S&P500 Falls to a One-Month Low, yet New 52-week Lows Decline from the Previous Session

Institutional participation picked up Tuesday, with unusually heavy volume in
the SPY and the third-lowest TICKscore reading of the past two months. As this
long-term chart of the cumulative TICKscore illustrates, NYSE TICK action has
been generally negative ever since it failed to confirm the S&P's push into
new highs last October. While we did see a 'higher low' in March, a positive
divergence, buying power has been very muted over the past three months. From
a long-term perspective, it still appears likely that the cumulative TICKscore
will remain in a pattern of lower lows, which has negative implications for
the market in general.

Despite the S&P500 falling to its lowest level in over a month, new 52-week
highs on the NYSE expanded while new lows contracted. New 52-week lows also
declined on the NASDAQ. The fact we saw a decrease in issues hitting new
annual lows on a solid down day for the market suggests a stalling out of
downside momentum (short-term). Consider that over the last eight and a half
years, there have been a total of 261 separate sessions in which the S&P500
hit a one-month low. Only 33 of those 261 occurrences coincided with a
contraction in new 52-week lows on both exchanges. Each instance is listed in
the table below, along with the S&P's performance over the next 2-3 sessions.
Note that in 28 out of 33 cases, the drop in new lows ultimately led to a
higher S&P two or three sessions later. That 85% win rate is significantly
better than the 63% at-any-time odds of a higher SPX close 2-3 sessions later.

S&P500 Hits One-Month Low on a Drop in New 52-week Lows
06/03/08... S&P500 ???
05/27/08... S&P500 +0.9% two sessions later
01/23/08... S&P500 +1.2% three sessions later
01/07/08... S&P500 +0.3% three sessions later
11/21/07... S&P500 +0.8% three sessions later
11/09/07... S&P500 +1.9% two sessions later
07/31/07... S&P500 +1.2% two sessions later
07/27/07... S&P500 +0.5% three sessions later
06/08/07... S&P500 +0.5% three sessions later
06/14/06... S&P500 +1.8% two sessions later
05/18/06... S&P500 +0.0% two sessions later
01/03/06... S&P500 +0.4% two sessions later
08/30/05... S&P500 +1.1% two sessions later
08/24/05... S&P500 +0.2% three sessions later
04/18/05... S&P500 +1.2% three sessions later
08/13/04... S&P500 +1.6% two sessions later
07/23/04... S&P500 +0.8% two sessions later
07/15/04... S&P500 +0.2% three sessions later
09/29/03... S&P500 +1.2% two sessions later
08/05/03... S&P500 +0.9% two sessions later
12/31/02... S&P500 +3.3% two sessions later
10/10/02... S&P500 +4.7% two sessions later
10/08/02... S&P500 +0.7% two sessions later
09/20/02... S&P500 -0.7% three sessions later
04/30/02... S&P500 +0.7% two sessions later
01/23/02... S&P500 +0.5% two sessions later
12/13/01... S&P500 +1.3% two sessions later
09/18/01... S&P500 -6.5% three sessions later
03/19/01... S&P500 -4.6% three sessions later
03/13/01... S&P500 -3.9% three sessions later
12/21/00... S&P500 +3.2% two sessions later
10/13/00... S&P500 -2.3% three sessions later
02/25/00... S&P500 +2.5% two sessions later
01/05/00... S&P500 +2.8% two sessions later

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

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