What to Make of Friday’s Spike in Volume
By
Rennie on Sunday, May 31st, 2009 at 7:06 pm
Hard not to notice the upside surge in the S&P during the last hour of Friday’s session, and more specifically the last five minutes. Measuring from the SPX price at 3:55pm ET, the S&P500 gained over 0.5% in the final five minutes of trade. A quick scan of historical intraday data over the last five years reveals that this sort of action has occurred quite a bit over the last nine months, but never occurred in the previous five years. We started to see such spikes in the final minutes of trade beginning in September of last year, just before the market began tumbling. Since then we’ve seen a gain of 0.5% in the final five minutes a total of eighteen times. Looking out over the next 1, 3 and 5 days (see table below), no clear pattern emerges regarding market direction…
S&P500 Gains 0.5%+ in Final Five Minutes of Session
09/11/08… S&P500 +0.2%, -2.8%, -3.4%
10/13/08… S&P500 -0.5%, -5.7%, -1.8%
10/20/08… S&P500 -3.1%, -7.8%, -13.9%
10/23/08… S&P500 -3.5%, +3.6%, +5.1%
10/28/08… S&P500 -1.1%, +3.0%, +6.9%
10/30/08… S&P500 +1.5%, +5.4%, -5.2%
10/31/08… S&P500 -0.3%, -1.7%, -3.9%
11/07/08… S&P500 -1.3%, -8.5%, -6.2%
11/13/08… S&P500 -4.2%, -5.7%, -17.4%
11/21/08… S&P500 +6.5%, +11.0%, +2.0%
12/02/08… S&P500 +2.6%, +3.2%, +4.7%
12/04/08… S&P500 +3.7%, +5.1%, +3.4%
12/05/08… S&P500 +3.8%, +2.6%, +0.4%
12/12/08… S&P500 -1.3%, +2.8%, +0.9%
12/22/08… S&P500 -1.0%, +0.1%, +2.2%
03/17/09… S&P500 +2.1%, -1.2%, +3.6%
03/25/09… S&P500 +2.3%, -3.2%, -0.3%
05/29/09… S&P500 ???, ???, ???
I think the only real takeaway from Friday’s last minute move is that we remain in a period of abnormal market conditions.
The late-day surge came on heavy volume, sending total NYSE volume up to 1.77 billion shares, the heaviest volume in over two weeks and a 30% increase from the day before. That’s a noteable development considering the S&P500 closed at its highest level in ten days. When the S&P closes at a two-week or better high on a 25%+ spike in NYSE volume, it’s a good indication of limited upside potential the following sesssion. The last thirty times this has occurred are listed in the table below…
S&P500 Closes at Ten-Day High on 25%+ Spike in Volume
05/29/09… S&P500 ??? next session
05/26/09… S&P500 -1.9% next session
05/04/09… S&P500 -0.4% next session
04/09/09… S&P500 +0.3% next session
03/18/09… S&P500 -1.3% next session
01/28/09… S&P500 -3.3% next session
12/16/08… S&P500 -1.0% next session
11/04/08… S&P500 -5.3% next session
07/22/08… S&P500 +0.4% next session
12/26/07… S&P500 -1.4% next session
11/30/07… S&P500 -0.6% next session
10/31/07… S&P500 -2.6% next session
10/09/07… S&P500 -0.2% next session
09/18/07… S&P500 +0.6% next session (*)
07/05/07… S&P500 +0.3% next session
12/15/06… S&P500 -0.3% next session
09/15/06… S&P500 +0.1% next session
06/29/06… S&P500 -0.2% next session
01/03/06… S&P500 +0.4% next session
12/13/05… S&P500 +0.4% next session
07/19/05… S&P500 +0.5% next session
06/17/05… S&P500 -0.1% next session
09/17/04… S&P500 -0.6% next session
09/07/04… S&P500 -0.5% next session
05/25/04… S&P500 +0.2% next session
01/05/04… S&P500 +0.1% next session
12/29/03… S&P500 +0.0% next session
12/01/03… S&P500 -0.3% next session
10/07/03… S&P500 -0.5% next session
09/02/03… S&P500 +0.4% next session
08/18/03… S&P500 +0.3% next session
The odds of a higher or lower close the next day is roughly 50/50. Two-thirds of the time the S&P settled within 0.5% of the previous day’s close, suggesting we may see somewhat range-bound trade. But if there is going to be a move on Monday, it’s likely to be to the downside. Note that upside potential is invariably limited the next session (which would be Monday in this case). In only one case out of thirty did the S&P gain more than 0.5%, and even that was only a 0.6% gain. Coversely, the S&P fell more than 0.5% a total of nine times, and in a number of recent occurrences it lost 2% or more. This tends to imply any early strength on Monday could represent a selling opportunity.
