Monday, September 8, 2008

Quick Stats On Massive Gap Opens

It's Monday morning and the futures are up over 3.0% due to the FNM/FRE bailout news. Since 1998 there have been 16 times when the S&P 500 has gapped up 2.0% or more. Eight of those times it closed higher than the open, and eight it closed lower.

Of the 16 instances 10 saw an intraday drop of 1% or more from the opening price and 6 did not.

12 of the 16 broke below the lows of the 1st half hour of trading at some point during the day. Shorting that break and holding until the end of the day would have resulted in 6 winning trades and 6 losing trades.

5 of them broke the lows of the 1st half hour after 10:30am. Of those, 4 went on to close even lower on the day. The lone instance that rebounded closed almost 3% higher, though.

So far I've yet to indentify a sizable edge for trading a gap this large on an intraday basis. I will update further if I do.

1 comment:

Eric said...

Hey Rob,

It looks like the S&P may finish around a 1% gain today with the decliners outpacing the advancers. I wonder what the historical data says when that happens. I would assume that there won't be alot of instances though.

Buy S&P when finishes up 1% or more and declining issues are greater than rising issues or with up volume and declining volume.