Intraday S&P Recovery Following a 1.5%+ Selloff Usually Fails to Stick on a Short-term Basis
By
Rennie on Sunday, September 7th, 2008 at 7:30 pm
Heavy institutional buying emerged in afternoon trading Friday, causing a
sharp intraday rebound off the lows. The S&P500 reversed better than a 1.5%
selloff to close slightly positive on the session. Whether the gain sticks
heading into mid-week remains to be seen. Historically, a big intraday
reversal is often followed by another lower close within the next few
sessions. In the table below are each of the last thirty instances in which
the S&P500 traded down 1.5% or more intraday but finished in positive
territory. Note that in 25 out of 30 cases, or 83% of the time, the S&P posted
a subsequently lower close within the next three sessions, better than the 66%
at-any-time odds of a lower close within three days…
S&P500 -1.5% Intraday, Finishes Positive
09/05/08… ???
07/01/08… Lower S&P close one session later
03/13/08… Lower S&P close one session later
01/31/08… Lower S&P close three sessions later
01/23/08… Lower S&P close two sessions later
08/16/07… No lower S&P close within three sessions
08/10/07… Lower S&P close one session later
06/08/06… Lower S&P close one session later
05/12/04… Lower S&P close one session later
03/20/03… Lower S&P close two sessions later
02/25/03… Lower S&P close one session later
10/23/02… Lower S&P close one session later
08/09/02… Lower S&P close one session later
07/30/02… Lower S&P close two sessions later
07/24/02… Lower S&P close one session later
07/11/02… Lower S&P close one session later
06/24/02… Lower S&P close one session later
01/30/02… Lower S&P close three sessions later
10/25/01… Lower S&P close two sessions later
10/05/01… Lower S&P close one session later
03/01/01… Lower S&P close one session later
04/27/00… Lower S&P close one session later
01/05/00… No lower S&P close within three sessions
05/12/99… Lower S&P close two sessions later
09/21/98… No lower S&P close within three sessions
09/01/98… Lower S&P close one session later
01/12/98… No lower S&P close within three sessions
10/28/97… Lower S&P close one session later
06/07/96… Lower S&P close one session later
03/31/94… Lower S&P close one session later
09/28/90… No lower S&P close within three sessions
However, I’d also note that the majority of setups are generally positive for
the near-term. TICKscore closed at a solid +25 Friday, breaking the recent
pattern of ‘lower highs’ seen on the daily TICKscore chart. That’s a
potentially encouraging sign. New 52-week highs also managed to expand
slightly. Granted, it was by a very small margin, but any increase at all is
noteworthy considering the S&P didn’t come within 2% of Thursday’s highs. The
last thirty times that new 52-week highs expanded on a day when the S&P did
not trade within 1.5% of the previous day’s high are listed in the table
below. Note that in 21 out of 30 occurrences, or 70% of the time, the S&P was
trading higher two sessions later, 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
09/05/08… S&P500 ??? two sessions later
07/10/08… S&P500 -2.0% two sessions later
06/27/08… S&P500 +0.5% two sessions later
04/14/08… S&P500 +2.7% 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
Also noteworthy that Friday 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
09/07/08… S&P500 ??? next session
05/27/08… S&P500 +0.4% next session
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
The 5-day RSI for the Nasdaq100 settled below 25 for the third consecutive
session Friday, historically a good sign that selling pressure is at or near a
short-term exhaustion point. This indicates buyers will most likely be able to
gain the upper hand (at least temporarily), thereby creating a short-term
bottom. The last thirty occurrences of this pattern are listed in the table
below. Note that in 27 out of 30 cases, or 90% of the time, the Nasdaq was
trading at a higher level when the RSI rebounded back over 25 (typically
within 1-2 days of the signal).
Nasdaq 5-day RSI under 25 Three Consecutive Sessions
09/05/08… NDX ???
