Cumulative TICKscore Shifts into Higher Highs, Plus a Long-term Look at 90% Down Volume Days

As I noted in Monday’s intraday updates, NYSE TICK action revealed a notable
drop-off in selling pressure as soon as the S&P violated its late-November
lows at SPX 1406. That trend continued throughout the remainder of the
session, leading to a solid +22 closing TICKscore, a sign that institutions
were buying into Monday’s weakness. Note that the cumulative TICKscore has now
shifted into a pattern of higher highs, a positive sign.

Interesting to note that the ProFunds ‘ultra’ S&P (SSO) saw its heaviest
volume on record Monday, eclipsing the level seen at the mid-August bottom.
QLD also saw record volume.

Breadth settled modestly positive, keeping the positive divergence intact
between the S&P and cumulative breadth, which is still holding above its
November and December lows.

Only 400 issues hit new 52-week lows during Monday’s session, below the 500+
level seen Friday even as the S&P traded well below Friday’s low. NASDAQ also
saw fewer new 52-week lows Monday despite the NDX trading over 1% below
Friday’s lows.

In Sunday’s column I noted that we’d seen fourteen 90% down volume sessions in
just the last year, an unprecedented number of lopsided volume sessions in a
relatively short time frame. To illustrate, I put together a quick chart that
plots the number of 90% down volume sessions recorded over the previous 250
trading days. The chart spans just over forty years, and you can see we’re
currently running more than twice the previous record of six. Along similar
lines, it’s noteworthy that 90% down volume days have historically maintained
a good track record at calling for a higher S&P two months later. Until
recently, that is. From 1965 through 2005, there were a total of fifty
individual 90% down volume sessions, 41 of which led to a higher SPX two
months later. Since 2005, however, the record has dropped to a much less
impressive 9-5, with the mid-December session threatening to make that 9-6.
That’s worse than the 64% at-any-time odds of a higher S&P two months later,
preventing any further 90% down volume signals from being added to the board
unless and until the track record improves.

NYSE Declining Volume 90% or more of Total Volume
01/04/08 DnVol 93%… SPX ???
12/11/07 DnVol 93%… SPX ???
11/07/07 DnVol 93%… SPX -4.2% two months later
11/01/07 DnVol 93%… SPX -2.7% two months later
10/19/07 DnVol 93%… SPX -3.7% two months later
08/28/07 DnVol 95%… SPX +5.8% two months later
08/14/07 DnVol 90%… SPX +9.5% two months later
08/03/07 DnVol 94%… SPX +8.0% two months later
07/26/07 DnVol 94%… SPX +2.9% two months later
07/24/07 DnVol 93%… SPX +1.2% two months later
06/07/07 DnVol 94%… SPX -3.9% two months later
03/13/07 DnVol 94%… SPX +9.8% two months later
03/05/07 DnVol 91%… SPX +8.2% two months later
02/27/07 DnVol 99%… SPX +6.9% two months later
06/05/06 DnVol 91%… SPX +0.4% two months later
05/17/06 DnVol 90%… SPX -2.7% two months later
10/05/05 DnVol 91%… SPX +5.7% two months later
03/22/04 DnVol 91%… SPX -0.4% two months later
03/24/03 DnVol 94%… SPX +6.4% two months later
03/10/03 DnVol 94%… SPX +15.7% two months later
09/03/02 DnVol 92%… SPX +0.5% two months later
04/03/01 DnVol 90%… SPX +13.5% two months later
03/12/01 DnVol 90%… SPX +6.9% two months later
04/14/00 DnVol 92%… SPX +8.3% two months later
08/31/98 DnVol 96%… SPX +11.3% two months later
08/27/98 DnVol 94%… SPX +2.7% two months later
08/04/98 DnVol 91%… SPX -5.1% two months later
01/09/98 DnVol 94%… SPX +14.7% two months later
10/27/97 DnVol 98%… SPX +7.1% two months later
08/23/90 DnVol 95%… SPX +1.8% two months later
01/12/90 DnVol 90%… SPX -0.4% two months later
10/13/89 DnVol 95%… SPX +4.5% two months later
04/14/88 DnVol 95%… SPX +4.4% two months later
01/08/88 DnVol 92%… SPX +9.9% two months later
11/30/87 DnVol 95%… SPX +8.3% two months later
10/26/87 DnVol 98%… SPX +9.8% two months later
10/19/87 DnVol 100%… SPX +7.8% two months later
10/16/87 DnVol 97%… SPX -14.4% two months later
11/18/86 DnVol 92%… SPX +12.5% two months later
09/11/86 DnVol 95%… SPX +4.6% two months later
07/07/86 DnVol 91%… SPX +1.8% two months later
01/24/83 DnVol 91%… SPX +7.6% two months later
10/25/82 DnVol 96%… SPX +4.0% two months later
09/25/81 DnVol 91%… SPX +7.9% two months later
08/24/81 DnVol 95%… SPX -4.2% two months later
01/07/81 DnVol 92%… SPX -3.8% two months later
12/08/80 DnVol 90%… SPX -1.6% two months later
09/29/80 DnVol 91%… SPX +12.8% two months later
03/24/80 DnVol 94%… SPX +8.4% two months later
03/17/80 DnVol 92%… SPX +4.0% two months later

Categories : Archived EOD Commentary, End-of-Day Commentary

 Print This Post