Trading on the Monday after the May jobs report

The S&P is down 1.72% this week. I can't say for certain how long the Monthly Jobs Report has been released on the first Friday of each month, but when the S&P is down 0-3% in the previous week, the S&P has been down on 16 of the last 17 Mondays after the first Friday in May.

THE WEEK AFTER THE MAY JOBS REPORT

S&P PERCENT CHANGE
YEAR PREVWEEK MONDAY NEXTWEEK
1962 -0.09 -0.33 -4.03
1970 -1.61 -2.54 -1.98
1971 -1.04 -0.50 -0.17
1972 -0.97 -0.46 -0.81
1978 -0.31 -0.35 0.69
1979 -1.09 -1.66 -2.16
1981 -1.79 -1.54 -0.79
1984 -0.49 0.23 0.56
1985 -1.15 -0.05 1.02
1988 -1.47 -0.37 -1.41
1989 -0.66 -0.52 -0.21
1994 -0.69 -1.23 -0.91
1996 -1.81 -0.13 0.59
2000 -1.36 -0.59 -1.73
2002 -0.30 -1.91 -0.01
2004 -0.78 -1.05 -0.21
2011 -1.72 ? ?

#UP-DN = 1-15 4-12
AVG%CHG= -0.81 -0.72
MED%CHG= -0.51 -0.50
1%MOVES= 0- 6 1- 5

Other months were weak, but not as Bearish, as this same setup was 34-51 over all months on the following Monday and Week,

The stubborn Bullish crowd will point out that we are not in the 60-80's anymore and Mondays, which were the weakest day of the week until around the 87 crash, are now the strongest day of the week. My instincts are this change in 'Day of the Week' patterns is psychological and due to two factors, 1) the two Monday crashes we had in the 80s and 2) the ability of money managers over the last 30 years to be able to hedge their portfolios overnight with the exception of the weekend, which may result in weekend hedges being removed on Monday morning.

For yet another example of Monday's strength in the last 20 years, below are all the Mondays over the last 20 years, when the previous week was down 1.58 to 1.86%. Only one of the following Mondays in this spot was down 1%, while ten were up more than 1%. Listed below, in order of best match.

MONDAYS OVER THE LAST 20 YEARS
WHEN THE TRAILING WEEK WAS -1.86 TO -1.58

# DATE DYOFWK SPTRAIL TOMRWS%
1 19960715 MON -1.71 -2.54
2 19911125 MON -1.69 -0.21
3 20020513 MON -1.69 1.86
4 19910701 MON -1.74 1.82
5 19920427 MON -1.69 -0.14
6 19960311 MON -1.69 1.03
7 20071105 MON -1.67 -0.50
8 19980803 MON -1.76 -0.73
9 19931108 MON -1.77 0.14
10 20011022 MON -1.66 1.53
11 19960708 MON -1.66 -0.75
12 20080303 MON -1.66 0.05
13 20070806 MON -1.77 2.42
14 20010514 MON -1.65 0.26
15 19941010 MON -1.64 0.87
16 20100201 MON -1.64 1.43
17 20040927 MON -1.63 -0.59
18 20020624 MON -1.80 0.36
19 20050314 MON -1.80 0.56
20 19960506 MON -1.81 -0.13
21 20080512 MON -1.81 1.10
22 19981012 MON -1.82 1.36
23 19920203 MON -1.61 0.18
24 20050926 MON -1.83 0.03
25 20091005 MON -1.84 1.49
26 19990503 MON -1.60 1.46
27 20080714 MON -1.85 -0.90
28 20050328 MON -1.58 0.24
29 20080707 MON -1.58 -0.84
30 20030804 MON -1.86 0.27
20110509 MON -1.72 ?

#UP-DN = 20-10
AVG%CHG= 0.37
MED%CHG= 0.25
1%MOVES= 10- 1

1.72% Down First Weeks of the Month

We posted some statistics a couple of days ago that indicated when the first two days of the month were down, the next couple of days had a Bearish Bias, especially in May. A reader asked what the implication was of such a poor first week of a calendar month. Scanning the last 20 years for all first weeks which were down the 1.5 to 2.0%, the following month actually had a slightly above average history.

WHEN THE FIRST WEEK IS DOWN 1.5-2.0%

FORWARD S&P PERFORMANCE
DATE FIRSTWK DAY WEEK MONTH
19910909 -1.73 -1.03 -0.72 -2.03
19930108 -1.53 0.44 1.89 4.38
19930407 -1.98 -0.20 1.28 -0.09
19931105 -1.77 0.14 1.27 1.56
19941007 -1.64 0.87 3.08 1.75
19941107 -1.97 0.56 0.64 -2.55
19980507 -1.50 1.19 2.03 1.88
20000107 -1.89 1.12 1.64 0.02
20000908 -1.53 -0.44 -1.92 -6.19
20001006 -1.92 -0.49 -2.47 1.65
20010108 -1.86 0.38 2.38 3.47
20010207 -1.84 -0.62 -1.86 -8.01
20030807 -1.63 0.36 1.68 5.90
20060207 -1.98 0.87 1.65 1.39
20070910 -1.51 1.36 1.72 7.81
20110506 -1.72 ? ? ?

#UP-DN = 10- 5 11- 4 10- 5
AVG%CHG= 0.30 0.82 0.73
MED%CHG= 0.38 1.64 1.56

Wayne Whaley is a Systems Engineering graduate from Georgia Tech who takes an engineering approach to tape analysis. He is a registered CTA, co-owner of Witter & Lester and the 2010 MTA Charles Dow Award winner for research surveying various tape measures. For more insight see www.witterlester.com.

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