08… S&P futures +4.3% next session
03/04/08… S&P futures +0.7% next session
In 21 out of the last 30 occurrences, or 70% of the time, S&P futures closed lower the following session. That’s significantly higher than the 44% random chance in the same time frame.
It’s a negative sign in general to see a big down day coinciding with the employment report release. Today marks only the 16th time since 1990 that S&P futures have posted an unfilled downside gap on a Jobs Report Friday. Previous occurrences led to a flat-to-down day for the S&P one day later in all but one case…
Unfilled Downside Gap on Jobs Report Friday
07/08/11… S&P futures -1.7% next session
06/04/10… S&P futures -1.7% next session
07/02/09… S&P futures +0.2% next session
01/04/08… S&P futures -0.1% next session
09/07/07… S&P futures -0.3% next session
08/05/05… S&P futures -0.2% next session
08/06/04… S&P futures +0.1% next session
07/06/01… S&P futures +0.5% next session
03/09/01… S&P futures -4.2% next session
11/07/97… S&P futures -0.6% next session
07/05/96… S&P futures -0.7% next session
04/08/96… S&P futures -0.3% next session
03/08/96… S&P futures +1.1% next session (*)
08/05/94… S&P futures +0.1% next session
05/06/94… S&P futures -1.0% next session
Today is also set to mark the first 1%+ down day on a Jobs Report Friday this year. Each of the last 30 occurrences is listed in the table below. Note that in 21 cases, or 70% of the time, the S&P posted a lower close two sessions later, significantly greater than 47% random chance for a lower S&P two days later in the same time frame…
S&P500 -1%+ on Jobs Report Friday
06/04/10… S&P500 -0.3% two sessions later
05/07/10… S&P500 +4.0% two sessions later
07/02/09… S&P500 -1.7% two sessions later
01/09/09… S&P500 -2.1% two sessions later
10/03/08… S&P500 -9.4% two sessions later
06/06/08… S&P500 -0.2% two sessions later
01/04/08… S&P500 -1.5% two sessions later
09/07/07… S&P500 +1.2% two sessions later
08/03/07… S&P500 +3.1% two sessions later
04/07/06… S&P500 -0.7% two sessions later
08/06/04… S&P500 +1.4% two sessions later
05/07/04… S&P500 -0.3% two sessions later
08/01/03… S&P500 -1.5% two sessions later
02/07/03… S&P500 -0.1% two sessions later
10/04/02… S&P500 -0.3% two sessions later
08/02/02… S&P500 -0.5% two sessions later
05/03/02… S&P500 -2.2% two sessions later
09/07/01… S&P500 -4.3% two sessions later
07/06/01… S&P500 -0.8% two sessions later
04/06/01… S&P500 +3.5% two sessions later
03/09/01… S&P500 -2.9% two sessions later
02/02/01… S&P500 +0.2% two sessions later
01/05/01… S&P500 +0.2% two sessions later
10/06/00… S&P500 -1.6% two sessions later
08/06/99… S&P500 -1.5% two sessions later
01/09/98… S&P500 +2.6% two sessions later
11/07/97… S&P500 -0.4% two sessions later
07/05/96… S&P500 -0.4% two sessions later
04/08/96… S&P500 -1.7% two sessions later
03/08/96… S&P500 +0.6% two sessions later
Overall I think we have to respect the potential for further downside early next week, especially if S&P futures close above today’s midpoint and/or NDX underperforms SPX.
Jobs Report Selloff
By Rennie on Friday, September 2nd, 2011 at 2:35 pmA lot of mixed signals heading into the long weekend. Let’s start with the positives…
The Nasdaq100 is currently outperforming the S&P500 on a percentage basis by a very slim margin. If it manages to hold that edge into the close, it would suggest a higher NDX close (above Friday’s close) either Tuesday or Wednesday of next week. Listed below are all instances since 1990 in which the NDX & SPX closed down more than 0.5% two consecutive sessions and the NDX outperformed the SPX both days. In 18 out of 19 cases, the NDX closed at a subsequently higher level in the next 1-2 days…
NDX & SPX -0.5% Two Days, NDX Outperforms
06/01/10… Nasdaq100 +2.4% next session
09/24/09… Nasdaq100 +0.9% two sessions later
06/16/09… Nasdaq100 +0.9% next session
03/02/09… Nasdaq100 +0.4% next session
01/30/09… Nasdaq100 +1.3% next session
11/20/08… Nasdaq100 +4.7% next session
11/12/08… Nasdaq100 +6.5% next session
10/27/08… Nasdaq100 +10.9% next session
07/27/07… Nasdaq100 +0.9% next session
05/10/04… Nasdaq100 +1.8% next session
03/11/04… Nasdaq100 +2.1% next session
03/11/03… Nasdaq100 +1.2% next session
10/07/02… Nasdaq100 +0.9% next session
07/22/02… Nasdaq100 +1.3% two sessions later
07/10/02… Nasdaq100 +4.1% next session
08/30/99… Nasdaq100 +1.3% next session
08/08/97… Nasdaq100 -2.2% two sessions later
01/15/90… Nasdaq100 +2.1% next session
01/05/90… Nasdaq100 +0.2% next session
One other positive is that S&P futures are currently set to post an NR10 day (narrowest range of last ten sessions). It’s pretty unusual to see a lopsided negative breadth day coincide with an NR10 day. Since inception of S&P futures I found only 31 instances, 24 (77%) of which led to a higher S&P one week later. That’s a decent edge over the 55% random chance for a higher market one week later…
