NYSE Volume Over It’s Upper Bollinger Band Two Consecutive Sessions
By
Rennie on Sunday, November 23rd, 2008 at 6:30 pm
Advancing issues outpaced decliners by nearly a 2:1 margin Friday, as you’d expect on a 6%+ up day for the S&P500. Breadth would have triggered a short-term sell had it closed 2:1 positive, given that NYSE TICK-related indicators remained in decidedly negative territory Friday. TICKscore settled at -53, Cumulative TICK closed at -88,000.
In Thursday’s commentary I mentioned the short-term negative implications of persistently elevated SPY volume. We didn’t see that setup triggered on Friday as SPY volume came in below Thursday’s levels. However, we did see NYSE volume exceed its upper bollinger band for a second consecutive session, reflecting unusually active institutional participation. This too has negative implications for the short-term. The table below lists each of the last thirty separate instances in which NYSE volume exceeded its upper bollinger band two days running…
NYSE Volume Over Upper Band Two Days
11/21/08… S&P500 ??? one week later
09/19/08… S&P500 -3.4% one week later
09/09/08… S&P500 -0.9% one week later
09/19/07… S&P500 -0.2% one week later
02/28/07… S&P500 -1.1% one week later
10/01/04… S&P500 -0.8% one week later
03/11/04… S&P500 +1.4% one week later
03/13/03… S&P500 +5.3% one week later (*)
06/07/02… S&P500 -2.0% one week later
01/30/02… S&P500 -2.7% one week later
09/06/01… S&P500 -8.2% one week later
01/04/01… S&P500 -0.5% one week later
03/01/00… S&P500 -0.9% one week later
04/15/99… S&P500 +2.7% one week later (*)
08/05/98… S&P500 +0.3% one week later
11/18/91… S&P500 -2.6% one week later
09/20/91… S&P500 -0.5% one week later
08/03/90… S&P500 -2.7% one week later
07/13/90… S&P500 -1.6% one week later
05/14/90… S&P500 +0.9% one week later
10/16/89… S&P500 +0.6% one week later
09/18/89… S&P500 -0.7% one week later
03/17/89… S&P500 -0.7% one week later
01/27/89… S&P500 +1.1% one week later
06/01/88… S&P500 +1.8% one week later (*)
10/16/87… S&P500 -12.3% one week later
09/12/86… S&P500 +0.7% one week later
02/28/86… S&P500 -0.6% one week later
10/02/85… S&P500 -0.8% one week later
12/19/84… S&P500 -0.8% one week later
10/19/84… S&P500 -1.6% one week later
Keep in mind that this setup doesn’t account for price action whatsoever, merely volume. The fact that the S&P was trading lower one week later in 21 out of 30 cases, or 70% of the time, is eye-opening considering the S&P’s 43% at-any-time odds of posting a lower close one week later. It’s clear that periods of unusually heavy trading activity tend to precede unusually weak market performance. Note that in only three cases out of the last thirty occurrences did the S&P manage to close up 1.5% or more one week later, suggesting limited upside potential over the next five trading days (which takes us to December 1st given the Thanksgiving holiday).
Noteworthy that Friday’s big gain coincided with options expiration, which as I’ve discussed in the past typically translates into a flat-to-down market over the following week. Listed in the table below is every instance over the past two decades in which the S&P closed up 1% or more on Expiration Friday…
S&P500 +1.0% on Expiration Friday
11/21/08… S&P500 ??? one week later
09/19/08… s&P500 -3.4% one week later
04/18/08… S&P500 +0.5% one week later
03/20/08… S&P500 -1.1% one week later
12/21/07… S&P500 -1.1% one week later
08/17/07… S&P500 +2.3% one week later
07/18/03… S&P500 +0.5% one week later
04/17/03… S&P500 +0.6% one week later
03/21/03… S&P500 -3.6% one week later
02/21/03… S&P500 -0.8% one week later
12/20/02… S&P500 -1.8% one week later
03/15/02… S&P500 -1.5% one week later
09/17/99… S&P500 -4.4% one week later
01/15/99… S&P500 -0.8% one week later
04/17/98… S&P500 -1.3% one week later
01/16/98… S&P500 -0.5% one week later
12/18/92… S&P500 -0.5% one week later
12/20/91… S&P500 +7.3% one week later
02/15/91… S&P500 -0.5% one week later
01/18/91… S&P500 +1.2% one week later
10/19/90… S&P500 -2.5% one week later
03/16/90… S&P500 -1.4% one week later
05/19/89… S&P500 +0.1% one week later
04/21/89… S&P500 +0.0% one week later
02/19/88… S&P500 +0.3% one week later
01/15/88… S&P500 -2.2% one week later
Note that the S&P was roughly twice as likely to trade lower the following week (five trading days). Out of 25 occurrences over the last two decades, only three saw the S&P gain 1% or more the following week. The other twenty times saw the S&P trade flat-to-down, suggesting a big move on Expiration Friday often means buying power is at or near a short-term exhaustion point.
