S&P 500 Index Futures - May Day   Tuesday, May 4, 2010
By Jay Pasch
 The month of May opened with a flourish on Monday with buyers bidding up the S&P 500 Index futures (CME.SP) contract by 15.00 points for a 1.3% trend-day advance at the 1198.50 close. Assessing the strength of May's open we see a bit of potential weakness ahead. Q: What is the historical performance for the S&P 500 Index futures contract after the month of May opens with a Big one-day gain? A: According to the 7 previous occurrences of this event, EventEdge indicates that CME.SP has shown a strong bearish edge that peaks 4 trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Monday, 3 May 2010) is Friday, 7 May 2010. CME.SP declines in 100% of the cases (7 of 7) by an average of -1.6% relative to the close on the event date. The overall return of the 7 cases is -1.6%, which, based on the close of CME.SP on the event date (1,198.6), provides a target price of 1,179.42. While today's target level resides within the current 3-week trading range, the contract is setting up a potential Diamond topping pattern over that same period with the potential to bring the contract in for a test of its 50-day moving average (1,163.05) if the pattern is violated to the down-side.
To view and modify the event parameters defining this study,
click here
to launch the EventEdge® tool. Mr. Jay Pasch is a private futures and equities trader based in Minnesota. He may hold positions in the instruments mentioned in his trading ideas.
 |
| | Let variable values:
@ = SP
theEvent = IF
Date is May
AND
1 value percent_move of @ is more than
(30 day average of 1 value percent_move of @ +
(1 * 30 day std_dev of 1 value percent_move of @
)
)
AND
Date is first day of the month
AND
@ is DEFINED
THEN 1
ENDIF
Date Day t+4 t+5 t+9 t+14 t+30
05/01/1991 Wed -1.2 -0.4 -2.4 -1.2 -0.9
05/03/1993 Mon -0.1 0.2 -0.6 0.8 1.0
05/01/1998 Fri -2.8 -1.2 -0.9 -1.0 -4.9
05/03/1999 Mon -0.6 -0.9 -1.5 -1.8 -4.0
05/01/2002 Wed -3.8 -0.2 0.9 -0.5 -7.1
05/03/2004 Mon -1.8 -2.9 -1.9 -2.1 1.5
05/01/2008 Thu -1.2 -1.4 -0.3 -1.3 -3.8
05/03/2010 Mon NaN NaN NaN NaN NaN
Avg -1.6 -1.0 -0.9 -1.0 -2.6
AvgPos NaN 0.2 0.9 0.8 1.3
AvgNeg -1.6 -1.2 -1.3 -1.3 -4.2
PctPos 0.0 14.3 14.3 14.3 28.6
PctNeg 100.0 85.7 85.7 85.7 71.4
Maximum -0.1 0.2 0.9 0.8 1.5
Minimum -3.8 -2.9 -2.4 -2.1 -7.1
StdDev 1.3 1.0 1.1 0.9 3.2
ZStat -1.3 -0.9 -0.9 -1.1 -0.8
Variance 1.6 1.1 1.2 0.9 10.4
8 Occurrences | |
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