SPY Gap After 5 Straight Losses

We looked at the performance of SPY after 5 straight down days in last night's Report and now this morning the futures are indicating a gap down open.

Let's add that wrinkle to the mix and look at how SPY did going forward after gapping down at least 0.25% following its 5th consecutive loss. The blue highlights show the dates when the S&P was trading above its 200-day average at the time.

Clearly this is an unusual amount of selling pressure, even though the total loss over the past week has been muted. Even using the S&P 500 futures back to 1982, it only added one additional date (1988-02-08, after which the S&P rallied across almost every time frame).

It's no surprise that forward returns were mostly positive, though the open-to-close returns were iffy. The best bet was one month forward, with 9 winners out of 11 occurrences and a significant positive return.