Expansion in New Lows Suggests Thursday’s Rally is on Shaky Ground
By
Rennie on Friday, July 17th, 2009 at 2:17 am
The NYSE confirmed some major changes to its program trading report Thursday. While they tout greater accuracy, the key quote is “data reported before and after this change will not be comparable.” In other words, this past week will be the last data point on the chart of principal program trading activity that we’ve maintained for years. There will be little reason to chart what the exchange reports from this point forward, because it won’t relate to any of the previous data. This is unfortunate because the press release in its current form provided useful and unique information. With the new data not comparable, it’s essentially useless for many years until a history is rebuilt.
Market averages settled higher Thursday, with the Nasdaq surging to its highest close of the year and the S&P testing the upper end of its recent trading range. Despite the strong finish, it’s noteworthy that stocks were under selling pressure for much of the day. Market internals didn’t turn positive until the last two hours, and it shows in the light percentage of ‘up volume’ on the NYSE (62%) and the increase in new 52-week lows on both the NYSE and NASDAQ. The bump in new lows is particularly interesting given that the S&P and Nasdaq both hit fresh one-month highs. The last thirty times this same pattern has occurred are listed in the table below, along with the S&P’s performance three days later. Note that in only five cases out of the last thirty, or 17% of the time did the S&P500 gain more than 0.5% three days later. That’s significantly worse than the S&P’s 38% at-any-time odds for a gain of more than 0.5% over any three-day period, suggesting limited upside potential heading into Tuesday of next week…
SPX & NDX Both Hit a One-Month High,
New 52-week Lows Expand on Both Exchanges
07/16/09… S&P500 ??? three sessions later
04/30/09… S&P500 +3.6% three sessions later (*)
04/13/09… S&P500 +0.8% three sessions later (*)
08/08/08… S&P500 -0.8% three sessions later
05/15/08… S&P500 -0.7% three sessions later
04/02/08… S&P500 +0.4% three sessions later
12/11/07… S&P500 -0.7% three sessions later
10/11/07… S&P500 -1.0% three sessions later
10/09/07… S&P500 -0.2% three sessions later
07/16/07… S&P500 +0.2% three sessions later
07/12/07… S&P500 +0.1% three sessions later
06/01/07… S&P500 -1.2% three sessions later
05/23/07… S&P500 -0.3% three sessions later
05/04/07… S&P500 +0.5% three sessions later
04/17/07… S&P500 +0.9% three sessions later (*)
04/05/07… S&P500 -0.3% three sessions later
04/07/06… S&P500 -0.6% three sessions later
03/21/06… S&P500 +0.4% three sessions later
01/09/06… S&P500 -0.3% three sessions later
11/10/05… S&P500 -0.2% three sessions later
11/12/04… S&P500 -0.2% three sessions later
10/06/04… S&P500 -1.6% three sessions later
09/10/04… S&P500 -0.3% three sessions later
04/05/04… S&P500 -1.0% three sessions later
01/20/04… S&P500 +0.2% three sessions later
10/09/03… S&P500 +1.0% three sessions later (*)
08/22/03… S&P500 +0.4% three sessions later
03/17/03… S&P500 +1.5% three sessions later (*)
12/02/02… S&P500 -3.0% three sessions later
03/08/02… S&P500 -0.9% three sessions later
11/26/01… S&P500 -1.5% three sessions later
New 20-day lows also increased slightly on Thursday despite the S&P500 not coming within 1.5% of the previous day’s low. That’s not the type of session to see an increase in new 20-day lows. When it has occurred (at least in the 5-year database we have on file), it’s usually preceded a weak market over the next two sessions. Along with the McClellan sell signal triggered Thursday (see intraday update), it looks like sellers should be able to gain the upper hand short-term…
SPX Low >1.5% Above Previous Day’s Low, New 20-day Lows Expand
07/16/09… S&P500 ??? two days later
06/02/09… S&P500 -0.2% two days later
04/17/09… S&P500 -2.2% two days later
04/13/09… S&P500 -0.8% two days later
04/09/09… S&P500 -1.8% two days later
04/02/09… S&P500 +0.1% two days later
03/18/09… S&P500 -3.3% two days later
01/05/09… S&P500 -2.2% two days later
12/16/08… S&P500 -3.1% two days later
07/23/08… S&P500 -1.9% two days later
04/17/08… S&P500 +1.7% two days later
03/19/08… S&P500 +4.0% two days later
07/13/07… S&P500 -0.2% two days later
11/05/04… S&P500 -0.2% two days later
Expansion in New Lows Suggests Thursday’s Rally is on Shaky Ground
By Rennie on Friday, July 17th, 2009 at 2:17 amThe NYSE confirmed some major changes to its program trading report Thursday. While they tout greater accuracy, the key quote is “data reported before and after this change will not be comparable.” In other words, this past week will be the last data point on the chart of principal program trading activity that we’ve maintained for years. There will be little reason to chart what the exchange reports from this point forward, because it won’t relate to any of the previous data. This is unfortunate because the press release in its current form provided useful and unique information. With the new data not comparable, it’s essentially useless for many years until a history is rebuilt.
