A Large Gap Up From A High Level

Cobra · 发表于 2010-6-21 09:35 AM

Looks like there is going to be a sizable gap up this morning. I've shown before how large gaps up from 10 and 20-day highs in the SPY often lead to an intraday selloff. While the SPX closed at a 20-day high on Friday, the SPY and the futures were down slightly.

SPY closed down a little rather than up a little because it went ex-div. Rather than looking at 10-day highs I looked at closes in the top 10% of the 10-day range. A slightly different twist. (Note that the SPY missed qualifying for this by a few pennies as well thanks to the dividend. Still, I felt the current situation represented the spirit of the setup.)

Rather than a stats table, I've listed below all 11 instances since 2003.

10 of 11 instances saw declines from open to close. The far right column is even more interesting. In only 1 case did the max intraday runup from the opening price exceed 1% (3/16/09). In contrast, 9 of 11 exceeded a 1% pullback, and all 11 exceeded a 0.8% pullback. This all suggests to me that intraday risk/reward is skewed to the downside today.

vicvic · 发表于 2010-6-21 09:46 AM

shafa

atrader · 发表于 2010-6-21 09:51 AM

thanks

cc2265 · 发表于 2010-6-21 09:52 AM

源济 · 发表于 2010-6-21 09:53 AM

maldini · 发表于 2010-6-21 10:11 AM

thanks

falcone · 发表于 2010-6-21 10:27 AM

ut1984 · 发表于 2010-6-21 10:56 AM

fu2008 · 发表于 2010-6-21 11:02 AM

jingriver · 发表于 2010-6-21 02:57 PM

Good call on today. wish I see this post earlier.

xiaoxiaozhang · 发表于 2010-6-21 02:59 PM

Thanks, Cobra!

slcgh · 发表于 2010-6-21 03:01 PM

班长的宝贝我见到晚了，可惜！

babyruth · 发表于 2010-6-21 05:24 PM

feng · 发表于 2010-6-21 05:52 PM

tomzhou88 · 发表于 2010-6-21 08:22 PM

sooners · 发表于 2010-6-21 08:29 PM

回复 1# Cobra

sexydaytrader · 发表于 2010-6-21 09:11 PM

xz214 · 发表于 2010-6-22 05:47 AM

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[转贴] A Large Gap Up From A High Level

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