Join        Login             Stock Quote

Quick Gap Stats for October 2012

 November 20, 2012 12:41 PM

Previously on the blog, I provided monthly statistics for gaps (fades and unfilled gaps) and I wanted to return to that quick research on monthly gap statistics.

Here are the Gap Numbers – filled and unfilled – for October 2012:

Using Excel from Yahoo Finance data for the SPY, we see that the month of October gave us 16 of 22 trading days with an overnight gap of at least $0.20 in the SPY (about 2 points in the @ES).

I use a 20 cent filter which accounts for small variations from one trading session to the next (that way all days do not show gaps of a few pennies).

[Related -Is The S&P 500 Triple Top Actually A Bullish Sign?]

In fact, the average UP-side gap was 54 cents and the average DOWN-side gap was 40 cents.

With regard to the actual gaps and fills, October provided 11 upside gaps and 7 of those gaps (63.64%) were filled in the same trading session.

There were five downside gaps and only two (40%) of those gap-days filled.

Keep in mind October was a down-month that saw the indexes reverse into a short-term downtrend:

The chart above shows the upside (green) and downside (red) gap sessions (greater than 20 cents) while the highlighted region emphasizes the larger gaps.

[Related -Sector Detector: Is There Still Enough Fuel In The Bulls’ Tank?]

In general, large opening gaps that do NOT fade tend to be precursors for the remainder of the session developing into an intraday trend day.

However, there were two sessions that opened with a gap near $1.00 that filled the same day (October 5th and 25th), and both were large upside gaps.

No large downside gap was filled (October 8th, 19th, and 23rd).

Smaller gaps tend to fill the same day and may be precursors for intraday Range Days.

Continue checking back for similar monthly gap-data posts at the start of each new month.

Corey Rosenbloom, CMT

Afraid to Trade.com

Follow Corey on Twitter:  http://twitter.com/afraidtotrade

Corey's new book The Complete Trading Course (Wiley Finance) is now available!

iOnTheMarket Premium


Post Comment -- Login is required to post message
Alert for new comments:
Your email:
Your Website:

rss feed

Latest Stories

article imageEmerging-Markets Stocks Took The Lead Last Week

Emerging-markets equities enjoyed a solid rise last week among the major asset classes, based on a set of read on...

article imageDoes Your Latest Investment Pass This Test?

On Wednesday, I sounded the alarm about the problems looming for some consumer staples stocks. In short, read on...

article imageIs The Slump In US Manufacturing Easing?

Yesterday’s November survey data from the Philadelphia Fed hints at the possibility that a stronger trend read on...

article imageMarket Potentially Facing Near Term Technical Headwinds

After the S&P 500 Index pullback on Thursday and Friday last week, the market's advance on Monday and read on...

Popular Articles

Daily Sector Scan
Partner Center

Related Articles:

S&P 500 Index 7-Week Winning Streak
More Articles on: Finance , Industrial Products

Fundamental data is provided by Zacks Investment Research, and Commentary, news and Press Releases provided by YellowBrix and Quotemedia.
All information provided "as is" for informational purposes only, not intended for trading purposes or advice. iStockAnalyst.com is not an investment adviser and does not provide, endorse or review any information or data contained herein.
The blog articles are opinions by respective blogger. By using this site you are agreeing to terms and conditions posted on respective bloggers' website.
The postings/comments on the site may or may not be from reliable sources. Neither iStockAnalyst nor any of its independent providers is liable for any informational errors, incompleteness, or delays, or for any actions taken in reliance on information contained herein. You are solely responsible for the investment decisions made by you and the consequences resulting therefrom. By accessing the iStockAnalyst.com site, you agree not to redistribute the information found therein.
The sector scan is based on 15-30 minutes delayed data. The Pattern scan is based on EOD data.