Market averages settled higher Thursday, with the Nasdaq surging to its highest close of the year and the S&P testing the upper end of its recent trading range. Despite the strong finish, it’s noteworthy that stocks were under selling pressure for much of the day. Market internals didn’t turn positive until the last two hours, and it shows in the light percentage of ‘up volume’ on the NYSE (62%) and the increase in new 52-week lows on both the NYSE and NASDAQ. The bump in new lows is particularly interesting given that the S&P and Nasdaq both hit fresh one-month highs. The last thirty times this same pattern has occurred are listed in the table below, along with the S&P’s performance three days later. Note that in only five cases out of the last thirty, or 17% of the time did the S&P500 gain more than 0.5% three days later. That’s significantly worse than the S&P’s 38% at-any-time odds for a gain of more than 0.5% over any three-day period, suggesting limited upside potential heading into Tuesday of next week…
SPX & NDX Both Hit a One-Month High,
New 52-week Lows Expand on Both Exchanges
07/16/09… S&P500 ??? three sessions later
04/30/09… S&P500 +3.6% three sessions later (*)
04/13/09… S&P500 +0.8% three sessions later (*)
08/08/08… S&P500 -0.8% three sessions later
05/15/08… S&P500 -0.7% three sessions later
04/02/08… S&P500 +0.4% three sessions later
12/11/07… S&P500 -0.7% three sessions later
10/11/07… S&P500 -1.0% three sessions later
10/09/07… S&P500 -0.2% three sessions later
07/16/07… S&P500 +0.2% three sessions later
07/12/07… S&P500 +0.1% three sessions later
06/01/07… S&P500 -1.2% three sessions later
05/23/07… S&P500 -0.3% three sessions later
05/04/07… S&P500 +0.5% three sessions later
04/17/07… S&P500 +0.9% three sessions later (*)
04/05/07… S&P500 -0.3% three sessions later
04/07/06… S&P500 -0.6% three sessions later
03/21/06… S&P500 +0.4% three sessions later
01/09/06… S&P500 -0.3% three sessions later
11/10/05… S&P500 -0.2% three sessions later
11/12/04… S&P500 -0.2% three sessions later
10/06/04… S&P500 -1.6% three sessions later
09/10/04… S&P500 -0.3% three sessions later
04/05/04… S&P500 -1.0% three sessions later
01/20/04… S&P500 +0.2% three sessions later
10/09/03… S&P500 +1.0% three sessions later (*)
08/22/03… S&P500 +0.4% three sessions later
03/17/03… S&P500 +1.5% three sessions later (*)
12/02/02… S&P500 -3.0% three sessions later
03/08/02… S&P500 -0.9% three sessions later
11/26/01… S&P500 -1.5% three sessions later
New 20-day lows also increased slightly on Thursday despite the S&P500 not coming within 1.5% of the previous day’s low. That’s not the type of session to see an increase in new 20-day lows. When it has occurred (at least in the 5-year database we have on file), it’s usually preceded a weak market over the next two sessions. Along with the McClellan sell signal triggered Thursday (see intraday update), it looks like sellers should be able to gain the upper hand short-term…
SPX Low >1.5% Above Previous Day’s Low, New 20-day Lows Expand
07/16/09… S&P500 ??? two days later
06/02/09… S&P500 -0.2% two days later
04/17/09… S&P500 -2.2% two days later
04/13/09… S&P500 -0.8% two days later
04/09/09… S&P500 -1.8% two days later
04/02/09… S&P500 +0.1% two days later
03/18/09… S&P500 -3.3% two days later
01/05/09… S&P500 -2.2% two days later
12/16/08… S&P500 -3.1% two days later
07/23/08… S&P500 -1.9% two days later
04/17/08… S&P500 +1.7% two days later
03/19/08… S&P500 +4.0% two days later
07/13/07… S&P500 -0.2% two days later
11/05/04… S&P500 -0.2% two days later