01/22/08… NDX +1.7% when RSI back over 25 (two sessions)
01/08/08… NDX +2.0% when RSI back over 25 (one session)
11/12/07… NDX +4.2% when RSI back over 25 (one session)
03/01/07… NDX -0.6% when RSI back over 25 (three session)
07/17/06… NDX +0.3% when RSI back over 25 (one session)
05/15/06… NDX -3.3% when RSI back over 25 (seven sessions)
02/07/06… NDX +1.1% when RSI back over 25 (one session)
10/12/05… NDX +0.8% when RSI back over 25 (one session)
06/27/05… NDX +1.0% when RSI back over 25 (one session)
04/18/05… NDX +0.8% when RSI back over 25 (one session)
01/24/05… NDX +0.7% when RSI back over 25 (one session)
01/06/05… NDX +0.5% when RSI back over 25 (one session)
08/09/04… NDX +2.1% when RSI back over 25 (one session)
07/16/04… NDX +2.1% when RSI back over 25 (two sessions)
08/08/03… NDX +1.3% when RSI back over 25 (one session)
05/06/02… NDX +10.5% when RSI back over 25 (two sessions)
04/26/02… NDX +2.1% when RSI back over 25 (two sessions)
02/07/02… NDX +2.7% when RSI back over 25 (one session)
09/07/01… NDX -12.2% when RSI back over 25 (seven sessions)
06/18/01… NDX +3.3% when RSI back over 25 (two sessions)
02/22/01… NDX +1.2% when RSI back over 25 (one session)
02/09/01… NDX +2.1% when RSI back over 25 (three sessions)
12/21/00… NDX +9.5% when RSI back over 25 (one session)
10/12/00… NDX +9.1% when RSI back over 25 (one session)
04/14/00… NDX +10.0% when RSI back over 25 (one session)
10/07/98… NDX +4.2% when RSI back over 25 (two sessions)
08/31/98… NDX +6.6% when RSI back over 25 (one session)
12/15/97… NDX +1.3% when RSI back over 25 (one session)
07/15/96… NDX +4.0% when RSI back over 25 (two sessions)
06/20/96… NDX +1.2% when RSI back over 25 (one session)
With S&P futures currently trading up over 2% Sunday evening, it will be
particularly interesting to monitor Monday’s volume. An unfilled upside gap
that’s accompanied by a drop in NYSE volume has historically been a good
short-term sell. See my August 24th column for a recent track record.
Intraday S&P Recovery Following a 1.5%+ Selloff Usually Fails to Stick on a Short-term Basis
By Rennie on Sunday, September 7th, 2008 at 7:30 pmHeavy institutional buying emerged in afternoon trading Friday, causing a
sharp intraday rebound off the lows. The S&P500 reversed better than a 1.5%
selloff to close slightly positive on the session. Whether the gain sticks
heading into mid-week remains to be seen. Historically, a big intraday
reversal is often followed by another lower close within the next few
sessions. In the table below are each of the last thirty instances in which
the S&P500 traded down 1.5% or more intraday but finished in positive
territory. Note that in 25 out of 30 cases, or 83% of the time, the S&P posted
a subsequently lower close within the next three sessions, better than the 66%
at-any-time odds of a lower close within three days…
S&P500 -1.5% Intraday, Finishes Positive
09/05/08… ???
