With the @SP.P - S&P 500 Continuous Full Contract - down -1.47% on GLOBEX, it looked like another sharp move lower was in the cards today, but the market not only recouped almost all of its pre-opening losses already before the open, but managed a higher close as well (SPY - S&P 500 SPDR - up +0.50%).

Nevertheless the index has not started into the week on a weak note, but is still down -0.46% week-to-date on the second session of the week during the fourth quarter of the year, which - from a historical and statistical point a view - shows an impressive track record for posting at least one higher close over the course of the then following five sessions.

Table I below shows all historical occurrences and the SPY's performance over the course of the then following five sessions in the event the SPY closed lower at least -0.75% on the first session of a week (during the 4th quarter of the year), and was still down week-to-date on the then following second session of the week (like on Tuesday, November 15).

SPY 11-15-2011 - 1

The SPY posted at least one higher close over the course of the then following five sessions (in this event until Tuesday, November 22) on all 35 occurrences (and on 4 out of every 5 occurrences already during the then following three days), closed higher 1.0%+ four days later on 30, but lower -1.0%+ on only 5 occurrences (for a 6 : 1 ratio), and finally never looked back and did not post a single close below the trigger days close during the next five sessions on 15 out of 35 occurrences.

Conclusion(s): When the setup listed above had been triggered in the past, the then following session (in this event Wednesday, November 16) historically had been the weakest (but not necessarily forecasting a down-day) over the course of the then following five sessions (Up vs. Down and 1.0% percentage-wise changes), but might be gaining strength (again) going into the second part of the period under review, in this event on Friday, November 17 (option expiration) and right at the start of the next week.

Successful trading,

Disclosure: No position in the securities mentioned in this post at time of writing.