S&P Futures NR10 Day w/ 2:1 Negative Breadth
05/23/11… S&P futures +2.2% 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
Now for the negatives…
If S&P futures close above today’s midpoint, currently around 1178 on the September contract, it would point to a lower close on Tuesday. When the S&Ps close above the midpoint on a day when most stocks are trending lower, it signals a weak recovery that usually doesn’t stick. Here’s a look at each of the last thirty instances in which S&P futures closed above the day’s midpoint despite 2:1+ negative breadth (NYSE)…
S&P Futures Close >Midpoint Despite 2:1 Negative Breadth
08/16/11… S&P futures -0.2% next session
08/05/11… S&P futures -7.2% next session
07/29/11… S&P futures -0.9% next session
07/18/11… S&P futures +1.6% next session
07/08/11… S&P futures -1.7% next session
04/18/11… S&P futures +0.6% next session
03/15/11… S&P futures -1.7% next session
03/14/11… S&P futures -1.2% next session
08/10/10… S&P futures -3.1% next session
05/06/10… S&P futures -1.4% next session
01/20/10… S&P futures -2.0% next session
01/12/10… S&P futures +0.7% next session
11/27/09… S&P futures +0.5% next session
11/19/09… S&P futures -0.4% next session
08/31/09… S&P futures -2.3% next session
08/14/09… S&P futures -2.7% next session
06/03/09… S&P futures +0.9% next session
05/21/09… S&P futures -0.4% next session
04/06/09… S&P futures -2.0% next session
03/27/09… S&P futures -3.9% next session
02/20/09… S&P futures -3.2% next session
01/22/09… S&P futures -0.2% next session
12/22/08… S&P futures -1.5% next session
12/15/08… S&P futures +4.6% next session
10/22/08… S&P futures +1.4% next session
10/06/08… S&P futures -4.5% next session
09/26/08… S&P futures -7.9% next session
04/22/08… S&P futures -0.2% next session
03/17/08… S&P futures +4.3% next session
03/04/08… S&P futures +0.7% next session
In 21 out of the last 30 occurrences, or 70% of the time, S&P futures closed lower the following session. That’s significantly higher than the 44% random chance in the same time frame.
It’s a negative sign in general to see a big down day coinciding with the employment report release. Today marks only the 16th time since 1990 that S&P futures have posted an unfilled downside gap on a Jobs Report Friday. Previous occurrences led to a flat-to-down day for the S&P one day later in all but one case…
Unfilled Downside Gap on Jobs Report Friday
07/08/11… S&P futures -1.7% next session
06/04/10… S&P futures -1.7% next session
07/02/09… S&P futures +0.2% next session
01/04/08… S&P futures -0.1% next session
09/07/07… S&P futures -0.3% next session
08/05/05… S&P futures -0.2% next session
08/06/04… S&P futures +0.1% next session
07/06/01… S&P futures +0.5% next session
03/09/01… S&P futures -4.2% next session
11/07/97… S&P futures -0.6% next session
07/05/96… S&P futures -0.7% next session
04/08/96… S&P futures -0.3% next session
03/08/96… S&P futures +1.1% next session (*)
08/05/94… S&P futures +0.1% next session
05/06/94… S&P futures -1.0% next session
Today is also set to mark the first 1%+ down day on a Jobs Report Friday this year. Each of the last 30 occurrences is listed in the table below. Note that in 21 cases, or 70% of the time, the S&P posted a lower close two sessions later, significantly greater than 47% random chance for a lower S&P two days later in the same time frame…
S&P500 -1%+ on Jobs Report Friday
06/04/10… S&P500 -0.3% two sessions later
05/07/10… S&P500 +4.0% two sessions later
07/02/09… S&P500 -1.7% two sessions later
01/09/09… S&P500 -2.1% two sessions later
10/03/08… S&P500 -9.4% two sessions later
06/06/08… S&P500 -0.2% two sessions later
01/04/08… S&P500 -1.5% two sessions later
09/07/07… S&P500 +1.2% two sessions later
08/03/07… S&P500 +3.1% two sessions later
04/07/06… S&P500 -0.7% two sessions later
08/06/04… S&P500 +1.4% two sessions later
05/07/04… S&P500 -0.3% two sessions later
08/01/03… S&P500 -1.5% two sessions later
02/07/03… S&P500 -0.1% two sessions later
10/04/02… S&P500 -0.3% two sessions later
08/02/02… S&P500 -0.5% two sessions later
05/03/02… S&P500 -2.2% two sessions later
09/07/01… S&P500 -4.3% two sessions later
07/06/01… S&P500 -0.8% two sessions later
04/06/01… S&P500 +3.5% two sessions later
03/09/01… S&P500 -2.9% two sessions later
02/02/01… S&P500 +0.2% two sessions later
01/05/01… S&P500 +0.2% two sessions later
10/06/00… S&P500 -1.6% two sessions later
08/06/99… S&P500 -1.5% two sessions later
01/09/98… S&P500 +2.6% two sessions later
11/07/97… S&P500 -0.4% two sessions later
07/05/96… S&P500 -0.4% two sessions later
04/08/96… S&P500 -1.7% two sessions later
03/08/96… S&P500 +0.6% two sessions later
Overall I think we have to respect the potential for further downside early next week, especially if S&P futures close above today’s midpoint and/or NDX underperforms SPX.