Intraday Update (Narrow Range Day on Options Expiration)

The S&P500 is currently trading in a very tight 6-point range. If the range remains below 9.34 at today’s close, it will trigger a short-term sell signal. Historically, it’s a short-term negative sign when an NR10 bar appears after a three-day rally. In the table below I’ve listed each of the last thirty instances in which the S&P posted its narrowest range day of the past ten sessions (NR10) immediately following three consecutive higher closes. Note that in 28 out of 30 cases, or 93% of the time, the S&P posted a subsequently lower close within the next three days, significantly above the 69% at-any-time odds for a lower close within the next three sessions in the same time frame…

SPX NR10 Bar Following Three Up Days
07/17/09… ???
06/26/09… No lower close within three sessions
06/02/09… Lower SPX close one session later
03/13/09… Lower SPX close one session later
11/28/08… Lower SPX close one session later
05/30/08… Lower SPX close one session later
04/28/08… Lower SPX close one session later
04/08/08… Lower SPX close one session later
03/26/08… Lower SPX close one session later
12/26/07… Lower SPX close one session later
12/03/07… Lower SPX close one session later
09/14/07… Lower SPX close one session later
07/09/07… Lower SPX close one session later
06/18/07… Lower SPX close two sessions later
05/07/07… Lower SPX close one session later
04/09/07… Lower SPX close two sessions later
03/22/07… Lower SPX close three sessions later
02/02/07… Lower SPX close one session later
01/16/07… Lower SPX close one session later
10/24/06… Lower SPX close three sessions later
09/28/06… Lower SPX close one session later
08/21/06… Lower SPX close two sessions later
03/17/06… Lower SPX close one session later
02/17/06… Lower SPX close one session later
11/25/05… Lower SPX close one session later
09/30/05… Lower SPX close one session later
07/13/05… Lower SPX close three sessions later
05/19/05… Lower SPX close one session later
12/23/04… Lower SPX close one session later
11/08/04… Lower SPX close one session later
11/01/04… No lower close within three sessions

Categories : Archived Intraday Commentary, Intraday Commentary

 Print This Post