This move happened without any headlines to speak of (somebody is either a very good speculator or else was privy to some inside information).
Later that evening (or in the early morning hours in Europe) futures markets shot up again (including a 14+ point move in less than 10 minutes) following headlines that the Eurozone agreed to plans for a 120 billion euro stimulus plan. Spanish banks would be recapitalized without seniority being given to the payback the EFSF before other lenders. On top of that, Spain would not have to take on more sovereign debt. This was very positive for the markets and catalyzed what would eventually result in a more than 2.5% gain on the ES by the close of trading on Friday.
Looking back at positive moves of 40 points or more (from low to high on a daily candle **) on the ES since 2008, we see that the next daily move on the ES averaged negative 4.25 points or an average loss of -0.41%. Below you can see results each of the last times this happened since the beginning of 2008 on the E-Mini S&P 500 Futures:
| ES Move of 40+ | Next Day | |
| Date | Points | Percent |
| 1/31/2008 | 24 | 1.83% |
| 3/11/2008 | -13.5 | -1.07% |
| 3/18/2008 | -33.5 | -2.64% |
| 3/20/2008 | 25.25 | 2% |
| 4/1/2008 | 0.75 | 0.06% |
| 7/16/2008 | 13.5 | 1.15% |
| 9/30/2008 | 1 | 0.09% |
| 10/13/2008 | -9.75 | -1.03% |
| 10/20/2008 | -33.5 | -3.63% |
| 10/28/2008 | -11.75 | -1.35% |
| 10/30/2008 | 7.5 | 0.84% |
| 11/4/2008 | -44.5 | -4.77% |
| 11/13/2008 | -46 | -5.49% |
| 11/21/2008 | 47 | 6.43% |
| 12/16/2008 | -10.5 | -1.24% |
| 3/10/2009 | 4.75 | 0.73% |
| 3/12/2009 | 6.75 | 0.99% |
| 3/23/2009 | -14.5 | -1.93% |
| 5/10/2010 | -3.75 | -0.34% |
| 5/27/2010 | -11.75 | -1.12% |
| 7/7/2010 | 8.25 | 0.81% |
| 8/9/2011 | -47.5 | -4.14% |
| 8/23/2011 | 13 | 1.15% |
| 9/26/2011 | 12 | 1.05% |
| 10/4/2011 | 20.5 | 1.87% |
| 10/18/2011 | -16.25 | -1.35% |
| 10/27/2011 | -1.25 | -0.1% |
| 11/30/2011 | -2.5 | -0.2% |
| 6/29/2012 | ? | ?% |
| Average | -4.15 | -0.41% |
If we add another 10 years of data behind this, the results are less profound. The next trading day still averages out to be negative, but at an average loss of 0.25 points or -0.07%.
** We assume that the 40+ point ES move finishes with a strong close. When calculating the historical stats, the close needs to be no less than 25% from the high in terms of the overall move. So if the move was 40 points, the close needs to be within 10 points of the high.
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