20-day Moving Average of NYSE Down Volume in Bullish Territory
By
Rennie on Thursday, January 8th, 2009 at 11:59 pm
Interesting to note the put/call open interest ratio for index options is once again running into resistance around the 1.30 level. This has been a pivotal area in recent years, with readings above 1.30 reflecting heavy index put volume that’s typically been a bullish sign for stocks. It briefly moved above this level on December 30th before falling back under at the start of 2009.
The 20-day moving average of NYSE Down Volume (declining volume/total volume) fell below the 40% level back on December 19th. That’s a positive sign from a longer-term perspective, as it reflects a real absence of selling pressure during the 20-day stretch from November 21st to December 19th. When selling pressure has been this light in the past, stocks have typically remained on firm footing over the next two months. The table below lists each of the last thirty instances in which the 20-day moving average of NYSE Down Volume fell below 40% for the first time in at least a month…
20day Average of Down Volume <40% First Time in a Month
12/19/08… S&P500 ??? two months later
04/16/07… S&P500 +1.7% two months later
11/25/05… S&P500 -0.1% two months later
11/17/04… S&P500 +0.2% two months later
09/07/04… S&P500 +0.8% two months later
01/06/04… S&P500 +2.8% two months later
09/02/03… S&P500 +2.4% two months later
05/09/03… S&P500 +8.0% two months later
11/06/02… S&P500 +0.6% two months later
11/02/98… S&P500 +10.8% two months later
02/09/98… S&P500 +9.8% two months later
05/05/97… S&P500 +7.3% two months later
03/11/97… S&P500 +0.5% two months later
01/10/97… S&P500 +7.1% two months later
11/18/96… S&P500 +4.4% two months later
08/12/96… S&P500 +5.2% two months later
05/09/96… S&P500 +1.1% two months later
02/01/96… S&P500 +1.1% two months later
11/24/95… S&P500 +2.1% two months later
01/09/95… S&P500 +4.6% two months later
07/25/94… S&P500 +2.0% two months later
05/19/94… S&P500 -0.3% two months later
12/27/93… S&P500 +0.2% two months later
10/14/93… S&P500 -0.6% two months later
08/17/93… S&P500 +1.8% two months later
05/20/93… S&P500 -1.0% two months later
03/16/93… S&P500 -1.5% two months later
10/30/92… S&P500 +4.6% two months later
09/22/92… S&P500 +0.5% two months later
07/16/92… S&P500 +0.5% two months later
05/06/92… S&P500 -1.2% two months later
Note that in 24 out of the last 30 occurrences, or 80% of the time, the S&P was trading at a higher level two months later. That’s significantly greater than the 62% at-any-time odds. Impressively, the S&P was never down more than 1.5% two months (forty trading days) later, suggesting the SPX 850-875 area could turn into longer-term support heading into mid-February.
20-day Moving Average of NYSE Down Volume in Bullish Territory
By Rennie on Thursday, January 8th, 2009 at 11:59 pmInteresting to note the put/call open interest ratio for index options is once again running into resistance around the 1.30 level. This has been a pivotal area in recent years, with readings above 1.30 reflecting heavy index put volume that’s typically been a bullish sign for stocks. It briefly moved above this level on December 30th before falling back under at the start of 2009.
The 20-day moving average of NYSE Down Volume (declining volume/total volume) fell below the 40% level back on December 19th. That’s a positive sign from a longer-term perspective, as it reflects a real absence of selling pressure during the 20-day stretch from November 21st to December 19th. When selling pressure has been this light in the past, stocks have typically remained on firm footing over the next two months. The table below lists each of the last thirty instances in which the 20-day moving average of NYSE Down Volume fell below 40% for the first time in at least a month…
20day Average of Down Volume <40% First Time in a Month
12/19/08… S&P500 ??? two months later
04/16/07… S&P500 +1.7% two months later
11/25/05… S&P500 -0.1% two months later
11/17/04… S&P500 +0.2% two months later
09/07/04… S&P500 +0.8% two months later
01/06/04… S&P500 +2.8% two months later
09/02/03… S&P500 +2.4% two months later
05/09/03… S&P500 +8.0% two months later
11/06/02… S&P500 +0.6% two months later
11/02/98… S&P500 +10.8% two months later
02/09/98… S&P500 +9.8% two months later
05/05/97… S&P500 +7.3% two months later
03/11/97… S&P500 +0.5% two months later
01/10/97… S&P500 +7.1% two months later
11/18/96… S&P500 +4.4% two months later
08/12/96… S&P500 +5.2% two months later
05/09/96… S&P500 +1.1% two months later
02/01/96… S&P500 +1.1% two months later
11/24/95… S&P500 +2.1% two months later
01/09/95… S&P500 +4.6% two months later
07/25/94… S&P500 +2.0% two months later
05/19/94… S&P500 -0.3% two months later
12/27/93… S&P500 +0.2% two months later
10/14/93… S&P500 -0.6% two months later
08/17/93… S&P500 +1.8% two months later
05/20/93… S&P500 -1.0% two months later
03/16/93… S&P500 -1.5% two months later
10/30/92… S&P500 +4.6% two months later
09/22/92… S&P500 +0.5% two months later
07/16/92… S&P500 +0.5% two months later
05/06/92… S&P500 -1.2% two months later
Note that in 24 out of the last 30 occurrences, or 80% of the time, the S&P was trading at a higher level two months later. That’s significantly greater than the 62% at-any-time odds. Impressively, the S&P was never down more than 1.5% two months (forty trading days) later, suggesting the SPX 850-875 area could turn into longer-term support heading into mid-February.