The significant underperformance by the bank sector was another short-term negative. Despite the S&P tacking on over 6%, the Bank Index (BKX) barely managed an up day, settling up 0.5%. When the S&P gains 1%+ and doubles the performance of the BKX, it typically leads to a lower S&P close within the next two sessions. The last thirty occurrences are listed in the table below. Note that in 25 out of 30 cases, the S&P posted a subsequently lower close within the next sessions, significantly greater than the 63% at-any-time odds for a lower close within the next two days…
SPX Up 1%+, Doubles Performance of BKX
11/21/08… ???
11/07/08… Lower SPX close one session later
10/30/08… No lower close within two sessions
10/23/08… Lower SPX close one session later
10/20/08… Lower SPX close one session later
10/13/08… Lower SPX close one session later
06/13/08… Lower SPX close two sessions later
03/24/08… Lower SPX close two sessions later
02/13/08… Lower SPX close one session later
01/14/08… Lower SPX close one session later
10/31/07… Lower SPX close one session later
08/24/07… Lower SPX close one session later
08/22/07… Lower SPX close one session later
03/06/07… Lower SPX close one session later
05/25/06… Lower SPX close two sessions later
04/21/05… Lower SPX close one session later
11/12/03… Lower SPX close one session later
05/09/03… No lower close within two sessions
04/10/02… Lower SPX close one session later
10/03/01… Lower SPX close one session later
08/24/01… Lower SPX close one session later
07/25/01… No lower close within two sessions
06/05/01… Lower SPX close one session later
05/21/01… Lower SPX close one session later
04/25/01… No lower close within two sessions
04/19/01… Lower SPX close one session later
04/17/01… No lower close within two sessions
01/18/01… Lower SPX close one session later
12/27/00… Lower SPX close two sessions later
11/14/00… Lower SPX close two sessions later
08/07/00… Lower SPX close two sessions later
About the only positive sign on Friday, and it’s debatable as to whether it can really be considered “positive”, is that new 52-week lows declined slightly on both the NYSE and NASDAQ even as both indices touched fresh 52-week lows. However, even while new lows declined, they remain just below all-time highs, so it’s difficult to get too excited by a small pullback as long as this statistic remains in unprecedented territory. Historically, a drop in new 52-week lows that’s coincided with a one-month low in the S&P and NDX has often led to a higher S&P close 2-4 trading days later, but considering the setups on the board I’m not giving this a whole lot of weight at the moment. At best, this suggests conditions could be choppy this week…
NDX & SPX Hit One-Month Lows, New 52-week Lows Decline
11/21/08… ???
10/09/08… Higher SPX close two sessions later
10/07/08… Higher SPX close four sessions later
09/17/08… Higher SPX close two sessions later
06/12/08… Higher SPX close two sessions later
01/23/08… Higher SPX close three sessions later
01/07/08… Higher SPX close three sessions later
11/12/07… Higher SPX close two sessions later
11/09/07… Higher SPX close two sessions later
07/31/07… Higher SPX close two sessions later
05/18/06… Higher SPX close two sessions later
01/03/06… Higher SPX close two sessions later
08/24/05… Higher SPX close three sessions later
04/18/05… Higher SPX close three sessions later
08/13/04… Higher SPX close two sessions later
07/23/04… Higher SPX close two sessions later
09/29/03… Higher SPX close two sessions later
08/05/03… Higher SPX close two sessions later
12/31/02… Higher SPX close two sessions later
10/08/02… Higher SPX close two sessions later
09/20/02… Higher SPX close four sessions later
09/18/01… No higher SPX close 2-4 sessions later
03/20/01… Higher SPX close four sessions later
12/21/00… Higher SPX close two sessions later
10/13/00… Higher SPX close four sessions later
10/18/99… Higher SPX close two sessions later
09/01/98… Higher SPX close four sessions later
08/28/98… No higher SPX close 2-4 sessions later
06/24/93… Higher SPX close two sessions later
02/17/93… Higher SPX close two sessions later
06/18/92… Higher SPX close two sessions later
NYSE Volume Over It’s Upper Bollinger Band Two Consecutive Sessions
By Rennie on Sunday, November 23rd, 2008 at 6:30 pmAdvancing issues outpaced decliners by nearly a 2:1 margin Friday, as you’d expect on a 6%+ up day for the S&P500. Breadth would have triggered a short-term sell had it closed 2:1 positive, given that NYSE TICK-related indicators remained in decidedly negative territory Friday. TICKscore settled at -53, Cumulative TICK closed at -88,000.
