Institutional Participation Light During Friday’s Selloff
By
Rennie on Sunday, March 29th, 2009 at 7:38 pm
Major market averages settled with solid losses Friday, although institutional participation was light and NYSE volume (as well as SPY volume) hit its lowest level of the month. TICKscore settled at a neutral -1, Cumulative TICK -18,000. Breadth closed 3:1 negative w/ 86% down volume. It’s generally a short-term positive sign when you see a lopsided negative breadth session coincide with light volume. The table below lists each of the fifteen occurrences since 1990 in which breadth closed at least 2:1 negative and NYSE volume hit a one-month low. While performance has been somewhat mixed over the next 2-3 days, note that downside potential is typically limited to less than 1%…
NYSE Breadth 2:1 Negative, Volume at One-Month Low
03/27/09? S&P500 ???
08/25/08? S&P500 +1.2% two sessions later
08/18/08? S&P500 -0.1% three sessions later
08/27/07? S&P500 -0.6% three sessions later
03/27/07? S&P500 -0.5% three sessions later
04/08/05? S&P500 +0.6% two sessions later
11/11/02? S&P500 +0.7% two sessions later
03/25/02? S&P500 +1.1% two sessions later
07/26/99? S&P500 +1.3% two sessions later
02/12/99? S&P500 +0.6% three sessions later
05/18/98? S&P500 +1.2% two sessions later
07/05/96? S&P500 -0.2% three sessions later
11/11/94? S&P500 +0.6% two sessions later
03/21/94? S&P500 -0.0% two sessions later
08/30/90? S&P500 +1.4% two sessions later
08/10/90? S&P500 +1.2% two sessions later
The same can be said when SPY volume hits a two-week or better low on a 2:1 negative breadth day. That’s also happened a total of fifteen times since the SPY began trading, most of which led to a higher SPY close four sessions later…
SPY Volume at Two-Week Low, NYSE Breadth 2:1 Negative
03/27/09… SPY ??? four sessions later
03/24/09… SPY +1.2% four sessions later *open (ends Monday)
12/22/08… SPY -0.2% four sessions later
12/15/08… SPY +0.5% four sessions later
09/22/08… SPY -0.4% four sessions later
08/18/08… SPY +1.0% four sessions later
07/28/08… SPY +2.0% four sessions later
09/17/07… SPY +2.6% four sessions later
08/27/07… SPY +0.4% four sessions later
10/27/05… SPY +3.1% four sessions later
02/12/03… SPY +3.8% four sessions later
11/11/02… SPY +3.6% four sessions later
10/07/02… SPY +6.4% four sessions later
08/10/98… SPY -2.2% four sessions later
07/22/96… SPY +0.3% four sessions later
03/10/94… SPY +1.4% four sessions later
The Nasdaq100 posted a NR10 day Friday, meaning it was the narrowest range day of the past two weeks. Again, it’s generally a short-term positive sign when a lopsided negative breadth session is accompanied by a tight range…
Nasdaq NR10 Day & 2:1 Negative Breadth
03/27/09… Nasdaq ??? three sessions later
10/27/08… Nasdaq +14.0% three sessions later
05/23/08… Nasdaq +3.1% three sessions later
08/11/06… Nasdaq +5.6% three sessions later
07/21/06… Nasdaq +2.5% three sessions later
10/18/05… Nasdaq +1.7% three sessions later
05/10/04… Nasdaq +1.4% three sessions later
04/06/04… Nasdaq +0.2% three sessions later
12/13/02… Nasdaq +0.8% three sessions later
09/05/02… Nasdaq +7.3% three sessions later
08/03/98… Nasdaq -0.2% three sessions later
01/21/92… Nasdaq +5.3% three sessions later
Finally, I’d note that open interest in NASDAQ futures took a sizable leap during Thursday’s rally, jumping 11%. It’s generally been a short-term positive sign when open interest increases by 10% or more on a day when the futures close higher. Out of eighteen occurrences over the past decade, all but one led to a higher NDX settlement 3-5 trading days later. This tends to suggest we’ll see follow-through from Thursday’s rally in the coming days that will erase Friday’s selloff.
NASDAQ Futures Open Interest +10% On Up Day
03/26/09 +11% on up day…NDX ???
09/18/08 +16% on up day…No higher close 3-5 days later
09/16/08 +15% on up day…NDX up 3 days later
12/18/07 +16% on up day…NDX up 3 days later
09/19/07 +15% on up day…NDX up 3 days later
06/13/07 +11% on up day…NDX up 3 days later
09/14/06 +19% on up day…NDX up 4 days later
09/11/06 +14% on up day…NDX up 3 days later
12/09/04 +14% on up day…NDX up 3 days later
09/09/04 +15% on up day…NDX up 3 days later
12/11/03 +12% on up day…NDX up 5 days later
06/11/03 +13% on up day…NDX up 3 days later
03/08/00 +13% on up day…NDX up 3 days later
02/24/00 +14% on up day…NDX up 3 days later
11/18/99 +12% on up day…NDX up 4 days later
03/05/99 +15% on up day…NDX up 3 days later
01/28/99 +22% on up day…NDX up 4 days later
10/14/98 +12% on up day…NDX up 3 days later
03/31/98 +11% on up day…NDX up 3 days later
Taken separately, none of the setups mentioned above qualify for inclusion on the board given their small sample sizes. But taken together, one could definitely build an argument for higher prices heading into midweek.
