December Soybean Meal Futures (SM_Z) opened Tuesday's session lower than Monday's close but posted a 0.6% rally. On the other hand, November Soybeans (S_X) and December Soybean Oil Futures (BO_Z) both recorded declines on Tuesday.
Q: How has SM_Z performed in the past when, during September, it rallies after opening down while S_X and BO_Z both record declines on the day?
A: According to the 20 previous occurrences of this event, EventEdge indicates that SM_Z has shown a weak bearish edge that peaks three trading days after the event. Thus, the projected date for the peak of the bearish edge relative to the current event date (Tuesday, 23 September 2008) is Friday, 26 September 2008.
SM_Z declines in 70% of the cases (14 of 20) by an average of -2.9% relative to the close on the event date. The average of the six rallies is 1.0%. The overall return of the 20 cases is -1.7%, which, based on the close of SM_Z on the event date (330¢/bu.), provides a target price of 324.39¢/bu.
Second graph depicts how SM_Z performs after the same event but adding the fact that it rallied by more than one third of a percent. In this case, according to seven previous occurrences, SM_Z also peaks three trading days later.
SM_Z declines in 86% of the cases (6 of 7) by an average of -3.7% relative to the close on the event date. The average of the one rally is 0.2%. The overall return of the seven cases is -3.2%, which, based on the close of SM_Z on the event date (330), provides a target price of 319.44.
Ronish Patel is an analyst with MarketHistory.com.
