Friday, May 6, 2011

Large Gaps Up On 1st Friday of the Month

The employment report nornally comes out on the 1st Friday of the month.  Today's report is helping to trigger a large gap up in the SPY.  I looked back at other times since 2003 where the SPY gapped up more than 1% on the first Friday of the month.

Results here are a little dissapointing in that they don't seem to suggest much of an edge in either direction.  Also a little surprising is that the employment report hasn't triggered more big gaps up.  In any case, I'll keep this test in mind in the future in case a more definite edge appears to emerge, but I'm not basing any trades on it right now.


uempel said...

D'ont think that 1st Friday was the issue, jobs data was the topic of the day. Why didn't you analyze reactions following a big jump after publication of the employment data?

Rob Hanna said...


Jobs data is released on the 1st Friday of the month. It is the reason the 1st Friday of the month will often show gaps. The test you suggest is effectively the one I ran.