What to Make of Friday’s Spike in Volume
By Rennie on Sunday, May 31st, 2009 at 7:06 pmHard not to notice the upside surge in the S&P during the last hour of Friday’s session, and more specifically the last five minutes. Measuring from the SPX price at 3:55pm ET, the S&P500 gained over 0.5% in the final five minutes of trade. A quick scan of historical intraday data over the last five years reveals that this sort of action has occurred quite a bit over the last nine months, but never occurred in the previous five years. We started to see such spikes in the final minutes of trade beginning in September of last year, just before the market began tumbling. Since then we’ve seen a gain of 0.5% in the final five minutes a total of eighteen times. Looking out over the next 1, 3 and 5 days (see table below), no clear pattern emerges regarding market direction…
S&P500 Gains 0.5%+ in Final Five Minutes of Session
09/11/08… S&P500 +0.2%, -2.8%, -3.4%
10/13/08… S&P500 -0.5%, -5.7%, -1.8%
10/20/08… S&P500 -3.1%, -7.8%, -13.9%
10/23/08… S&P500 -3.5%, +3.6%, +5.1%
10/28/08… S&P500 -1.1%, +3.0%, +6.9%
10/30/08… S&P500 +1.5%, +5.4%, -5.2%
10/31/08… S&P500 -0.3%, -1.7%, -3.9%
11/07/08… S&P500 -1.3%, -8.5%, -6.2%
11/13/08… S&P500 -4.2%, -5.7%, -17.4%
11/21/08… S&P500 +6.5%, +11.0%, +2.0%
12/02/08… S&P500 +2.6%, +3.2%, +4.7%
12/04/08… S&P500 +3.7%, +5.1%, +3.4%
12/05/08… S&P500 +3.8%, +2.6%, +0.4%
12/12/08… S&P500 -1.3%, +2.8%, +0.9%
12/22/08… S&P500 -1.0%, +0.1%, +2.2%
03/17/09… S&P500 +2.1%, -1.2%, +3.6%
03/25/09… S&P500 +2.3%, -3.2%, -0.3%
05/29/09… S&P500 ???, ???, ???
I think the only real takeaway from Friday’s last minute move is that we remain in a period of abnormal market conditions.
The late-day surge came on heavy volume, sending total NYSE volume up to 1.77 billion shares, the heaviest volume in over two weeks and a 30% increase from the day before. That’s a noteable development considering the S&P500 closed at its highest level in ten days. When the S&P closes at a two-week or better high on a 25%+ spike in NYSE volume, it’s a good indication of limited upside potential the following sesssion. The last thirty times this has occurred are listed in the table below…
S&P500 Closes at Ten-Day High on 25%+ Spike in Volume
05/29/09… S&P500 ??? next session
05/26/09… S&P500 -1.9% next session
05/04/09… S&P500 -0.4% next session
04/09/09… S&P500 +0.3% next session
03/18/09… S&P500 -1.3% next session
01/28/09… S&P500 -3.3% next session
12/16/08… S&P500 -1.0% next session
11/04/08… S&P500 -5.3% next session
07/22/08… S&P500 +0.4% next session
12/26/07… S&P500 -1.4% next session
11/30/07… S&P500 -0.6% next session
10/31/07… S&P500 -2.6% next session
10/09/07… S&P500 -0.2% next session
09/18/07… S&P500 +0.6% next session (*)
07/05/07… S&P500 +0.3% next session
12/15/06… S&P500 -0.3% next session
09/15/06… S&P500 +0.1% next session
06/29/06… S&P500 -0.2% next session
01/03/06… S&P500 +0.4% next session
12/13/05… S&P500 +0.4% next session
07/19/05… S&P500 +0.5% next session
06/17/05… S&P500 -0.1% next session
09/17/04… S&P500 -0.6% next session
09/07/04… S&P500 -0.5% next session
05/25/04… S&P500 +0.2% next session
01/05/04… S&P500 +0.1% next session
12/29/03… S&P500 +0.0% next session
12/01/03… S&P500 -0.3% next session
10/07/03… S&P500 -0.5% next session
09/02/03… S&P500 +0.4% next session
08/18/03… S&P500 +0.3% next session
The odds of a higher or lower close the next day is roughly 50/50. Two-thirds of the time the S&P settled within 0.5% of the previous day’s close, suggesting we may see somewhat range-bound trade. But if there is going to be a move on Monday, it’s likely to be to the downside. Note that upside potential is invariably limited the next session (which would be Monday in this case). In only one case out of thirty did the S&P gain more than 0.5%, and even that was only a 0.6% gain. Coversely, the S&P fell more than 0.5% a total of nine times, and in a number of recent occurrences it lost 2% or more. This tends to imply any early strength on Monday could represent a selling opportunity.