Below is a table that first appeared on the blog last fall. It shows how long it took for the SPY to close below the open of an extra large (2%) gap higher.
What was once a very strong tendency now appears to have lost much of its edge as four of the last nine 2% Up Gaps have failed to post a close below the gap open within the next week. What’s interesting about the “failures” is that they all occurred either 1 or 2 days after the market had closed at a 200-day low. In fact, the only one that was 2 days after was Monday 11/24/08, which was the day after the 11/21/08 occurrence that also didn’t pull back. Monday the market was far removed from its 200 day low. Of course SPY would need quite a pullback if it were to close below Monday’s open anytime in the next few days.