Daily Commentary - Posted on Friday, September 11, 2009, 8:44 AM GMT +1

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Sep Friday 11

Trading the Odds on Friday – September 11, 2009

Thursday’s session marked the 5th consecutive session where the ES E-MINI S&P 500

  • opened up (in comparison to the previous session’s close),
  • posted a higher open (than the previous session’s open),
  • posted a higher low and a higher high (than the previous session’s low and high respectively),
  • posted a higher close,
  • closed up AND above the previous session’s high,
  • was trading above the previous sessions close at the beginning of the last hour of the session,
  • went higher during the final hour of the session (a positive last hour) as well, and
  • out-performed it’s counterpart the SPXEW S&P 500 Equal Weighted Index.

Additionally the SOX Philadelphia Semiconductor Index out-performed the Nasdaq 100 the 5th day in a row.

Since 01/01/1990 the ES E-MINI S&P 500 posted a series of 5 consecutive higher open, higher highs, higher lows and a higher close only once.

On Thursday’s session the ES E-MINI S&P 500 opened almost unchanged +0.05%, posted an intraday low of -0.48% below and an intraday high of +1.11% above Thursday’s close, and finally closed higher +0.90% on the day, while the Nasdaq 100 closed up +1.01% (S&P 500 +1.04%, DJ Industrial +0.84%, Russel 2000 +1.45%, SOX Philadelphia Semiconductor Index +1.78%, BKX Philadelphia Bank Index +0.53% ).

Market breadth on the NYSE and NASDAQ was strong, with NYSE Advancing Issues/Declining Issues at 3.20 and Advancing Volume/Declining Volume at 4.88 (NYSE TRIN / Arms Index at 0.66), and NASDAQ Advancing Issues/Declining Issues at 1.86 and NASDAQ Advancing Volume/Declining Volume at 4.00 (NASDAQ TRIN at 0.46). NYSE Advancing Volume accounted for 82.14% of NYSE volume.

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Additionally notably on Thursday’s session were the fact that stocks listed in the S&P 500 and penetrating their previous session’s high contracted while those penetrating their previous session’s low expanded on the last two sessions (participation in the up-move seems to be weakening).

Due to the fact that currently historical probabilities and odds alone do not seem to provide a reliable indication with respect to the ES E-MINI S&P 500 next session’s performance, and the number of comparable occurrences like 5 consecutive sessions with a higher open, higher highs, higher lows and a higher close is very limited (1 occurrence since 1990), it is at least remarkable that whenever the ES E-MINI S&P 500 had posted 5 consecutive sessions with a higher open than the previous session’s open, upside potential during the first hour of the then following sessions is regularly limited. The ES E-MINI S&P 500 was trading higher +1.0% or more after the first hour of then next session (today’s session) in comparison to the previous session’s close on only one out of 152 occurrences.

In addition whenever the ES E-MINI S&P 500 closed up AND above the previous session’s high on 5 consecutive sessions in the past, it opened lower the next day (today’s session) on 14 out of 16 occurrences since 01/01/1990.

Successful trading,
Frank

P.s.: I’ll regularly make some intraday updates as well using Twitter. If you’re interested in, please have a look at the blog during the trading session as well or subscribe directly to Twitter (recommended).

Disclaimer: No position in the securities mentioned in this post at time of writing.

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