S&P 500 Index Futures rallied 0.4% during Thursday's session to close the day at 1341.1. Nevertheless, S&P 500 futures recorded a 'very large'* five day decline of 4.6%. S&P 500 has been known to bounce off such bearishness in June.
Five-day percentage loss is more than two standard deviations stronger than the average five-day percentage change measured over the last 30 trading days.
Q: How has CME.SP performed in the past, omitting repeat occurrences within 10 trading days, when it records a 'very large' five day decline during the month of June?
A: According to the 12 previous occurrences of this event, EventEdge indicates that CME.SP has shown a somewhat bullish edge that peaks 8 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Thursday, 12 June 2008) is Tuesday, 24 June 2008.
CME.SP rallies in 83% of the cases (10 of 12) by an average of 2.7% relative to the close on the event date. The average of the 2 declines is -0.8%. The overall return of the 12 cases is 2.1%, which, based on the close of CME.SP on the event date (1341.1), provides a target price of 1369.26.
The second graph looks at SP's performance after a similar event. We asked the MIM how does SP perform during the second quarter when it rallies on the day, but records a 'very large' five-day decline.
In this case, according to the eight previous occurrences of this event, EventEdge indicates that CME.SP has shown a very strong bullish edge that peaks 26 trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Thursday, June 12, 2008) is Monday, July 21, 2008.
CME.SP rallies in 88% of the cases (7 of 8) by an average of 4.1% relative to the close on the event date. The average of the 1 decline is -0.2%. The overall return of the 8 cases is 3.5%, which, based on the close of CME.SP on the event date (1341.1), provides a target price of 1388.04.
Note that the first idea was generated by our nightly Nitro scanner. But to view either one of the ideas in our EventEdge® analysis tool click 1st Graph or 2nd Graph.
Also take a look at other bullish ideas on CME.SP just published the day before on the site by clicking on the links below.
Ronish Patel is an analyst with www.MarketHistory.com.
Related Ideas:
S&P 100 Index - 'Very Large' Bounce - June 13, 2008
