Relative Outperformance by the OEX on a Down Day for the Market

Stock indices closed lower Thursday in a roller coaster session. Both S&P and Nasdaq futures posted higher highs and higher lows, noteworthy considering the negative market internals. Breadth closed near 4:1 negative territory on the NYSE and near 3:1 negative on the NASDAQ. When the NDX has posted higher highs and higher lows on a day when declining issues outnumber advancers by more than a 3:2 margin, it’s generally been a positive indication for the short-term. The last thirty occurrences are listed in the table below…

NDX Higher High & Higher Low Despite 3:2 Neg Breadth
01/22/09… NDX ??? two sessions later
12/09/08… NDX -2.6% two sessions later
12/04/08… NDX +8.6% two sessions later
10/14/08… NDX -3.8% two sessions later
08/07/08… NDX +3.3% two sessions later
06/17/08… NDX +0.5% two sessions later
03/19/08… NDX +5.8% two sessions later
02/28/08… NDX -3.4% two sessions later
02/21/08… NDX +1.1% two sessions later
10/30/07… NDX -0.5% two sessions later
09/24/07… NDX +1.5% two sessions later
07/16/07… NDX +0.5% two sessions later
05/17/07… NDX +1.4% two sessions later
05/14/07… NDX +0.2% two sessions later
11/09/06… NDX +1.6% two sessions later
10/20/06… NDX +0.3% two sessions later
08/09/06… NDX +0.1% two sessions later
07/27/06… NDX +2.1% two sessions later
04/03/06… NDX +1.5% two sessions later
10/20/05… NDX +2.3% two sessions later
07/21/05… NDX -0.5% two sessions later
05/12/05… NDX +1.8% two sessions later
04/08/05… NDX +0.2% two sessions later
01/13/05… NDX +1.8% two sessions later
10/19/04… NDX +2.2% two sessions later
10/13/04… NDX -0.2% two sessions later
10/07/04… NDX -1.2% two sessions later
09/08/04… NDX +2.6% two sessions later
05/07/04… NDX +1.1% two sessions later
03/02/04… NDX +0.6% two sessions later
02/12/04… NDX +0.4% two sessions later

Note that in 23 out of 30 cases, or 77% of the time, the NDX closed at a subsequently higher level two sessions later. During the same period of time, the Nasdaq’s at-any-time odds of closing higher two sessions later was only 50%, so even with the mixed performance recently, this tilts the odds in favor of a rebound heading into early next week.

Also interesting to note the outperformance of the OEX (S&P100) relative to the SPX, indicating relative strength among large cap issues. While they both closed down in excess of 1%, the OEX outperformed by more than 0.3%. Every time this same pattern has occurred since 1983 (when the OEX began trading) is listed in the table below…

OEX & SPX Down 1%+, OEX outperforms by >0.3%
01/22/09… ???
01/20/09… Higher SPX close one session later
01/12/09… Higher SPX close one session later
12/22/08… Higher SPX close three sessions later
12/11/08… Higher SPX close one session later
12/01/08… Higher SPX close one session later
11/20/08… Higher SPX close one session later
11/14/08… No higher SPX close within three sessions
11/11/08… Higher SPX close two sessions later
10/27/08… Higher SPX close one session later
10/22/08… Higher SPX close one session later
10/15/08… Higher SPX close one session later
10/02/08… No higher SPX close within three sessions
09/09/08… Higher SPX close one session later
07/02/08… Higher SPX close one session later
12/11/07… Higher SPX close one session later
10/09/02… Higher SPX close one session later
03/13/97… Higher SPX close one session later
04/02/93… Higher SPX close one session later
09/21/87… Higher SPX close one session later
04/14/87… Higher SPX close one session later
04/13/87… Higher SPX close three sessions later
11/18/86… Higher SPX close one session later

While there have only been 22 occurrences since 1983, it’s noteworthy that in 17 instances the SPX posted a higher close the following session.

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

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