We wanted to see how well the pre-market futures have been able to predict the market's performance from open to close on a daily basis. To do this we took the change in the S&P 500 tracking SPY ETF from the prior day's close to that day's open (representing the change in pre-market futures) and compared it to the change in SPYs from the open to the close that day. We then calculated the correlation between the pre-market change and the open to close change over the past 3 months and rolled it on a daily basis going all the way back to when the SPYs first started trading in 1993.
Our first finding is that the the correlation has been negative 65% of the time, meaning the tendency is for the market to move in the opposite direction from the futures during normal trading hours.
Our second finding is that the correlation over the past 3 or 4 months is at high levels that have only been seen on four other occasions since 1993 -- 8/93, 1/00, 2/02 and 10/02.
click to enlarge
Does this stock really matter to you?
Consider PRO Alerts on SPY
Now that you’ve read this, are you Bullish or Bearish on ?
Sentiment on ()
Thanks for sharing your thoughts.
Why are you ?
Submit & View ResultsSkip to results »