Looking to the Treasury Market for Short-term Clues
By
Rennie on Monday, February 16th, 2009 at 8:42 pm
One supportive factor for the stock market on a very short-term basis was Friday’s selloff in treasury futures, with the 30-year contract closing down over 2% and the 10-year off more than 1%. The table below lists each of the last thirty instances in which the S&P500 posted a higher high, higher low and lower close that coincided with a 0.5%+ drop in 10-year treasury futures…
SPX Higher High & Low, Lower Close, 10-year Futures -0.5%
02/13/09… S&P500 ??? next session
05/13/08… S&P500 +0.4% next session
02/19/08… S&P500 +0.8% next session
12/07/07… S&P500 +0.8% next session
06/10/05… S&P500 +0.2% next session
09/03/04… S&P500 +0.7% next session
03/26/04… S&P500 +1.3% next session
11/28/03… S&P500 +1.1% next session
10/30/03… S&P500 +0.4% next session
08/20/03… S&P500 +0.3% next session
08/13/03… S&P500 +0.7% next session
07/28/03… S&P500 -0.7% next session
03/07/02… S&P500 +0.6% next session
11/20/01… S&P500 -0.5% next session
09/04/01… S&P500 -0.1% next session
05/10/01… S&P500 -0.8% next session
04/16/01… S&P500 +1.0% next session
03/02/01… S&P500 +0.6% next session
01/12/01… S&P500 +0.6% next session
10/05/99… S&P500 +1.9% next session
09/29/99… S&P500 +1.1% next session
08/06/99… S&P500 -0.2% next session
05/06/99… S&P500 +1.0% next session
02/01/99… S&P500 -0.9% next session
01/25/96… S&P500 +0.7% next session
06/28/94… S&P500 +0.4% next session
06/15/94… S&P500 +0.3% next session
02/23/94… S&P500 -1.4% next session
04/16/92… S&P500 -1.4% next session
01/23/92… S&P500 +0.1% next session
10/17/91… S&P500 +0.2% next session
Note that in 22 out of 30 occurrences, or 73% of the time, the S&P closed higher the following session, significantly better than the 53% at-any-time odds. Only twice did it settle down more than 1% the next session. That’s a noteworthy point considering the S&P is currently off just over 1% in overnight trading.
If we look for the same price pattern of a higher high, higher low and lower close for the S&P that coincides with a 0.5%+ rally in the 10-year futures, we find 27 occurrences in the same time frame. Of those, only 13 (48%) led to a higher S&P close the next session. So on a very short-term basis, it was a positive sign for stocks to see treasurys decline Friday.
Beyond Tuesday, there’s little to get excited about. TICKscore settled at -15 Friday, pushing the Cumulative TICKscore indicator down to its mid-January low as institutions remain sidelined. Cumulative TICK settled at -18,800. Note that the 20-day moving average of the Cumulative TICK is trending higher, but only due to the fact that extreme negative readings from mid-January are falling off the average. That won’t be the case later in the week. The Nasdaq/NYSE Volume Ratio continues to trade on the high side, settling at 1.61 Friday, the third consecutive reading over 1.50. While there’s not a lot to lean on at the moment, the combination of active speculative participation and light institutional participation leaves the market in a generally vulnerable position.
Looking to the Treasury Market for Short-term Clues
By Rennie on Monday, February 16th, 2009 at 8:42 pmOne supportive factor for the stock market on a very short-term basis was Friday’s selloff in treasury futures, with the 30-year contract closing down over 2% and the 10-year off more than 1%. The table below lists each of the last thirty instances in which the S&P500 posted a higher high, higher low and lower close that coincided with a 0.5%+ drop in 10-year treasury futures…
SPX Higher High & Low, Lower Close, 10-year Futures -0.5%
02/13/09… S&P500 ??? next session
05/13/08… S&P500 +0.4% next session
02/19/08… S&P500 +0.8% next session
12/07/07… S&P500 +0.8% next session
06/10/05… S&P500 +0.2% next session
09/03/04… S&P500 +0.7% next session
03/26/04… S&P500 +1.3% next session
11/28/03… S&P500 +1.1% next session
10/30/03… S&P500 +0.4% next session
08/20/03… S&P500 +0.3% next session
08/13/03… S&P500 +0.7% next session
07/28/03… S&P500 -0.7% next session
03/07/02… S&P500 +0.6% next session
11/20/01… S&P500 -0.5% next session
09/04/01… S&P500 -0.1% next session
05/10/01… S&P500 -0.8% next session
04/16/01… S&P500 +1.0% next session
03/02/01… S&P500 +0.6% next session
01/12/01… S&P500 +0.6% next session
10/05/99… S&P500 +1.9% next session
09/29/99… S&P500 +1.1% next session
08/06/99… S&P500 -0.2% next session
05/06/99… S&P500 +1.0% next session
02/01/99… S&P500 -0.9% next session
01/25/96… S&P500 +0.7% next session
06/28/94… S&P500 +0.4% next session
06/15/94… S&P500 +0.3% next session
02/23/94… S&P500 -1.4% next session
04/16/92… S&P500 -1.4% next session
01/23/92… S&P500 +0.1% next session
10/17/91… S&P500 +0.2% next session
Note that in 22 out of 30 occurrences, or 73% of the time, the S&P closed higher the following session, significantly better than the 53% at-any-time odds. Only twice did it settle down more than 1% the next session. That’s a noteworthy point considering the S&P is currently off just over 1% in overnight trading.
If we look for the same price pattern of a higher high, higher low and lower close for the S&P that coincides with a 0.5%+ rally in the 10-year futures, we find 27 occurrences in the same time frame. Of those, only 13 (48%) led to a higher S&P close the next session. So on a very short-term basis, it was a positive sign for stocks to see treasurys decline Friday.
Beyond Tuesday, there’s little to get excited about. TICKscore settled at -15 Friday, pushing the Cumulative TICKscore indicator down to its mid-January low as institutions remain sidelined. Cumulative TICK settled at -18,800. Note that the 20-day moving average of the Cumulative TICK is trending higher, but only due to the fact that extreme negative readings from mid-January are falling off the average. That won’t be the case later in the week. The Nasdaq/NYSE Volume Ratio continues to trade on the high side, settling at 1.61 Friday, the third consecutive reading over 1.50. While there’s not a lot to lean on at the moment, the combination of active speculative participation and light institutional participation leaves the market in a generally vulnerable position.