SPX -3 ATR Event Study
SPX RTH 3-minute data, 2008-01-02 through 2026-05-01. ATR basis: move from prior close divided by 14-day ATR. Event definition: intraday low hit <= -3.0 ATR.
Events
17
Frequency
17 / 4,612
0.37% of sessions
Median event low
-3.98 ATR
Median event close
-3.37 ATR
Important: “Cumulative” means event close → N trading days later. “Individual day” means Day +N close vs the prior trading day’s close. The individual-day table is the one to use if you want Day +2 only, Day +3 only, etc.
Individual day-after stats
| Window | Up / n | Up % | Median all | Median up days | Median down days | Median all (ATR) | Median up (ATR) | Median down (ATR) |
|---|---|---|---|---|---|---|---|---|
| Day +1 | 8 / 17 | 47.1% | -0.03% | +1.38% | -1.35% | -0.02 | +1.75 | -1.03 |
| Day +2 | 9 / 17 | 52.9% | +0.09% | +1.14% | -1.66% | +0.09 | +1.54 | -2.19 |
| Day +3 | 11 / 17 | 64.7% | +0.66% | +1.90% | -0.91% | +0.96 | +1.86 | -1.12 |
| Day +5 | 9 / 17 | 52.9% | +0.06% | +0.51% | -0.60% | +0.03 | +0.70 | -0.64 |
Cumulative close-to-close stats
| Window | Up / n | Up % | Median all | Median up days | Median down days | Median all (ATR) | Median up (ATR) | Median down (ATR) |
|---|---|---|---|---|---|---|---|---|
| Close → +1D close | 8 / 17 | 47.1% | -0.03% | +1.38% | -1.35% | -0.02 | +1.75 | -1.03 |
| Close → +2D close | 9 / 17 | 52.9% | +0.86% | +1.39% | -0.65% | +1.03 | +1.47 | -0.81 |
| Close → +3D close | 10 / 17 | 58.8% | +1.63% | +2.27% | -1.82% | +1.78 | +2.42 | -1.66 |
| Close → +5D close | 13 / 17 | 76.5% | +1.68% | +1.98% | -2.87% | +1.82 | +2.28 | -2.40 |
All 17 events with individual day-after returns
Each cell shows that day’s return and the same move in event-day ATR units. Example: Day +2 is the second trading day after the event, measured only from Day +1 close to Day +2 close.
| Event date | Event low ATR | Event close ATR | Day +1 ret / ATR | Day +2 ret / ATR | Day +3 ret / ATR | Day +5 ret / ATR |
|---|---|---|---|---|---|---|
| 2010-05-06 | -6.25 | -2.38 | 2010-05-07 -1.53% / -1.08 ATR | 2010-05-10 +4.41% / +3.06 ATR | 2010-05-11 -0.34% / -0.24 ATR | 2010-05-13 -1.24% / -0.91 ATR |
| 2011-08-04 | -3.12 | -3.09 | 2011-08-05 -0.03% / -0.02 ATR | 2011-08-08 -6.53% / -4.01 ATR | 2011-08-09 +4.48% / +2.57 ATR | 2011-08-11 +4.53% / +2.60 ATR |
| 2011-08-08 | -3.28 | -3.19 | 2011-08-09 +4.48% / +2.06 ATR | 2011-08-10 -4.40% / -2.11 ATR | 2011-08-11 +4.53% / +2.08 ATR | 2011-08-15 +2.11% / +1.02 ATR |
| 2015-08-24 | -4.20 | -3.12 | 2015-08-25 -1.35% / -1.03 ATR | 2015-08-26 +3.87% / +2.92 ATR | 2015-08-27 +2.43% / +1.90 ATR | 2015-08-31 -0.80% / -0.65 ATR |
| 2016-06-24 | -4.35 | -4.09 | 2016-06-27 -1.80% / -1.98 ATR | 2016-06-28 +1.77% / +1.90 ATR | 2016-06-29 +1.70% / +1.86 ATR | 2016-07-01 +0.20% / +0.23 ATR |
| 2016-09-09 | -4.05 | -4.05 | 2016-09-12 +1.45% / +2.36 ATR | 2016-09-13 -1.48% / -2.43 ATR | 2016-09-14 -0.06% / -0.10 ATR | 2016-09-16 -0.39% / -0.64 ATR |
| 2017-05-17 | -3.48 | -3.37 | 2017-05-18 +0.33% / +0.62 ATR | 2017-05-19 +0.67% / +1.24 ATR | 2017-05-22 +0.52% / +0.96 ATR | 2017-05-24 +0.24% / +0.46 ATR |
| 2018-02-05 | -5.16 | -4.72 | 2018-02-06 +1.74% / +1.92 ATR | 2018-02-07 -0.49% / -0.55 ATR | 2018-02-08 -3.76% / -4.20 ATR | 2018-02-12 +1.43% / +1.56 ATR |
| 2018-10-10 | -4.41 | -4.33 | 2018-10-11 -2.09% / -2.69 ATR | 2018-10-12 +1.40% / +1.76 ATR | 2018-10-15 -0.57% / -0.73 ATR | 2018-10-17 -0.05% / -0.06 ATR |
| 2019-08-05 | -3.93 | -3.14 | 2019-08-06 +1.30% / +1.32 ATR | 2019-08-07 +0.09% / +0.09 ATR | 2019-08-08 +1.90% / +1.96 ATR | 2019-08-12 -1.23% / -1.28 ATR |
| 2020-02-24 | -3.98 | -3.62 | 2020-02-25 -2.99% / -3.12 ATR | 2020-02-26 -0.43% / -0.43 ATR | 2020-02-27 -4.43% / -4.46 ATR | 2020-03-02 +4.58% / +4.38 ATR |
| 2020-06-11 | -3.40 | -3.36 | 2020-06-12 +1.29% / +0.69 ATR | 2020-06-15 +0.88% / +0.48 ATR | 2020-06-16 +1.94% / +1.06 ATR | 2020-06-18 +0.06% / +0.03 ATR |
| 2020-09-03 | -4.43 | -3.61 | 2020-09-04 -0.84% / -0.84 ATR | 2020-09-08 -2.77% / -2.75 ATR | 2020-09-09 +2.02% / +1.95 ATR | 2020-09-11 +0.10% / +0.09 ATR |
| 2021-09-20 | -3.49 | -2.06 | 2021-09-21 -0.10% / -0.13 ATR | 2021-09-22 +0.97% / +1.16 ATR | 2021-09-23 +1.20% / +1.44 ATR | 2021-09-27 -0.27% / -0.33 ATR |
| 2021-11-26 | -3.08 | -2.84 | 2021-11-29 +1.29% / +1.57 ATR | 2021-11-30 -1.84% / -2.27 ATR | 2021-12-01 -1.25% / -1.52 ATR | 2021-12-03 -0.83% / -1.01 ATR |
| 2024-12-18 | -4.22 | -4.19 | 2024-12-19 -0.05% / -0.07 ATR | 2024-12-20 +1.14% / +1.54 ATR | 2024-12-23 +0.66% / +0.91 ATR | 2024-12-26 -0.05% / -0.07 ATR |
| 2025-10-10 | -3.82 | -3.78 | 2025-10-13 +1.54% / +2.10 ATR | 2025-10-14 -0.15% / -0.21 ATR | 2025-10-15 +0.42% / +0.57 ATR | 2025-10-17 +0.51% / +0.70 ATR |