SPX More than 1.5% Below Friday’s High, yet New 52-week Highs Still Manage to Expand

Major market averages settled with modest losses Monday in very light trading.
NYSE TICK action reflected an absence of institutional participation,
particularly noteworthy given the 4% down day for the Bank Index. This type of
move in the BKX has normally meant heavy institutional selling, but that
wasn't the case Monday, suggesting the market had already priced in new lows
for the banks.

One of the more interesting developments on Monday was the expansion of new
52-week highs to twice the level of Friday, particularly since the S&P500
itself didn't come close to Friday's high. Even at its best levels of the day,
it was down over 1.5% from Friday's high. Looking back at times when the SPX
didn't trade within 1.5% of the previous day's high and yet new 52-week highs
still managed to expand, it's usually a positive sign for the short-term. Out
of the last 30 occurrences stretching back to 1998, 22 led to a higher S&P
close two sessions later. That 73% win rate is significantly above the 52% at-
any-time odds for a higher S&P two sessions later...

SPX High 1.5% Below Yesterday's High, New 52-week Highs Expand
04/14/08... S&P500 ??? two sessions later
03/03/08... S&P500 +0.2% two sessions later
01/22/08... S&P500 +3.2% two sessions later
11/02/07... S&P500 +0.7% two sessions later
08/06/04... S&P500 +1.4% two sessions later
04/10/03... S&P500 +1.6% two sessions later
03/04/03... S&P500 +0.0% two sessions later
11/11/02... S&P500 +0.7% two sessions later
10/07/02... S&P500 -1.1% two sessions later
09/30/02... S&P500 +1.6% two sessions later
09/04/02... S&P500 +0.1% two sessions later
08/05/02... S&P500 +5.1% two sessions later
07/18/02... S&P500 -7.0% two sessions later
07/10/02... S&P500 +0.1% two sessions later
06/21/02... S&P500 -1.3% two sessions later
09/07/01... S&P500 -4.3% two sessions later
06/15/01... S&P500 -0.2% two sessions later
04/04/01... S&P500 +2.3% two sessions later
03/01/01... S&P500 +0.0% two sessions later
01/08/01... S&P500 +1.3% two sessions later
12/21/00... S&P500 +3.2% two sessions later
12/14/00... S&P500 -1.4% two sessions later
10/11/00... S&P500 +0.7% two sessions later
05/22/00... S&P500 -0.1% two sessions later
05/04/00... S&P500 +1.1% two sessions later
02/22/00... S&P500 +0.1% two sessions later
01/05/00... S&P500 +2.8% two sessions later
10/14/99... S&P500 -2.3% two sessions later
05/17/99... S&P500 +0.4% two sessions later
09/18/98... S&P500 +1.0% two sessions later
09/10/98... S&P500 +5.1% two sessions later

It's also interesting to note that the S&P500 drew an NR10 bar Monday, meaning
the day's range was the smallest of the last ten sessions. This comes directly
on the heels of Friday's big selloff, and suggests downside momentum is
slowing. Each of the last thirty times that an NR10 bar appeared immediately
after a session with 2:1+ negative breadth is noted in the table below, along
with the S&P's performance over the following week. While not significantly
better than random, it's noteworthy that in only four cases was the S&P down
more than 1% one week later...

SPX NR10 day following 2:1 Negative Breadth
04/14/08... S&P500 ??? one week later
02/15/08... S&P500 +1.6% one week later
11/16/07... S&P500 -3.5% one week later (*)
09/21/07... S&P500 +0.1% one week later
04/12/06... S&P500 +1.8% one week later
04/10/06... S&P500 +0.9% one week later
03/07/06... S&P500 +1.7% one week later
12/20/05... S&P500 -0.1% one week later
08/17/05... S&P500 -0.9% one week later
03/17/05... S&P500 -1.6% one week later (*)
03/23/04... S&P500 +3.0% one week later
08/25/03... S&P500 +2.9% one week later
08/09/99... S&P500 +2.5% one week later
09/18/98... S&P500 +2.4% one week later
08/03/98... S&P500 -2.6% one week later (*)
11/25/97... S&P500 +2.7% one week later
07/25/96... S&P500 +3.0% one week later
06/10/96... S&P500 -1.0% one week later
02/25/94... S&P500 -0.3% one week later
05/14/93... S&P500 +1.4% one week later
03/30/92... S&P500 +0.6% one week later
06/10/91... S&P500 +0.4% one week later
02/21/91... S&P500 +0.6% one week later
03/23/90... S&P500 +0.8% one week later
08/26/88... S&P500 +1.8% one week later
08/23/88... S&P500 +2.1% one week later
05/12/88... S&P500 -0.5% one week later
12/11/87... S&P500 +5.9% one week later
11/04/87... S&P500 -2.8% one week later (*)
12/24/86... S&P500 -0.1% one week later
12/12/86... S&P500 +1.0% one week later

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

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