Monday, May 24, 2004

Just as an interesting afterthought to the last post on gaps, Mondays accounted for 17% of gaps opens of +0.5% or more, as opposed to Fridays which accounted for 38% of them.  On the other hand, Mondays accounted for 30% of gaps down of 0.5% or more, while Friday accounted for 24% of them.  So Monday was almost twice as likely to see a large gap down than a large gap up. 10:03:47 AM

The S&P 500 futures are set to gap open about 0.5% above Friday's close.  Looking at all other gaps in the S&P futures since 1986, whenever they gapped up 0.5% or more on a Monday while trading below the 50-day moving average, the gap was closed by the next day on 6 out of 19 occurrences.  However, within 7 days it was closed 15 out of 19 times and within 22 days it was close every time but once.  On the positive side, the day of the gap (today), the futures sported an average return of 1.5%, with 16 out of 19 closing in positive territory.  So, based on these criteria alone, it appears as though this morning's gap has bullish implications for the rest of the day. 9:34:51 AM