NR10 After a Gap

Short-term positive indication to see S&P futures holding in a narrow range following Thursday’s upside gap. Since 2000, there have been 36 occurrences of an NR10 (narrowest range of last ten sessions) following an unfilled upside gap (low > previous day’s high). 33 (92%) led to higher S&P futures close (above setup day’s close) within the next two sessions vs. 65% random odds…

S&P Futures Post NR10 Day Following Unfilled Upside Gap
10/11/11… Higher S&P futures close one session later
07/20/11… Higher S&P futures close one session later
04/21/11… Higher S&P futures close two sessions later
03/31/11… Higher S&P futures close one session later
03/22/11… Higher S&P futures close one session later
02/02/11… Higher S&P futures close one session later
01/13/11… Higher S&P futures close one session later
09/27/10… Higher S&P futures close one session later
09/07/10… Higher S&P futures close one session later
08/03/10… Higher S&P futures close one session later
03/08/10… Higher S&P futures close one session later
12/22/09… Higher S&P futures close one session later
11/17/09… Higher S&P futures close one session later
11/10/09… Higher S&P futures close one session later
10/07/09… Higher S&P futures close one session later
05/05/09… Higher S&P futures close one session later
04/27/09… Higher S&P futures close two sessions later
03/25/08… No higher close within next two days
12/24/07… Higher S&P futures close one session later
06/18/07… Higher S&P futures close one session later
04/04/07… Higher S&P futures close one session later
12/28/06… No higher close within next two days
06/30/06… Higher S&P futures close one session later
06/16/06… No higher close within next two days
05/08/06… Higher S&P futures close one session later
11/01/05… Higher S&P futures close one session later
05/27/05… Higher S&P futures close two sessions later
05/19/05… Higher S&P futures close two sessions later
12/30/03… Higher S&P futures close one session later
10/06/03… Higher S&P futures close one session later
02/19/03… Higher S&P futures close two sessions later
11/05/02… Higher S&P futures close one session later
10/14/02… Higher S&P futures close one session later
10/01/01… Higher S&P futures close one session later
06/05/00… Higher S&P futures close two sessions later
01/18/00… Higher S&P futures close one session later

This signal will go into effect at today’s close as long as S&P futures don’t trade more than 4.30 below the current intraday low of 1273 or above the current intraday high at 1282.30.

Categories : Archived Intraday Commentary, Intraday Commentary

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