S&P 500 Index futures (CME.SP) plummeted a 'very big'* 7.9% on Monday to trade at a 52-week low of 1114.50. SP finished the day at 1118.80. SP also traded at an 'extremely large'** range. Will SP recover some of what it lost on Monday by next week?
* One-day percentage loss is more than two standard deviations stronger than the average one-day percentage change measured over the last 30 trading days.
** The true range, which includes the previous day's close, is more than three standard deviations stronger than the average true range over the last 30 trading days
Q: How has CME.SP performed in the past when, on Monday, it records a 'very big' decline while trading at an 'extremely large' range?
A: According to the 11 previous occurrences of this event, EventEdge indicates that CME.SP has shown a strong bullish edge that peaks five trading days after the event. Thus, the projected date for the peak of the bullish edge relative to the current event date (Monday, Sept. 29, 2008) is Monday, Oct. 6, 2008.
CME.SP rallies in 100% of the cases (11 of 11) by an average of 3.8% relative to the close on the event date. Which, based on the close of CME.SP on the event date (1118.8), provides a target price of 1161.31.
To view this idea in our EventEdge® analysis tool click here.
Ronish Patel is an analyst with MarketHistory.com.