In Thursday’s commentary I mentioned the short-term negative implications of persistently elevated SPY volume. We didn’t see that setup triggered on Friday as SPY volume came in below Thursday’s levels. However, we did see NYSE volume exceed its upper bollinger band for a second consecutive session, reflecting unusually active institutional participation. This too has negative implications for the short-term. The table below lists each of the last thirty separate instances in which NYSE volume exceeded its upper bollinger band two days running…
NYSE Volume Over Upper Band Two Days
11/21/08… S&P500 ??? one week later
09/19/08… S&P500 -3.4% one week later
09/09/08… S&P500 -0.9% one week later
09/19/07… S&P500 -0.2% one week later
02/28/07… S&P500 -1.1% one week later
10/01/04… S&P500 -0.8% one week later
03/11/04… S&P500 +1.4% one week later
03/13/03… S&P500 +5.3% one week later (*)
06/07/02… S&P500 -2.0% one week later
01/30/02… S&P500 -2.7% one week later
09/06/01… S&P500 -8.2% one week later
01/04/01… S&P500 -0.5% one week later
03/01/00… S&P500 -0.9% one week later
04/15/99… S&P500 +2.7% one week later (*)
08/05/98… S&P500 +0.3% one week later
11/18/91… S&P500 -2.6% one week later
09/20/91… S&P500 -0.5% one week later
08/03/90… S&P500 -2.7% one week later
07/13/90… S&P500 -1.6% one week later
05/14/90… S&P500 +0.9% one week later
10/16/89… S&P500 +0.6% one week later
09/18/89… S&P500 -0.7% one week later
03/17/89… S&P500 -0.7% one week later
01/27/89… S&P500 +1.1% one week later
06/01/88… S&P500 +1.8% one week later (*)
10/16/87… S&P500 -12.3% one week later
09/12/86… S&P500 +0.7% one week later
02/28/86… S&P500 -0.6% one week later
10/02/85… S&P500 -0.8% one week later
12/19/84… S&P500 -0.8% one week later
10/19/84… S&P500 -1.6% one week later
Keep in mind that this setup doesn’t account for price action whatsoever, merely volume. The fact that the S&P was trading lower one week later in 21 out of 30 cases, or 70% of the time, is eye-opening considering the S&P’s 43% at-any-time odds of posting a lower close one week later. It’s clear that periods of unusually heavy trading activity tend to precede unusually weak market performance. Note that in only three cases out of the last thirty occurrences did the S&P manage to close up 1.5% or more one week later, suggesting limited upside potential over the next five trading days (which takes us to December 1st given the Thanksgiving holiday).
Noteworthy that Friday’s big gain coincided with options expiration, which as I’ve discussed in the past typically translates into a flat-to-down market over the following week. Listed in the table below is every instance over the past two decades in which the S&P closed up 1% or more on Expiration Friday…
S&P500 +1.0% on Expiration Friday
11/21/08… S&P500 ??? one week later
09/19/08… s&P500 -3.4% one week later
04/18/08… S&P500 +0.5% one week later
03/20/08… S&P500 -1.1% one week later
12/21/07… S&P500 -1.1% one week later
08/17/07… S&P500 +2.3% one week later
07/18/03… S&P500 +0.5% one week later
04/17/03… S&P500 +0.6% one week later
03/21/03… S&P500 -3.6% one week later
02/21/03… S&P500 -0.8% one week later
12/20/02… S&P500 -1.8% one week later
03/15/02… S&P500 -1.5% one week later
09/17/99… S&P500 -4.4% one week later
01/15/99… S&P500 -0.8% one week later
04/17/98… S&P500 -1.3% one week later
01/16/98… S&P500 -0.5% one week later
12/18/92… S&P500 -0.5% one week later
12/20/91… S&P500 +7.3% one week later
02/15/91… S&P500 -0.5% one week later
01/18/91… S&P500 +1.2% one week later
10/19/90… S&P500 -2.5% one week later
03/16/90… S&P500 -1.4% one week later
05/19/89… S&P500 +0.1% one week later
04/21/89… S&P500 +0.0% one week later
02/19/88… S&P500 +0.3% one week later
01/15/88… S&P500 -2.2% one week later
Note that the S&P was roughly twice as likely to trade lower the following week (five trading days). Out of 25 occurrences over the last two decades, only three saw the S&P gain 1% or more the following week. The other twenty times saw the S&P trade flat-to-down, suggesting a big move on Expiration Friday often means buying power is at or near a short-term exhaustion point.
