Five Higher Highs for VXO and NASDAQ Outperformance Two Positive Signs for the Near-term

As of Tuesday's close, the NDX is up just over 1% compared to its three-week
ago close while the S&P500 is down over 1% in the same time frame.
Historically, this type of relative outperformance by the Nasdaq has been a
short-term positive sign for the S&P. Of the last thirty separate occurrences
in which the S&P was down 1% or more over a three week period and the Nasdaq
gained, all but two led to a subsequently higher S&P close within the next
three sessions. That 93% win rate is significantly above the 72% 'at-any-time'
odds of a higher S&P close within the next three days...

SPX -1% vs. Three Weeks Ago, NDX Higher
05/27/08... ???
11/01/07... Higher S&P close one session later
10/30/07... Higher S&P close one session later
10/19/07... Higher S&P close one session later
07/26/07... No higher S&P close within three days
07/10/07... Higher S&P close one session later
06/20/07... Higher S&P close one session later
04/17/06... Higher S&P close one session later
04/12/06... Higher S&P close one session later
10/19/05... Higher S&P close three sessions later
10/27/04... Higher S&P close one session later
09/28/04... Higher S&P close one session later
05/21/04... Higher S&P close one session later
03/29/04... Higher S&P close one session later
07/24/03... Higher S&P close one session later
07/10/03... Higher S&P close one session later
07/03/03... Higher S&P close one session later
03/14/03... Higher S&P close one session later
03/04/03... Higher S&P close one session later
02/24/03... Higher S&P close one session later
02/19/03... Higher S&P close two sessions later
11/13/02... Higher S&P close one session later
10/11/02... Higher S&P close one session later
07/17/02... No higher S&P close within three days
12/13/01... Higher S&P close one session later
12/11/01... Higher S&P close one session later
10/31/01... Higher S&P close one session later
07/12/01... Higher S&P close one session later
06/28/00... Higher S&P close three sessions later
03/07/00... Higher S&P close one session later
02/18/00... Higher S&P close one session later

Also noteworthy that Tuesday represented the fifth consecutive session that
the VXO posted a higher high. Typically this means limited downside potential
for the S&P the following session given the tendency for a drop in volatility.
The last thirty occurrences are listed below. Note that in only four cases did
the S&P close down 0.5% or more the next day, while it gained 0.5% or more
fourteen times...

Five Consecutive Higher Highs for VXO
05/27/08... ???
01/02/08... S&P500 +0.0% next session
06/26/07... S&P500 +0.9% next session
06/08/07... S&P500 +0.1% next session
09/07/06... S&P500 +0.4% next session
05/12/06... S&P500 +0.3% next session
11/30/05... S&P500 +1.2% next session
05/13/05... S&P500 +1.0% next session
03/14/05... S&P500 -0.8% next session (*)
01/24/05... S&P500 +0.4% next session
12/31/04... S&P500 -0.8% next session (*)
12/08/04... S&P500 +0.5% next session
10/08/04... S&P500 +0.2% next session
04/30/04... S&P500 +0.9% next session
01/02/04... S&P500 +1.2% next session
03/12/03... S&P500 +3.5% next session
01/22/03... S&P500 +1.0% next session
04/26/02... S&P500 -1.0% next session (*)
01/15/02... S&P500 -1.6% next session (*)
09/04/01... S&P500 -0.1% next session
04/03/01... S&P500 -0.3% next session
03/22/01... S&P500 +2.0% next session
02/23/01... S&P500 +1.8% next session
10/12/00... S&P500 +3.3% next session
09/21/00... S&P500 -0.0% next session
04/14/00... S&P500 +3.3% next session
01/04/00... S&P500 +0.2% next session
04/15/99... S&P500 -0.3% next session
12/14/98... S&P500 +1.9% next session
11/13/98... S&P500 +0.9% next session
09/01/98... S&P500 -0.4% next session

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

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