In my last post I looked at how SPY has performed from open to close when a 2% gain was followed by a gap up of at least 1%. Today we are seeing another 1% gap up, but this time it is on the heels of a 2% loss. So I thought it would be interesting to examine this scenario. Results of the last test suggested the open to close action favored a move lower, which is what played out on Tuesday. Below is the general stats for setups like today.
Not a ton of instances. At this point we can see what appears to be a moderate upside edge. Let's take a look at the list of instances to see if we can learn anything more.
Most striking to me here is that there was not a single instance that closed within 1.5% of its open. Volatility after the bell was huge. Traders looking for intraday moves should have plenty of action today.
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