A Telling Clue from Today’s Trading (or Lack Thereof) in SPY
By
Rennie on Tuesday, May 19th, 2009 at 10:39 pm
VXO closed at 28.62 Tuesday, keeping the volatility index short-term oversold. That puts the spotlight on today’s OEX low at 423.99 – a break of that level on Wednesday (or Thursday) would trigger an intraday sell and indicate we’ll see a close below that level. See my May 5th column for a recent track record.
Adding to the short-term negative outlook, volume was light across the board, but particularly so for the S&P500 tracking stock SPY. Just over 200 million shares traded hands, the lowest SPY volume we’ve seen all year. Because this ETF is heavily traded by institutions, we can infer that many institutional investors have already begun taking off for the upcoming Memorial Day break. Historically, when the SPY hits a five-day high as it did Tuesday on the lowest volume in two months, it’s a sell signal for the following session. That last thirty times this has occurred are listed in the table below…
SPY Hits Five-Day High, SPY Volume at Two-Month Low
05/19/09… SPY ??? next session
04/13/09… SPY -1.7% next session
11/28/08… SPY -8.9% next session
04/28/08… SPY -0.4% next session
12/24/07… SPY +0.2% next session
07/03/07… SPY -0.1% next session
07/03/06… SPY -0.6% next session
05/27/05… SPY -0.6% next session
05/26/05… SPY +0.2% next session
11/26/04… SPY -0.5% next session
08/27/04… SPY -0.8% next session
08/26/04… SPY +0.3% next session
11/28/03… SPY +1.1% next session (*)
11/29/02… SPY +0.2% next session
11/18/02… SPY -0.1% next session
05/10/01… SPY -0.7% next session
07/03/00… SPY -1.8% next session
05/15/00… SPY +1.0% next session (*)
11/15/99… SPY +0.8% next session (*)
07/16/99… SPY -0.7% next session
03/18/99… SPY -1.9% next session
03/08/99… SPY -0.2% next session
12/24/98… SPY -0.3% next session
12/07/98… SPY -0.5% next session
11/09/98… SPY -0.7% next session
07/20/98… SPY -1.7% next session
03/18/98… SPY +0.3% next session
05/23/97… SPY +0.4% next session
05/15/97… SPY -1.4% next session
03/11/97… SPY -0.9% next session
12/27/96… SPY -0.9% next session
Note that in 21 out of 30 cases, or 70% of the time, the SPY posted a lower close the following session. That’s significantly above the 47% at-any-time odds for a lower SPY close the following session in the same time frame. In only three cases out of thirty did it manage a gain of 0.5% or more, indicating upside potential is limited when institutional participation is so light.
A Telling Clue from Today’s Trading (or Lack Thereof) in SPY
By Rennie on Tuesday, May 19th, 2009 at 10:39 pmVXO closed at 28.62 Tuesday, keeping the volatility index short-term oversold. That puts the spotlight on today’s OEX low at 423.99 – a break of that level on Wednesday (or Thursday) would trigger an intraday sell and indicate we’ll see a close below that level. See my May 5th column for a recent track record.
Adding to the short-term negative outlook, volume was light across the board, but particularly so for the S&P500 tracking stock SPY. Just over 200 million shares traded hands, the lowest SPY volume we’ve seen all year. Because this ETF is heavily traded by institutions, we can infer that many institutional investors have already begun taking off for the upcoming Memorial Day break. Historically, when the SPY hits a five-day high as it did Tuesday on the lowest volume in two months, it’s a sell signal for the following session. That last thirty times this has occurred are listed in the table below…
SPY Hits Five-Day High, SPY Volume at Two-Month Low
05/19/09… SPY ??? next session
04/13/09… SPY -1.7% next session
11/28/08… SPY -8.9% next session
04/28/08… SPY -0.4% next session
12/24/07… SPY +0.2% next session
07/03/07… SPY -0.1% next session
07/03/06… SPY -0.6% next session
05/27/05… SPY -0.6% next session
05/26/05… SPY +0.2% next session
11/26/04… SPY -0.5% next session
08/27/04… SPY -0.8% next session
08/26/04… SPY +0.3% next session
11/28/03… SPY +1.1% next session (*)
11/29/02… SPY +0.2% next session
11/18/02… SPY -0.1% next session
05/10/01… SPY -0.7% next session
07/03/00… SPY -1.8% next session
05/15/00… SPY +1.0% next session (*)
11/15/99… SPY +0.8% next session (*)
07/16/99… SPY -0.7% next session
03/18/99… SPY -1.9% next session
03/08/99… SPY -0.2% next session
12/24/98… SPY -0.3% next session
12/07/98… SPY -0.5% next session
11/09/98… SPY -0.7% next session
07/20/98… SPY -1.7% next session
03/18/98… SPY +0.3% next session
05/23/97… SPY +0.4% next session
05/15/97… SPY -1.4% next session
03/11/97… SPY -0.9% next session
12/27/96… SPY -0.9% next session
Note that in 21 out of 30 cases, or 70% of the time, the SPY posted a lower close the following session. That’s significantly above the 47% at-any-time odds for a lower SPY close the following session in the same time frame. In only three cases out of thirty did it manage a gain of 0.5% or more, indicating upside potential is limited when institutional participation is so light.