Low TICKscore Reading on a Solid Up Day for the S&P a Negative Sign for the Short-term

Program trading volume executed as principal, for member firms' own accounts,
remained unchanged during the week ending October 31st at 30.9% of total
program volume. Note from the long-term chart that we're still not seeing the
kind of elevated program trading typically seen at major bottoming periods.

Institutional participation was light considering Friday's lopsided market
internals. While breadth settled 2:1 positive and upside volume accounted for
80% of total volume, our TICKscore indicator settled at a neutral +1. Closing
TICKscore readings of +5 or lower that have coincided with a 2:1 positive
breadth session have typically led to a lower S&P 2-4 trading days later...

TICKscore <=+5 on 2:1+ Positive Breadth Session
11/07/08... ???
09/18/08... Lower S&P close three sessions later
06/25/08... Lower S&P close two sessions later
06/13/08... Lower S&P close two sessions later
12/21/07... Lower S&P close three sessions later
12/05/07... Lower S&P close four sessions later
10/31/07... Lower S&P close two sessions later
10/26/07... Lower S&P close two sessions later
10/23/07... Lower S&P close two sessions later
08/08/07... Lower S&P close two sessions later
07/12/07... Lower S&P close four sessions later
06/01/07... Lower S&P close two sessions later
04/20/07... Lower S&P close two sessions later
10/14/05... Lower S&P close two sessions later
08/11/05... Lower S&P close two sessions later
05/24/04... No lower close 2-4 trading days later
12/16/02... Lower S&P close two sessions later
11/21/02... Lower S&P close two sessions later
10/17/02... No lower close 2-4 trading days later
03/27/02... Lower S&P close three sessions later
02/11/02... Lower S&P close four sessions later
01/31/02... Lower S&P close two sessions later
11/13/01... Lower S&P close three sessions later
09/24/01... No lower close 2-4 trading days later
04/10/01... No lower close 2-4 trading days later
04/05/01... Lower S&P close two sessions later
03/30/01... Lower S&P close two sessions later
02/26/01... Lower S&P close two sessions later

We still have the short-term bullish VXO setup from Thursday on the board,
indicating the potential for some short-term follow-through from Friday's
rally. But this does tell us the coming week is shaping up to be a choppy one,
with an early-week rally likely to peter out after a day or two.

Also suggesting limited upside potential heading into Wednesday, Friday's
lopsided breadth sent the NYSE McClellan Oscillator back over +150 for a
second time in the past three sessions. Readings over +150 are high from a
historical perspective (see long-term chart). It's particularly interesting
when the Oscillator exceeds +150 on two separate occasions within a one-week
time frame. Typically, the second run from below +150 to above +150 coincides
within a short-term topping phase, and the S&P is usually trading flat-to-down
three days later...

McClellan Oscillator Exceeds +150 Second Time in Five Days
11/09/08... S&P ??? three sessions later
08/11/08... S&P -0.9% three sessions later
08/05/08... S&P +0.9% three sessions later
01/31/08... S&P -3.0% three sessions later
10/05/07... S&P +0.3% three sessions later
08/31/07... S&P +0.3% three sessions later
08/24/07... S&P -1.1% three sessions later
08/03/06... S&P -0.7% three sessions later
07/11/06... S&P -2.9% three sessions later
07/06/06... S&P -0.1% three sessions later
12/01/05... S&P -0.1% three sessions later
06/01/05... S&P -0.4% three sessions later
05/27/05... S&P +0.5% three sessions later
05/23/05... S&P +0.3% three sessions later
05/09/05... S&P -1.7% three sessions later
09/07/04... S&P +0.2% three sessions later
09/02/04... S&P -0.2% three sessions later
08/27/04... S&P -0.2% three sessions later
09/08/03... S&P -1.5% three sessions later
05/06/03... S&P -0.1% three sessions later
04/22/03... S&P -1.4% three sessions later
08/15/02... S&P +0.8% three sessions later
03/06/02... S&P +0.5% three sessions later
01/03/01... S&P -3.8% three sessions later
01/07/00... S&P -0.6% three sessions later
04/21/99... S&P +1.8% three sessions later (*)
10/29/98... S&P +2.3% three sessions later (*)
09/28/98... S&P -5.9% three sessions later
09/22/98... S&P +1.5% three sessions later (*)
07/08/98... S&P -0.1% three sessions later
07/06/98... S&P +0.1% three sessions later
05/12/97... S&P +0.5% three sessions later
02/11/91... S&P -1.2% three sessions later

Out of 32 separate occurrences since 1990, only 41% led to a higher S&P three
sessions later, compared with 55% at-any-time odds. Since 2000 the limited
upside potential has been ever more noticeable, with only 33% of cases leading
to a higher S&P three sessions later.

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

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