New York Mercantile Exchange crude oil futures (NYM.CL) fell 4.51% on Wednesday to close at $104.48, its second one day decline exceeding 4% this week. COMEX Gold futures (NYM.GC) followed suit, declining 5.87% to close at $945.30 per oz. on Wednesday. According to the Market Information Machine, first quarter declines in crude oil have typically been followed by bearish behavior in Gold.
Q: What happens to the Gold futures market after Nymex crude oil makes its second decline exceeding 4% within a five-day period during the first quarter?
A: According to the 10 previous occurrences of this event, EventEdge indicates that NYM.GC has shown a strong bearish edge that peaks nine trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Wednesday, March 19, 2008) is Wednesday, April 2, 2008. NYM.GC declines in 90% of the cases (9 of 10) by an average of -2.0% relative to the close on the event date. The average of the one rally is 0.3%. The overall return of the 10 cases is -1.7%, which, based on the close of NYM.GC on the event date ($945.3), provides a target price of $929.2.
If you would like to see more details of this historical edge, go to www.markethistory.com
HYPERLINK "http://www.markethistory.com/staff/detail.html?s=murani" Scott Murani covers European energy and commodity markets from London.
