It only happens a few times a month — you might not even notice — and to most people, it probably seems like more of a quirk than anything else. However, closer investigation reveals potentially tradable market tendencies when stock index futures close in the opposite direction of their cash indices.

The following study analyzes four major "mini" stock index futures — mini Dow (YM), E-Mini S&P 500 (ES), E-Mini Nasdaq 100 (NQ), and E-Mini Russell 2000 (ER2) — and their underlying indices to find out how the futures behaved the day after one of these contracts closed in the opposite direction of its index.