Monday, October 13, 2008

2% + Gaps And Their Tendency To Pull Back

It’s late Sunday night and the S&P futures are up over 4%. Typically when the market gaps up by massive amounts it tends to pull back at some point in the next few days. Below are listed all instances where the SPY gapped up by 2% or more. In 19 of 20 cases it posted a close below the gap open within the next 5 days:

5 comments:

Anonymous said...

60% closed the same day... interesting. Then again, this market has been anything but quantitatively predictable lately.

Rob Hanna said...

To clarify, they closed lower than the gap open price - they didn't necessarily close the entire opening gap.

Anonymous said...

can you please run the same scan for -2%? Seems like we leave behind more gaps when we gap down.

David said...

Isn't it interesting that the one failure was a sharp bear market rally?

Johan Lindén said...

So, it worked again!