There have been 6 times the S&P 500 SPDR (SPY) rose 5 straight days heading into a payroll report. It gapped up on payroll day 4 times (whether payrolls beat estimates or not), but closed below the open all 6 times. Here are the dates: 8/3/2001, 6/6/2003, 9/5/2003, 4/2/2004, 11/4/2005 and 4/9/2007.