S&P Futures Post a Narrow Range Day Despite Heavily Lopsided Market Internals

Institutional selling was fairly modest on Monday considering the heavily lopsided market internals. TICKscore settled at -10, Cumulative TICK -62,000. The daily NYSE TICK chart posted an ‘inside day’ as Monday’s intraday high and low TICK readings remained within Friday’s range. The table below lists all instances since 1998 in which NYSE breadth closed at least 3:1 negative and the NYSE TICK posted a higher low than the previous session…

NYSE Breadth 3:1 Negative, NYSE TICK Posts Higher Low
08/17/09… ???
04/07/09… Higher SPX close two sessions later
03/20/09… Higher SPX close two sessions later
02/23/09… Higher SPX close two sessions later
11/14/08… No higher close next 2-3 sessions
11/11/08… Higher SPX close two sessions later
11/06/08… Higher SPX close two sessions later
10/24/08… Higher SPX close two sessions later
10/08/08… Higher SPX close three sessions later
10/07/08… No higher close next 2-3 sessions
06/26/08… Higher SPX close three sessions later
06/11/08… Higher SPX close two sessions later
03/17/08… Higher SPX close two sessions later
02/29/08… Higher SPX close three sessions later
08/28/07… Higher SPX close two sessions later
08/15/07… Higher SPX close two sessions later
06/06/07… No higher close next 2-3 sessions
05/24/07… Higher SPX close two sessions later
04/15/05… Higher SPX close two sessions later
03/23/05… Higher SPX close two sessions later
01/04/05… No higher close next 2-3 sessions
05/10/04… Higher SPX close two sessions later
04/28/04… No higher close next 2-3 sessions
04/14/04… Higher SPX close two sessions later
10/07/02… Higher SPX close three sessions later
09/21/01… Higher SPX close two sessions later
09/20/01… Higher SPX close two sessions later
04/03/01… Higher SPX close two sessions later
03/14/01… Higher SPX close three sessions later
06/15/98… Higher SPX close two sessions later

Note that in 24 out of 29 occurrences, or 83% of the time, the S&P closed at a higher level 2-3 sessions later, significantly above the 63% at-any-time odds for a higher S&P close 2-3 sessions later. When institutional selling doesn’t expand on a solid down day, there’s a better than average chance of a short-term rebound.

Also interesting to note that S&P futures posted an NR10 day, meaning Monday was the narrowest range day in two weeks. That’s pretty unusual considering the 8:1 negative breadth on the NYSE. Since inception, I found only 25 instances in which NYSE breadth closed 2:1 negative and S&P futures posted an NR10 day. In the majority of cases the market was higher one week later. In only one case was the S&P down 2%+ one week later, while it gained 2%+ eight times…

S&P Futures NR10 Day w/ 2:1 Negative Breadth
08/17/09… S&P futures ??? one week later
05/11/09… S&P futures -0.2% one week later
04/27/09… S&P futures +5.4% one week later
04/07/09… S&P futures +4.2% one week later
03/27/09… S&P futures +3.0%  one week later
10/21/08… S&P futures -2.2% one week later
06/18/08… S&P futures -1.2% one week later
09/17/07… S&P futures +2.8% one week later
08/27/07… S&P futures +1.4% one week later
03/07/06… S&P futures +1.6% one week later
05/25/05… S&P futures +1.1% one week later
09/17/98… S&P futures +2.4% one week later
09/10/98… S&P futures +5.2% one week later
12/07/94… S&P futures +0.7% one week later
11/11/94… S&P futures +0.1% one week later
02/20/91… S&P futures +0.7% one week later
12/17/90… S&P futures +0.6% one week later
09/14/90… S&P futures -1.5% one week later
11/09/87… S&P futures +1.1% one week later
03/17/86… S&P futures +0.2% one week later
09/13/85… S&P futures +0.5% one week later
05/11/84… S&P futures -1.7% one week later
02/09/84… S&P futures -0.2% one week later
08/08/83… S&P futures +2.4% one week later
09/17/82… S&P futures +0.2% one week later
09/10/82… S&P futures +2.4% one week later

One thing we’ll want to watch Tuesday is the performance of the Nasdaq relative to the S&P, given that we’ve seen two days of underperformance. It wouldn’t be a short-term positive sign if the NDX closes lower and underperforms the SPX for a third consecutive session (see this July 6th column for a recent discussion).

Categories : Archived EOD Commentary, End-of-Day Commentary

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