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.
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.