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S&P 500 Futures - Crisis in Confidence Redux 
CME.SPWednesday, July 28, 2010
By Gibbons Burke
The S&P 500 futures contract (CME.SP) rallied on Tuesday, it's fourth rally in a row, and it's third new 20-day high. The front contract (September) closed at 1110.9, up 0.1% on the day. But on the economic front, the Consumer Confidence survey came in lower than economists' expectations, its lowest reading since February, according to the Conference Board2.
While the market was nominally higher on the day, the solid-green candle pattern on the chart indicates a 'fake rally' day because the close was lower than the day's open. This pattern often appears at short-term top turning points.
Q: How has the S&P futures contract performed in the past after Consumer Confidence comes in lower than economist expectations in the third quarter of a mid-term election year?
A: According to the 8 previous occurrences of this event, EventEdge indicates that CME.SP has shown a strong bearish edge that peaks 5 trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Tuesday, 27 July 2010) is Tuesday, 3 August 2010. CME.SP declines in 100% of the cases (8 of 8) by an average of -4.2% relative to the close on the event date. The overall return of the 8 cases is -4.2%, which, based on the close of CME.SP on the event date (1,110.90), provides a target price of 1,064.24.
Click here3 to investigate this trading idea further in EventEdge®.
Gibbons Burke4 is editor of MarketHistory.com.
Related Ideas:
- S&P 500 Futures - Crisis of Confidence5 - August 30, 2006
 |
Let variable values:
@ = SP
theEvent = IF
Date is third quarter
AND
Date is Midterm Election year
AND
Date is in "confidnc.rpt"
AND
(CONFIDNC_ACT - CONFIDNC_EST) is less than 0
AND
@ is DEFINED
THEN 1
ENDIF
Date Day t+3 t+5 t+6 t+7 t+9
08/30/1994 Tue -1.0 -1.2 -0.7 -1.7 -1.9
09/27/1994 Tue -0.2 -1.9 -2.1 -2.2 -0.7
07/28/1998 Tue -1.1 -5.4 -4.1 -3.8 -4.1
08/25/1998 Tue -5.9 -8.8 -9.6 -10.0 -6.2
09/29/1998 Tue -4.2 -6.0 -7.4 -8.3 -4.9
07/30/2002 Tue -4.5 -4.9 -3.3 0.0 -0.3
08/27/2002 Tue -2.2 -5.0 -5.7 -4.5 -2.7
08/29/2006 Tue 0.6 -0.2 -0.7 -0.4 0.7
07/27/2010 Tue NaN NaN NaN NaN NaN
Avg -2.3 -4.2 -4.2 -3.9 -2.5
AvgPos 0.6 NaN NaN 0.0 0.7
AvgNeg -2.7 -4.2 -4.2 -4.4 -3.0
PctPos 12.5 0.0 0.0 12.5 12.5
PctNeg 87.5 100.0 100.0 87.5 87.5
Maximum 0.6 -0.2 -0.7 0.0 0.7
Minimum -5.9 -8.8 -9.6 -10.0 -6.2
StdDev 2.3 2.9 3.2 3.6 2.4
ZStat -1.0 -1.5 -1.3 -1.1 -1.1
Variance 5.3 8.2 10.2 13.3 5.8
9 Occurrences |
Comments:
Web Address of this trading idea:
Links:
2 http://www.washingtonpost.com/wp-dyn/content/article/2010/07/27/AR2010072705663.html
3 http://www.markethistory.com/content/events/futures/chart.html?ticker=CME.SP&events=quarter,MidTermElectionYear0,ConfidenceBelowExpected0
4 http://www.markethistory.com/staff/detail.html?s=gibbons
5 http://www.markethistory.com/content/content.html/9796.html