Intraday Price Action Following Large Gaps Down
In a previous Note, I mentioned that if stocks made a lower low after 11am EST or so, it would reduce the probability of a short-term rally.
To put more substance to that, following is the half-hourly trading activity in the S&P after each of the opening gaps of -3% or more in the S&P futures or SPY. We can see from the thumbnails that the initial low tends to come within the first hour, with a bounce lasting into the lunch hour. Other than the opening minutes, that noon(ish) hour is the most fraught with risk, as it is often when worries about the next day's open start to take hold.