Post-Fed Day Gaps
By
Rennie on Thursday, November 3rd, 2011 at 8:28 pm
A review of upside gaps (open > previous day’s high) on the day immediately following an FOMC announcement finds a definitive tendency for S&P futures to close below the opening gap price either the same day or within the next couple of days. All 31 occurrences since 1990 are shown below…
S&P Futures Gap Up Post-FOMC Announcement
11/03/11… S&P futures ???
11/04/10… S&P futures close +1.0% from open two days later
04/29/10… S&P futures close -1.1% from open one day later
03/17/10… S&P futures close -0.2% from open two days later
01/28/10… S&P futures close -1.6% from open same day
04/30/09… S&P futures close -1.1% from open same day
03/19/09… S&P futures close -2.6% from open same day
03/19/08… S&P futures close -2.9% from open same day
09/19/07… S&P futures close -0.1% from open same day
12/13/06… S&P futures close -0.2% from open same day
10/26/06… S&P futures close -0.5% from open one day later
06/30/06… S&P futures close -0.4% from open same day
08/10/05… S&P futures close -0.4% from open same day
03/17/04… S&P futures close -0.7% from open two days later
08/13/03… S&P futures close -0.8% from open same day
06/27/02… S&P futures close -1.4% from open two days later
05/08/02… S&P futures close -1.1% from open two days later
01/31/02… S&P futures close -2.1% from open two days later
03/31/99… S&P futures close -2.2% from open same day
08/19/98… S&P futures close -0.7% from open same day
05/20/98… S&P futures close -0.4% from open one day later
02/05/98… S&P futures close -0.6% from open same day
07/03/97… S&P futures close -0.5% from open one day later
12/20/95… S&P futures close -1.0% from open same day
05/24/95… S&P futures close -0.2% from open same day
12/22/93… S&P futures close +1.0% from open two days later
08/18/93… S&P futures close +0.2% from open two days later
02/04/93… S&P futures close -0.1% from open two days later
07/02/92… S&P futures close -0.4% from open same day
08/21/91… S&P futures close +2.4% from open two days later
03/27/91… S&P futures close -0.6% from open same day
02/07/91… S&P futures close -0.7% from open same day
In 23 out of the last 24 occurrences, and in 27 out of 31 occurrences since 1990, S&P futures settled below the opening price either the same day or within the next couple of days, a decent edge over the 67% random chance. This suggests the potential for a close back under SPZ 1247.50 either Friday or Monday.
Post-Fed Day Gaps
By Rennie on Thursday, November 3rd, 2011 at 8:28 pmA review of upside gaps (open > previous day’s high) on the day immediately following an FOMC announcement finds a definitive tendency for S&P futures to close below the opening gap price either the same day or within the next couple of days. All 31 occurrences since 1990 are shown below…
S&P Futures Gap Up Post-FOMC Announcement
11/03/11… S&P futures ???
11/04/10… S&P futures close +1.0% from open two days later
04/29/10… S&P futures close -1.1% from open one day later
03/17/10… S&P futures close -0.2% from open two days later
01/28/10… S&P futures close -1.6% from open same day
04/30/09… S&P futures close -1.1% from open same day
03/19/09… S&P futures close -2.6% from open same day
03/19/08… S&P futures close -2.9% from open same day
09/19/07… S&P futures close -0.1% from open same day
12/13/06… S&P futures close -0.2% from open same day
10/26/06… S&P futures close -0.5% from open one day later
06/30/06… S&P futures close -0.4% from open same day
08/10/05… S&P futures close -0.4% from open same day
03/17/04… S&P futures close -0.7% from open two days later
08/13/03… S&P futures close -0.8% from open same day
06/27/02… S&P futures close -1.4% from open two days later
05/08/02… S&P futures close -1.1% from open two days later
01/31/02… S&P futures close -2.1% from open two days later
03/31/99… S&P futures close -2.2% from open same day
08/19/98… S&P futures close -0.7% from open same day
05/20/98… S&P futures close -0.4% from open one day later
02/05/98… S&P futures close -0.6% from open same day
07/03/97… S&P futures close -0.5% from open one day later
12/20/95… S&P futures close -1.0% from open same day
05/24/95… S&P futures close -0.2% from open same day
12/22/93… S&P futures close +1.0% from open two days later
08/18/93… S&P futures close +0.2% from open two days later
02/04/93… S&P futures close -0.1% from open two days later
07/02/92… S&P futures close -0.4% from open same day
08/21/91… S&P futures close +2.4% from open two days later
03/27/91… S&P futures close -0.6% from open same day
02/07/91… S&P futures close -0.7% from open same day
In 23 out of the last 24 occurrences, and in 27 out of 31 occurrences since 1990, S&P futures settled below the opening price either the same day or within the next couple of days, a decent edge over the 67% random chance. This suggests the potential for a close back under SPZ 1247.50 either Friday or Monday.