Whew....what a day. ES was already down six point before the Jobs number was released and the worse than expect job number caused ES to trended down pretty much all day long.
Looking at daily SPY historical data from 2002, there are 27 instances that gap down more than 0.7% and not filled on the same day. The next day has an average of -0.04%. However, the average is rather deceiving, 7 out of the next day close higher for more than 1% and 4 out 27 closed down more than -1%. Out of the 4 instances, 10/6/2008 closed down more than -6% and 11/19/2008 closed down more than -5%. The chance of the next day develops into a trend day is definitely higher than normal, and I would be very cautious the next day.
Interestingly, this kind of behavior seems happen more frequent in sever market drop more than anything other period. 12 out of 27 instances took place after June 2008.
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