07/01/08… Lower S&P close one session later
03/13/08… Lower S&P close one session later
01/31/08… Lower S&P close three sessions later
01/23/08… Lower S&P close two sessions later
08/16/07… No lower S&P close within three sessions
08/10/07… Lower S&P close one session later
06/08/06… Lower S&P close one session later
05/12/04… Lower S&P close one session later
03/20/03… Lower S&P close two sessions later
02/25/03… Lower S&P close one session later
10/23/02… Lower S&P close one session later
08/09/02… Lower S&P close one session later
07/30/02… Lower S&P close two sessions later
07/24/02… Lower S&P close one session later
07/11/02… Lower S&P close one session later
06/24/02… Lower S&P close one session later
01/30/02… Lower S&P close three sessions later
10/25/01… Lower S&P close two sessions later
10/05/01… Lower S&P close one session later
03/01/01… Lower S&P close one session later
04/27/00… Lower S&P close one session later
01/05/00… No lower S&P close within three sessions
05/12/99… Lower S&P close two sessions later
09/21/98… No lower S&P close within three sessions
09/01/98… Lower S&P close one session later
01/12/98… No lower S&P close within three sessions
10/28/97… Lower S&P close one session later
06/07/96… Lower S&P close one session later
03/31/94… Lower S&P close one session later
09/28/90… No lower S&P close within three sessions
However, I’d also note that the majority of setups are generally positive for
the near-term. TICKscore closed at a solid +25 Friday, breaking the recent
pattern of ‘lower highs’ seen on the daily TICKscore chart. That’s a
potentially encouraging sign. New 52-week highs also managed to expand
slightly. Granted, it was by a very small margin, but any increase at all is
noteworthy considering the S&P didn’t come within 2% of Thursday’s highs. The
last thirty times that new 52-week highs expanded on a day when the S&P did
not trade within 1.5% of the previous day’s high are listed in the table
below. Note that in 21 out of 30 occurrences, or 70% of the time, the S&P was
trading higher two sessions later, 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
09/05/08… S&P500 ??? two sessions later
07/10/08… S&P500 -2.0% two sessions later
06/27/08… S&P500 +0.5% two sessions later
04/14/08… S&P500 +2.7% 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
Also noteworthy that Friday 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
09/07/08… S&P500 ??? next session
05/27/08… S&P500 +0.4% next session
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
The 5-day RSI for the Nasdaq100 settled below 25 for the third consecutive
session Friday, historically a good sign that selling pressure is at or near a
short-term exhaustion point. This indicates buyers will most likely be able to
gain the upper hand (at least temporarily), thereby creating a short-term
bottom. The last thirty occurrences of this pattern are listed in the table
below. Note that in 27 out of 30 cases, or 90% of the time, the Nasdaq was
trading at a higher level when the RSI rebounded back over 25 (typically
within 1-2 days of the signal).
Nasdaq 5-day RSI under 25 Three Consecutive Sessions
09/05/08… NDX ???
01/22/08… NDX +1.7% when RSI back over 25 (two sessions)
01/08/08… NDX +2.0% when RSI back over 25 (one session)
11/12/07… NDX +4.2% when RSI back over 25 (one session)
03/01/07… NDX -0.6% when RSI back over 25 (three session)
07/17/06… NDX +0.3% when RSI back over 25 (one session)
05/15/06… NDX -3.3% when RSI back over 25 (seven sessions)
02/07/06… NDX +1.1% when RSI back over 25 (one session)
10/12/05… NDX +0.8% when RSI back over 25 (one session)
06/27/05… NDX +1.0% when RSI back over 25 (one session)
04/18/05… NDX +0.8% when RSI back over 25 (one session)
01/24/05… NDX +0.7% when RSI back over 25 (one session)
01/06/05… NDX +0.5% when RSI back over 25 (one session)
08/09/04… NDX +2.1% when RSI back over 25 (one session)
07/16/04… NDX +2.1% when RSI back over 25 (two sessions)
08/08/03… NDX +1.3% when RSI back over 25 (one session)
05/06/02… NDX +10.5% when RSI back over 25 (two sessions)
04/26/02… NDX +2.1% when RSI back over 25 (two sessions)
02/07/02… NDX +2.7% when RSI back over 25 (one session)
09/07/01… NDX -12.2% when RSI back over 25 (seven sessions)
06/18/01… NDX +3.3% when RSI back over 25 (two sessions)
02/22/01… NDX +1.2% when RSI back over 25 (one session)
02/09/01… NDX +2.1% when RSI back over 25 (three sessions)
12/21/00… NDX +9.5% when RSI back over 25 (one session)
10/12/00… NDX +9.1% when RSI back over 25 (one session)
04/14/00… NDX +10.0% when RSI back over 25 (one session)
10/07/98… NDX +4.2% when RSI back over 25 (two sessions)
08/31/98… NDX +6.6% when RSI back over 25 (one session)
12/15/97… NDX +1.3% when RSI back over 25 (one session)
07/15/96… NDX +4.0% when RSI back over 25 (two sessions)
06/20/96… NDX +1.2% when RSI back over 25 (one session)
With S&P futures currently trading up over 2% Sunday evening, it will be
particularly interesting to monitor Monday’s volume. An unfilled upside gap
that’s accompanied by a drop in NYSE volume has historically been a good
short-term sell. See my August 24th column for a recent track record.