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Gap to Gap



I hope I don't confuse anyone with this one - but here goes: Yesterday the SPM gapped higher, never looked back, and closed up more than 1%. With today's lower open and continuation, I was curious to see how the rest of the day might play out.

Question: One day ago the SP futures open higher, never trade negative, and close up more than 1% AND today the SP futures open lower and by 11:00 am EST, the low for the day is down more than .5% from the prior day's close.

Results: There were 50 occurrences and the close was lower in 86% of them. However, 30% of the occurrences did manage to trade positive on the day. I've listed the last five occurrences below. The columns represent the SP high, low, and close in % from the prior day's close. The most recent occurrence was 3/15/04.

What the heck does all this mean? Even if Snapper shows up today, history suggests that the SP is likely to close lower.

Date Day high low close

10/16/2002 Wed -0.93 -3.06 -2.31
11/22/2002 Fri 0.21 -0.86 -0.72
02/19/2003 Wed -0.21 -1.60 -0.56
03/24/2003 Mon -1.67 -3.66 -3.33
03/15/2004 Mon -0.22 -1.46 -1.16

Avg -0.13 -2.17 -0.94
AvgPos 0.60 NaN 0.54
AvgNeg -0.45 -2.17 -1.18
PctPos 30.00 0.00 14.00
PctNeg 68.00 100.00 86.00

50 Occurrences (Last 5 Shown)

As always, past performance is no indication of future results.

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