Thanksgiving Week

Only five other times in the last 40 years has the S&P fallen 1%+ on the first day of Thanksgiving week…

SPX -1% First Day of Thanksgiving Week
11/21/11… SPX ??? two weeks later
11/19/07… SPX +2.1% two weeks later
11/20/00… SPX +2.5% two weeks later
11/24/97… SPX +3.1% two weeks later
11/22/82… SPX +6.3% two weeks later
11/19/73… SPX -7.1% two weeks later

1997 was the only one of those instances that marked the bottom for the week. The other four saw the S&P post another lower close during the holiday-shortened week.

Worth noting that post-OpEx selloffs usually lead to a short-term bounce…

S&P500 Falls 0.5%+ Day Following Options Expiration
11/21/11… S&P500 ??? three sessions later
09/19/11… S&P500 -6.2% three sessions later
07/18/11… S&P500 +2.9% three sessions later
05/23/11… S&P500 +0.6% three sessions later
04/18/11… S&P500 +2.5% three sessions later
02/22/11… S&P500 +0.3% three sessions later
05/24/10… S&P500 +2.7% three sessions later
06/22/09… S&P500 +3.1% three sessions later
04/20/09… S&P500 +2.4% three sessions later
02/23/09… S&P500 +1.3% three sessions later
01/20/09… S&P500 +3.3% three sessions later
12/22/08… S&P500 +0.1% three sessions later
09/22/08… S&P500 +0.2% three sessions later
08/18/08… S&P500 -0.1% three sessions later
01/22/08… S&P500 +1.5% three sessions later
11/19/07… S&P500 +0.5% three sessions later
09/24/07… S&P500 +0.9% three sessions later
01/22/07… S&P500 +0.1% three sessions later
06/19/06… S&P500 +0.4% three sessions later
12/19/05… S&P500 +0.7% three sessions later
09/19/05… S&P500 -1.3% three sessions later
07/18/05… S&P500 +0.5% three sessions later
02/22/05… S&P500 +2.3% three sessions later
09/20/04… S&P500 -1.2% three sessions later
03/22/04… S&P500 +1.3% three sessions later
09/22/03… S&P500 -1.9% three sessions later
07/21/03… S&P500 +0.3% three sessions later
06/23/03… S&P500 +0.4% three sessions later
05/19/03… S&P500 +1.2% three sessions later
03/24/03… S&P500 +0.5% three sessions later
02/24/03… S&P500 +0.6% three sessions later

25 of last 30 occurrences (83%) led to a higher S&P close three sessions later, significantly above 56% random odds.

This is backed up by some positive short-term seasonal cycles.
The table below details the Nasdaq’s performance on the day before and day after the Thanksgiving holiday. Nasdaq100 (NDX) data is utilized since it began trading in 1985, prior to that Nasdaq Composite data is shown…

Nasdaq Performance Surrounding Thanksgiving
11/23/10 2116.61… 11/26/10 2153.91… NDX +1.8%
11/24/09 1786.25… 11/27/09 1765.46… NDX -1.2%
11/25/08 1142.58… 11/28/08 1185.75… NDX +3.8%
11/20/07 2029.94… 11/23/07 2028.90… NDX -0.1%
11/21/06 1808.88… 11/24/06 1815.53… NDX +0.4%
11/22/05 1694.14… 11/25/05 1701.05… NDX +0.4%
11/23/04 1562.60… 11/26/04 1578.26… NDX +1.0%
11/25/03 1411.36… 11/28/03 1424.25… NDX +0.9%
11/26/02 1087.49… 11/29/02 1116.10… NDX +2.6%
11/20/01 1549.70… 11/23/01 1577.47… NDX +1.8%
11/21/00 2786.53… 11/24/00 2830.09… NDX +1.6%
11/23/99 2999.78… 11/26/99 3116.62… NDX +3.9%
11/24/98 1580.83… 11/27/98 1628.35… NDX +3.0%
11/25/97 1038.06… 11/28/97 1050.51… NDX +1.2%
11/26/96 825.51… 11/29/96 834.01… NDX +1.0%
11/21/95 574.22… 11/24/95 578.32… NDX +0.7%
11/22/94 397.93… 11/25/94 401.17… NDX +0.8%
11/23/93 381.22… 11/26/93 386.31… NDX +1.3%
11/24/92 349.97… 11/27/92 349.31… NDX -0.2%
11/26/91 284.13… 11/29/91 284.79… NDX +0.2%
11/20/90 183.31… 11/23/90 184.28… NDX +0.5%
11/21/89 222.76… 11/24/89 224.83… NDX +0.9%
11/22/88 164.35… 11/25/88 165.72… NDX +0.8%
11/24/87 144.66… 11/27/87 143.35… NDX -0.9%
11/25/86 145.77… 11/28/86 147.94… NDX +1.5%
11/26/85 123.95… 11/29/85 126.06… NDX +1.7%
11/20/84 243.04… 11/23/84 245.45… COMP +1.0%
11/22/83 284.55… 11/25/83 285.49… COMP +0.3%
11/23/82 225.17… 11/26/82 228.64… COMP +1.5%
11/24/81 199.04… 11/27/81 201.02… COMP +1.0%
11/25/80 205.41… 11/28/80 208.15… COMP +1.3%

27 out of the last 31 years (87%) led to a Nasdaq gain in this two-day time frame, significantly above the 56% random odds for a higher NDX two days later.

1% moves were 17-1

This two-day pattern goes into effect at Tuesday’s close and lasts until Friday’s close.

Categories : Archived Intraday Commentary, Intraday Commentary

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