Institutional Participation Light During Friday’s Selloff
By Rennie on Sunday, March 29th, 2009 at 7:38 pmMajor market averages settled with solid losses Friday, although institutional participation was light and NYSE volume (as well as SPY volume) hit its lowest level of the month. TICKscore settled at a neutral -1, Cumulative TICK -18,000. Breadth closed 3:1 negative w/ 86% down volume. It’s generally a short-term positive sign when you see a lopsided negative breadth session coincide with light volume. The table below lists each of the fifteen occurrences since 1990 in which breadth closed at least 2:1 negative and NYSE volume hit a one-month low. While performance has been somewhat mixed over the next 2-3 days, note that downside potential is typically limited to less than 1%…
NYSE Breadth 2:1 Negative, Volume at One-Month Low
03/27/09? S&P500 ???
08/25/08? S&P500 +1.2% two sessions later
08/18/08? S&P500 -0.1% three sessions later
08/27/07? S&P500 -0.6% three sessions later
03/27/07? S&P500 -0.5% three sessions later
04/08/05? S&P500 +0.6% two sessions later
11/11/02? S&P500 +0.7% two sessions later
03/25/02? S&P500 +1.1% two sessions later
07/26/99? S&P500 +1.3% two sessions later
02/12/99? S&P500 +0.6% three sessions later
05/18/98? S&P500 +1.2% two sessions later
07/05/96? S&P500 -0.2% three sessions later
11/11/94? S&P500 +0.6% two sessions later
03/21/94? S&P500 -0.0% two sessions later
08/30/90? S&P500 +1.4% two sessions later
08/10/90? S&P500 +1.2% two sessions later
The same can be said when SPY volume hits a two-week or better low on a 2:1 negative breadth day. That’s also happened a total of fifteen times since the SPY began trading, most of which led to a higher SPY close four sessions later…
SPY Volume at Two-Week Low, NYSE Breadth 2:1 Negative
03/27/09… SPY ??? four sessions later
03/24/09… SPY +1.2% four sessions later *open (ends Monday)
12/22/08… SPY -0.2% four sessions later
12/15/08… SPY +0.5% four sessions later
09/22/08… SPY -0.4% four sessions later
08/18/08… SPY +1.0% four sessions later
07/28/08… SPY +2.0% four sessions later
09/17/07… SPY +2.6% four sessions later
08/27/07… SPY +0.4% four sessions later
10/27/05… SPY +3.1% four sessions later
02/12/03… SPY +3.8% four sessions later
11/11/02… SPY +3.6% four sessions later
10/07/02… SPY +6.4% four sessions later
08/10/98… SPY -2.2% four sessions later
07/22/96… SPY +0.3% four sessions later
03/10/94… SPY +1.4% four sessions later
The Nasdaq100 posted a NR10 day Friday, meaning it was the narrowest range day of the past two weeks. Again, it’s generally a short-term positive sign when a lopsided negative breadth session is accompanied by a tight range…
Nasdaq NR10 Day & 2:1 Negative Breadth
03/27/09… Nasdaq ??? three sessions later
10/27/08… Nasdaq +14.0% three sessions later
05/23/08… Nasdaq +3.1% three sessions later
08/11/06… Nasdaq +5.6% three sessions later
07/21/06… Nasdaq +2.5% three sessions later
10/18/05… Nasdaq +1.7% three sessions later
05/10/04… Nasdaq +1.4% three sessions later
04/06/04… Nasdaq +0.2% three sessions later
12/13/02… Nasdaq +0.8% three sessions later
09/05/02… Nasdaq +7.3% three sessions later
08/03/98… Nasdaq -0.2% three sessions later
01/21/92… Nasdaq +5.3% three sessions later
Finally, I’d note that open interest in NASDAQ futures took a sizable leap during Thursday’s rally, jumping 11%. It’s generally been a short-term positive sign when open interest increases by 10% or more on a day when the futures close higher. Out of eighteen occurrences over the past decade, all but one led to a higher NDX settlement 3-5 trading days later. This tends to suggest we’ll see follow-through from Thursday’s rally in the coming days that will erase Friday’s selloff.
NASDAQ Futures Open Interest +10% On Up Day
03/26/09 +11% on up day…NDX ???
09/18/08 +16% on up day…No higher close 3-5 days later
09/16/08 +15% on up day…NDX up 3 days later
12/18/07 +16% on up day…NDX up 3 days later
09/19/07 +15% on up day…NDX up 3 days later
06/13/07 +11% on up day…NDX up 3 days later
09/14/06 +19% on up day…NDX up 4 days later
09/11/06 +14% on up day…NDX up 3 days later
12/09/04 +14% on up day…NDX up 3 days later
09/09/04 +15% on up day…NDX up 3 days later
12/11/03 +12% on up day…NDX up 5 days later
06/11/03 +13% on up day…NDX up 3 days later
03/08/00 +13% on up day…NDX up 3 days later
02/24/00 +14% on up day…NDX up 3 days later
11/18/99 +12% on up day…NDX up 4 days later
03/05/99 +15% on up day…NDX up 3 days later
01/28/99 +22% on up day…NDX up 4 days later
10/14/98 +12% on up day…NDX up 3 days later
03/31/98 +11% on up day…NDX up 3 days later
Taken separately, none of the setups mentioned above qualify for inclusion on the board given their small sample sizes. But taken together, one could definitely build an argument for higher prices heading into midweek.