Recent Employment Day Tendencies

The employment report is due to be released Friday morning.  News there could certainly send the market in either direction.  But anxiety about the employment report has largely been unfounded over the last year and a half.  The table below was published in Wednesday night’s subscriber letter.  It looks at how the VIX, XIV and SPX have all performed on employment days since 7/1/12.

These 17 instances have shown a strong propensity for the VIX to drop, and XIV and SPX to rally.  We’ll see how it works out today, but the recent tendency has been bullish on employment days.

What Has Followed Large Unfilled Employment Day Gaps Down

Employment Days will often occur in conjunction with a strong price move because the employment report is frequently viewed as an important piece of economic data. Still, it has been quite rare to see the employment report lead to a large gap down that never fills during the day. This happened on Friday.  When it has occurred in the past selling has generally continued into the next trading session. This is something I last showed in the 9/6/11 subscriber letter. An updated list of all instances is below.


Since the beginning of 1997 not only have all instances closed negative, but intraday drawdown has been larger than intraday run-up in every case.  Traders may want to keep this in mind today.  (Of course fighting against this is the recent tendency of the SPX to change direction every day.  An up close Monday would mark the 13th day in a row that SPX has changed direction, leaving the streak as the single longest ever - it is currently tied with a 1994 streak at 12.)

 As usual, it should be an interesting day..