Program Trading and Friday Holidays
Do you know the most predictable trades to make next week after the Fourth of July? Our clients know. And almost all of the professional program traders that you are trading against every day know also. That is especially true if you are trading S&P, Russell, and Dow contracts and stocks in the OEX 100 Index. Remember that program trading is over 90.00% of the volume in those contracts and stocks. And that those pros have a clock.
Here is
the information about trading after a Friday holiday, like this year's Fourth of
July, that program traders know well. Hopefully our
Program Trading Research will help level the playing field for you
for the next few days.
Note: (a.) All referenced times
are Central Time. (b.) The term "most predictable" trade refers to
the type of trade, i.e. long or short, most commonly seen in any
research category's listing of prior trading days.
Disclaimer of Current Significance: We feel it important and necessary to advise you that of ALL prior holidays in trading history there are NO PRECEDENTS of ANY of those holidays, i.e. be they on Fridays or ANY other trading days ever having been preceded by a trading day that posted in the same position as last Thursday did in regard to one of our proprietary moving average indicators. This may OR may not prove to be of any major significance. However, whenever we occasionally notice something that has NEVER transpired previously in our historical data banks, it certainly does give us pause, and also makes our prior research somewhat circumspect. It will obviously be interesting to see if some of this week's trading days offer any of the moves as previously exhibited in the past majority percentages. With that in mind, we can at least now take a look at some of the other historical facts from the past:
1. Since 1982, any Mondays after any Friday market holiday has seen most predictable trade short 64.00% of the time. The spoos close negative 61.90% of the time, and the Dow closes negative 54.70% of the time. Of the daily lows 55% have been between noon and 3:15. Of the daily highs, only 30% have been between noon and 3:15.
2. Since 1982 there have only been eleven Mondays after any Friday holidays that we classify and color code with our proprietary program trading research as a Blue Monday. Of these eleven Mondays, the most predictable trades have been short 90.90% of the time. The spoos close negative 72.70% of the time and the Dow closes negative 81.8% of the time. Of the daily lows, 9 of 11 have been between 1:00 and 3:15. Of the daily highs, 7 of 11 have only been within the first hour of trading, 3 between 10:00 and 11:40, and with one high late around 2:10.
3. Since 1982, any Tuesday after any Friday market holiday has seen the most predictable trades long 66.60% of the time. The spoos close positive 66.60% of the time and the Dow closes positive 64.00% of the time. Of the daily highs 64% have been between 10:30 and 3:15, with 55% between 1:00 and 3;15. Of the daily lows, 45% have been between noon and 3:15.
4. Since 1982 there have only been eleven Tuesdays after any Friday holidays that we classify and color code with our proprietary program trading research as a Yellow Tuesday. Of these eleven Tuesdays, most predictable trades have been long 81.80% of the time. The spoos and the Dow close positive 81.80% of the time. Of the daily highs 81.80% have been between 10:30 and 3:15, with 63.60% between 1:00 and 3:15. Of the daily lows 63.60% have been within the first half hour between 8:30 and 9:00, with only 36.40% having been between noon and 3:15.
5. Since 1982, any Thursday after any Friday market holiday has seen most predictable trades short 64% of the time. However, the spoos close has been 50/50, while the Dow closes have been negative 54.70% of the time. Of the daily lows 66.6% have been between 10:00 and 3:15, with 50% between 1:00 and 3:15. Of the daily highs, however, 50% have also been between 1:00 and 3:15, indicating that the bulk of these days have been exceptionally volatile.
6. Since 1982 there have only been eleven Thursdays after any Friday holidays that we classify and color code with our proprietary program trading research as a Red Thursday. Of these eleven Thursdays, most predictable trades have been short 63.60% of the time. The spoos close negative 63.60% of the time, and the Dow closes negative 72.7% of the time.
7. Ignoring the fact that last week was a Friday holiday week and only focusing on the fact that this week is a Post Unemployment (PU) report week: An Thursday that we classify as a Red Thursday in these weeks, has seen the most predictable trade short 69.8% of the time. The spoos close positive 52% of the time, but the Dow closes were 50/50.
8. Since 1998, any of these PU Thursdays have seen most predictable trades short 83% of the time. The spoos and Dow closes were 50/50. Of the daily lows 79% have been between 10:30 and 3:15, with 58% between 1:00 and 3:15. Of the daily highs 60% have been between 10:30 and 3:15, thus explaining how about half of these days managed to rally back by closing time.
