New 52-week Highs & Lows Both Expand Even as Equity Futures Post Inside Days
By
Rennie on Monday, March 31st, 2008 at 11:30 pm
S&P and Nasdaq futures posted inside days Monday, yet new 52-week highs and new 52-week lows expanded on both the NYSE and NASDAQ. That suggests beneath the seemingly calm surface, stocks remain volatile. There have only been three instances since 1996 in which both S&P and NDX futures posted inside days and both the NYSE and NASDAQ saw an expansion of new highs and new lows – 12/26/06, 03/28/05 and 10/16/01. In each case, the market was little changed one week later.
Not much to lean on short-term as institutional participation remains light. Note that volume in the S&P tracking stock (SPY) closed at its lowest level in over a month. There have only been 12 sessions since the SPY’s inception in which volume hit a one-month low on the same day that the SPY posted lower highs, lower lows and a higher close. In eight cases (66%), the SPY was trading lower one week later. Contrast that with times SPY volume hit a one-month high and SPY posted the same pattern of a lower high, lower low and higher close). That’s occurred 32 times since 1996, 19 (60%) of which led to a higher SPY one week later. It may not be a statistically significant edge, but bulls would have liked to see higher SPY volume on Monday.
New 52-week Highs & Lows Both Expand Even as Equity Futures Post Inside Days
By Rennie on Monday, March 31st, 2008 at 11:30 pmS&P and Nasdaq futures posted inside days Monday, yet new 52-week highs and new 52-week lows expanded on both the NYSE and NASDAQ. That suggests beneath the seemingly calm surface, stocks remain volatile. There have only been three instances since 1996 in which both S&P and NDX futures posted inside days and both the NYSE and NASDAQ saw an expansion of new highs and new lows – 12/26/06, 03/28/05 and 10/16/01. In each case, the market was little changed one week later.
Not much to lean on short-term as institutional participation remains light. Note that volume in the S&P tracking stock (SPY) closed at its lowest level in over a month. There have only been 12 sessions since the SPY’s inception in which volume hit a one-month low on the same day that the SPY posted lower highs, lower lows and a higher close. In eight cases (66%), the SPY was trading lower one week later. Contrast that with times SPY volume hit a one-month high and SPY posted the same pattern of a lower high, lower low and higher close). That’s occurred 32 times since 1996, 19 (60%) of which led to a higher SPY one week later. It may not be a statistically significant edge, but bulls would have liked to see higher SPY volume on Monday.