Narrow Range Day Following Three Consecutive Higher Closes a Short-term Negative Sign

The S&P500 held to a very tight 8-point range Monday, the smallest range day
of the year. It's generally a short-term negative sign when an NR10 bar
appears after a short-term rally. In the table below I've listed each of the
last thirty instances in which the S&P posted its narrowest range day of the
past ten sessions (NR10) immediately following three consecutive higher closes
(as was the case Monday). Note that in 27 out of 30 cases, or 90% of the time,
the S&P posted a subsequently lower close within the next three days...

SPX NR10 Bar Following Three Up Days
04/28/08... ???
04/08/08... Lower SPX close one session later
03/26/08... Lower SPX close one session later
12/26/07... Lower SPX close one session later
12/03/07... Lower SPX close one session later
09/14/07... Lower SPX close one session later
07/09/07... Lower SPX close one session later
06/18/07... Lower SPX close two sessions later
05/07/07... Lower SPX close one session later
04/09/07... Lower SPX close two sessions later
03/22/07... Lower SPX close three sessions later
02/02/07... Lower SPX close one session later
01/16/07... Lower SPX close one session later
10/24/06... Lower SPX close three sessions later
09/28/06... Lower SPX close one session later
08/21/06... Lower SPX close two sessions later
03/17/06... Lower SPX close one session later
02/17/06... Lower SPX close one session later
11/25/05... Lower SPX close one session later
09/30/05... Lower SPX close one session later
07/13/05... Lower SPX close three sessions later
05/19/05... Lower SPX close one session later
12/23/04... Lower SPX close one session later
11/08/04... Lower SPX close one session later
11/01/04... No lower close within three sessions
09/14/04... Lower SPX close one session later
07/30/04... Lower SPX close two sessions later
05/28/04... Lower SPX close three sessions later
05/26/04... No lower close within three sessions
04/06/04... Lower SPX close one session later
11/28/03... No lower close within three sessions

Volume in the index tracking stocks SPY and QQQQ also fell to their lowest
levels of the year Monday, reflecting an absence of institutional
participation. This too has typically led to short-term weakness (see my April
8th column for the recent track record).

With the FOMC announcement on tap for Wednesday, now is a good time to review
the very short-term bullish 'pre-FOMC' seasonal setup that goes into effect at
Tuesday's close. The last thirty regularly scheduled Fed days are noted in the
table below, beginning with the settlement of the S&P500 tracking stock (SPY)
on the day prior to the announcement and ending with the net change at 2pm ET
on the day of the announcement. Note the general theme of limited downside
potential. In only one case out of the last thirty did the SPY drop more than
0.2% in this intraday time frame...

SPY Performance Pre-FOMC Announcement
04/29/08 close ???.?? - 04/30/08 ??? @ 2:00pm ET
03/17/08 close 128.24 - 03/18/08 +3.66 @ 2:00pm ET
01/29/08 close 135.91 - 01/30/08 -0.24 @ 2:00pm ET
12/10/07 close 152.06 - 12/11/07 +0.50 @ 2:00pm ET
10/30/07 close 153.01 - 10/31/07 +1.18 @ 2:00pm ET
09/17/07 close 148.09 - 09/18/07 +1.10 @ 2:00pm ET
08/06/07 close 146.37 - 08/07/07 +1.17 @ 2:00pm ET
06/27/07 close 150.45 - 06/28/07 +0.59 @ 2:00pm ET
05/08/07 close 150.75 - 05/09/07 ??? @ 2:00pm ET
03/20/07 close 140.97 - 03/21/07 +0.27 @ 2:00pm ET
01/30/07 close 142.82 - 01/31/07 +0.05 @ 2:00pm ET
12/11/06 close 141.85 - 12/12/06 -0.60 @ 2:00pm ET
10/24/06 close 137.88 - 10/25/06 +0.04 @ 2:00pm ET
09/19/06 Close 131.84 - 09/20/06 +0.78 @ 2:00pm ET
08/07/06 close 127.95 - 08/08/06 -0.11 @ 2:00pm ET
06/28/06 close 124.77 - 06/29/06 +0.66 @ 2:00pm ET
05/09/06 close 132.63 - 05/10/06 -0.20 @ 2:00pm ET
03/27/06 close 130.02 - 03/28/06 +0.31 @ 2:00pm ET
01/30/06 close 128.44 - 01/31/06 -0.26 @ 2:00pm ET
12/12/05 close 126.45 - 12/13/05 +0.12 @ 2:00pm ET
10/31/05 close 120.13 - 11/01/05 +0.29 @ 2:00pm ET
09/19/05 close 123.09 - 09/20/05 +0.10 @ 2:00pm ET
08/08/05 close 122.67 - 08/09/05 +0.57 @ 2:00pm ET
06/29/05 close 119.83 - 06/30/05 +0.19 @ 2:00pm ET
05/02/05 close 116.40 - 05/03/05 -0.14 @ 2:00pm ET
03/21/05 close 118.10 - 03/22/05 +0.72 @ 2:00pm ET
02/01/05 close 118.91 - 02/02/05 +0.26 @ 2:00pm ET
12/13/04 close 120.37 - 12/14/04 +0.02 @ 2:00pm ET
11/09/04 close 116.88 - 11/10/04 +0.13 @ 2:00pm ET
09/20/04 close 112.47 - 09/21/04 +0.47 @ 2:00pm ET
08/09/04 close 107.00 - 08/10/04 +0.81 @ 2:00pm ET

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

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