Second 80%+ Down Volume Session in Three Days Points to a Higher S&P Close

TICKscore settled at -58, Cumulative TICK -71,500 as institutions remained
better sellers Monday. Breadth settled in 3:1 negative territory for the
second day in a row, and volume was also down for the second day in a row.
Volatility was up again, but not to the degree seen on Friday.

It's worth noting that Monday marked the second consecutive session in which
volume associated with declining issues accounted for more than 80% of total
NYSE volume. Historically, two such lopsided sessions within a three-day time
span has typically meant the market is short-term oversold, and the S&P has a
good track record of closing at a subsequently higher level within the next
two days. There have been 43 such instances since 1990, all of which are
listed in the table below along with the S&P's performance over the next 1-2
sessions. Note that to qualify for inclusion, the two 80%+ down volume days
must have occurred within three sessions, and neither session could be
involved in more than one signal.

Two 80%+ Down Volume Days in Three Sessions
11/17/08... ???
11/12/08... Higher S&P close one session later
11/06/08... Higher S&P close one session later
10/24/08... Higher S&P close two sessions later
10/09/08... Higher S&P close two sessions later
10/06/08... No higher close in next two sessions
09/17/08... Higher S&P close one session later
05/23/08... Higher S&P close one session later
03/10/08... Higher S&P close one session later
01/17/08... No higher close in next two sessions
12/17/07... Higher S&P close one session later
11/21/07... Higher S&P close one session later
09/07/07... Higher S&P close two sessions later
08/15/07... Higher S&P close one session later
07/27/07... Higher S&P close one session later
07/24/07... Higher S&P close one session later
06/07/07... Higher S&P close one session later
03/05/07... Higher S&P close one session later
06/13/06... Higher S&P close one session later
05/12/06... Higher S&P close one session later
04/15/05... Higher S&P close one session later
08/06/04... Higher S&P close one session later
05/10/04... Higher S&P close one session later
03/15/04... Higher S&P close one session later
03/10/04... No higher close in next two sessions
09/24/03... No higher close in next two sessions
01/27/03... Higher S&P close one session later
11/11/02... Higher S&P close one session later
10/09/02... Higher S&P close one session later
10/04/02... No higher close in next two sessions
09/19/02... Higher S&P close one session later
07/22/02... Higher S&P close two sessions later
07/10/02... Higher S&P close one session later
03/14/01... Higher S&P close one session later
10/01/98... Higher S&P close one session later
08/31/98... Higher S&P close one session later
06/15/98... Higher S&P close one session later
10/27/97... Higher S&P close one session later
03/31/97... Higher S&P close one session later
07/15/96... Higher S&P close two sessions later
11/19/91... Higher S&P close two sessions later
09/24/90... Higher S&P close one session later
08/23/90... Higher S&P close one session later
08/06/90... Higher S&P close one session later

Note that in 38 out of 43 occurrences, or 88% of the time, the S&P closed at a
higher level within the next two sessions. That's significantly better than
the 66% at-any-time odds of a higher S&P close within two days.

Beyond the short-term, it looks like we'll have virtually nothing on the board
by midweek.

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

 Print This Post