Back-to-Back NR10 Days for the Semiconductor Index Suggests a Big Move is Right Around the Corner

With volatility indexes running low, it's noteworthy that the VIX:VXV Ratio
continues to trade below 0.90 as it has since May 12th, a red flag from an
intermediate-term perspective. See my April 8th column for background on the
indicator.

Despite the solid up day for the NASDAQ, semiconductors were noticeable
laggards. The SOX posted both an inside day and a second consecutive NR10 day,
meaning for the past two days in a row, the intraday range for the SOX has
been the narrowest of the last ten sessions. Historically, back-to-back NR10
bars often means a big move is right around the corner. The last thirty times
that the SOX index posted two consecutive NR10 days are listed in the table
below, along with the performance of the SOX over the following two sessions.
Note that in 20 out of 30 cases, or 66% of the time, the SOX gained or lost 2%
or more over the next two sessions. That's significantly higher than the 37%
at-any-time odds for an absolute move of 2%+ over the next two days.

Back-to-back NR10 Days for the Semiconductor Index (SOX)
05/29/08... SOX ??? two sessions later
01/30/08... SOX +5.8% two sessions later
12/26/07... SOX -2.0% two sessions later
09/14/07... SOX +2.3% two sessions later
05/29/07... SOX +1.1% two sessions later
01/30/07... SOX +0.4% two sessions later
12/28/06... SOX -0.8% two sessions later
06/26/06... SOX -4.3% two sessions later
02/27/06... SOX +3.5% two sessions later
02/16/06... SOX -4.1% two sessions later
06/22/05... SOX -1.5% two sessions later
02/02/05... SOX +3.0% two sessions later
12/13/04... SOX +2.1% two sessions later
11/26/04... SOX -1.7% two sessions later
08/27/04... SOX -3.0% two sessions later
08/10/04... SOX -7.1% two sessions later
05/21/04... SOX +3.7% two sessions later
12/26/03... SOX +2.2% two sessions later
12/22/03... SOX +1.4% two sessions later
06/30/03... SOX +4.3% two sessions later
02/04/03... SOX -1.4% two sessions later
11/18/02... SOX +5.8% two sessions later
08/12/02... SOX +3.2% two sessions later
07/19/02... SOX -6.8% two sessions later
07/30/01... SOX +5.1% two sessions later
05/02/01... SOX -4.6% two sessions later
04/26/01... SOX +8.3% two sessions later
11/22/00... SOX +1.3% two sessions later
11/06/00... SOX -10.9% two sessions later
06/09/00... SOX +0.2% two sessions later
12/23/99... SOX +0.4% two sessions later

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

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