The significant underperformance by the bank sector was another short-term negative. Despite the S&P tacking on over 6%, the Bank Index (BKX) barely managed an up day, settling up 0.5%. When the S&P gains 1%+ and doubles the performance of the BKX, it typically leads to a lower S&P close within the next two sessions. The last thirty occurrences are listed in the table below. Note that in 25 out of 30 cases, the S&P posted a subsequently lower close within the next sessions, significantly greater than the 63% at-any-time odds for a lower close within the next two days…
SPX Up 1%+, Doubles Performance of BKX
11/21/08… ???
11/07/08… Lower SPX close one session later
10/30/08… No lower close within two sessions
10/23/08… Lower SPX close one session later
10/20/08… Lower SPX close one session later
10/13/08… Lower SPX close one session later
06/13/08… Lower SPX close two sessions later
03/24/08… Lower SPX close two sessions later
02/13/08… Lower SPX close one session later
01/14/08… Lower SPX close one session later
10/31/07… Lower SPX close one session later
08/24/07… Lower SPX close one session later
08/22/07… Lower SPX close one session later
03/06/07… Lower SPX close one session later
05/25/06… Lower SPX close two sessions later
04/21/05… Lower SPX close one session later
11/12/03… Lower SPX close one session later
05/09/03… No lower close within two sessions
04/10/02… Lower SPX close one session later
10/03/01… Lower SPX close one session later
08/24/01… Lower SPX close one session later
07/25/01… No lower close within two sessions
06/05/01… Lower SPX close one session later
05/21/01… Lower SPX close one session later
04/25/01… No lower close within two sessions
04/19/01… Lower SPX close one session later
04/17/01… No lower close within two sessions
01/18/01… Lower SPX close one session later
12/27/00… Lower SPX close two sessions later
11/14/00… Lower SPX close two sessions later
08/07/00… Lower SPX close two sessions later
About the only positive sign on Friday, and it’s debatable as to whether it can really be considered “positive”, is that new 52-week lows declined slightly on both the NYSE and NASDAQ even as both indices touched fresh 52-week lows. However, even while new lows declined, they remain just below all-time highs, so it’s difficult to get too excited by a small pullback as long as this statistic remains in unprecedented territory. Historically, a drop in new 52-week lows that’s coincided with a one-month low in the S&P and NDX has often led to a higher S&P close 2-4 trading days later, but considering the setups on the board I’m not giving this a whole lot of weight at the moment. At best, this suggests conditions could be choppy this week…
NDX & SPX Hit One-Month Lows, New 52-week Lows Decline
11/21/08… ???
10/09/08… Higher SPX close two sessions later
10/07/08… Higher SPX close four sessions later
09/17/08… Higher SPX close two sessions later
06/12/08… Higher SPX close two sessions later
01/23/08… Higher SPX close three sessions later
01/07/08… Higher SPX close three sessions later
11/12/07… Higher SPX close two sessions later
11/09/07… Higher SPX close two sessions later
07/31/07… Higher SPX close two sessions later
05/18/06… Higher SPX close two sessions later
01/03/06… Higher SPX close two sessions later
08/24/05… Higher SPX close three sessions later
04/18/05… Higher SPX close three sessions later
08/13/04… Higher SPX close two sessions later
07/23/04… Higher SPX close two sessions later
09/29/03… Higher SPX close two sessions later
08/05/03… Higher SPX close two sessions later
12/31/02… Higher SPX close two sessions later
10/08/02… Higher SPX close two sessions later
09/20/02… Higher SPX close four sessions later
09/18/01… No higher SPX close 2-4 sessions later
03/20/01… Higher SPX close four sessions later
12/21/00… Higher SPX close two sessions later
10/13/00… Higher SPX close four sessions later
10/18/99… Higher SPX close two sessions later
09/01/98… Higher SPX close four sessions later
08/28/98… No higher SPX close 2-4 sessions later
06/24/93… Higher SPX close two sessions later
02/17/93… Higher SPX close two sessions later
06/18/92… Higher SPX close two sessions later