S&p Gap Profile

Not sure how many traders look at this, but the gap activity has become very (unusually) volatile since September.
If you are wondering why you are getting chopped both ways lately, this is a good reason that's pretty much out of your control (outside of short term scalping).
One reason I've been doing a lot of scalping lately.

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The last time gap activity was this volatile was late 05, before the drop in jan 06, and at the very bottom of 02.

Speaking of which, looks like a gap back down is in the works for am.

 

where did u make that chart from?

 

can you run a late '99 to (you know when) '00 chart on top of that? I'd be most interested to see that. This has a sniff of that period...China stocks = net bombs...I equate the two becuase how much do we really know about their accounting there? just a thought

 

Good post.

 

Great work dtrader.

 

That's a bogus chart. Input data for that s&p gap chart is completely off. There have a been a ton of days with gap ups and gap downs of at least 0.5%, especially in August, yet it shows none for that month.

 

detective, I was using yahoo finance data. I'll double check it. But can you provide me at least one or two days of o-h-l-cl data exceeding .5% that are in the time frame you are referring to and your data source so I can compare?

Thanks.

 

Your right this market doesn't move smoothly, it explodes from one direction to the other.
In July 2007 the up tick shorting rule was eliminated.
Look at the attached 3 year chart of VIX (Volatility Index).
The 40 week moving average (equivilent of the 200dma) of the VIX (Volatility Index) was trendless until July 2007.
Now the VIX is supported by a Rising 40 week moving average.
This timing coincides with the removal of the uptick shorting rule.
2 weeks ago the NYSE removed the Trading Curbs, this will make the Volatility even worse.

 

Still waiting for the data: day o-h-l-cl
(gap days in august > +/- 0.5%? S&P 500)

Unless yahoo data is foobar, I don't see any problems. Anyone have a gap daily data pre september, with greater than .5% to verify?

This is pretty significant in terms of major turning points.

 

if there was a sudden panic overnight. How much would the indexes gap down into the open?