First Down Close of 2009 on a Fed Day

A post-Fed selloff left the S&P down 1% on the session, although end-of-day statistics suggest selling pressure wasn’t particularly intense. TICKscore closed at +4, Cumulative TICK +50,000. NYSE consolidated volume came in at 5.75 billion shares, just above Tuesday’s level and right on its 20-day moving average. NYSE floor volume  totaled 1.32 billion, below its 20-day moving average. The last thirty times that NYSE (floor) volume came in below average on the day of a Fed meeting are listed in the table below. Note that in 25 out of 30 cases, the S&P reversed course over the next 1-2 days…

NYSE Volume Below 20day Avg on an FOMC Announcement Day
09/23/09… S&P Closes lower… ???
08/12/09… S&P Closes higher… Lower Close Two Days Later
06/24/09… S&P Closes higher… No lower close next 1-2 days
04/29/09… S&P Closes higher… Lower Close Next Day
12/16/08… S&P Closes higher… Lower Close Next Day
10/29/08… S&P Closes lower… Higher Close Next Day
08/05/08… S&P Closes higher… Lower Close Two Days Later
01/30/08… S&P Closes lower… Higher Close Next Day
06/28/07… S&P Closes lower… Higher Close Two Days Later
05/09/07… S&P Closes higher… Lower Close Next Day
03/21/07… S&P Closes higher… Lower Close Next Day
08/08/06… S&P Closes lower… Higher close Two Days Later
05/10/06… S&P Closes lower… No higher close next 1-2 days
03/28/06… S&P Closes lower… Higher Close Next Day
11/01/05… S&P Closes lower… Higher Close Next Day
08/09/05… S&P Closes higher… Lower Close Next Day
02/02/05… S&P Closes higher… Lower Close Next Day
11/10/04… S&P Closes lower… Higher close Next Day
08/10/04… S&P Closes higher… Lower Close Next Day
08/12/03… S&P Closes higher… Lower Close Next Day
06/25/03… S&P Closes lower… Higher Close Next Day
12/10/02… S&P Closes higher… Lower Close Two Days Later
08/13/02… S&P Closes lower… Higher Close Next Day
03/19/02… S&P Closes higher… Lower Close Next Day
10/02/01… S&P Closes higher… No lower close next 1-2 days
08/21/01… S&P Closes lower… Higher Close Next Day
05/15/01… S&P Closes higher… No lower close next 1-2 days
01/31/01… S&P Closes lower… Higher Close Next Day
11/15/00… S&P Closes higher… Lower Close Next Day
08/22/00… S&P Closes lower… Higher Close Next Day
03/21/00… S&P Closes higher… No lower close next 1-2 days

While that’s not significantly better than the 68% random chance for a reversal over the next 1-2 days, it’s close. And the record is a solid 12-1 when only looking at lower closes on below-average volume, as was the case today.

Wednesday was the first Fed day of 2009 and only the sixth Fed day since 2007 that the S&P closed lower. Historically, a down close on an FOMC announcement day has a solid tendency to lead to a higher close (above the setup day’s close) within the  next two sessions.  The last thirty instances are noted below…

S&P500 Closes Lower on an FOMC Announcement Day
09/23/09 Down day… ???
10/29/08 Down day… Higher S&P close one session later
04/30/08 Down day… Higher S&P close one session later
01/30/08 Down day… Higher S&P close one session later
12/11/07 Down day… Higher S&P close one session later
06/28/07 Down day… Higher S&P close two sessions later
12/12/06 Down day… Higher S&P close one session later
08/08/06 Down day… Higher S&P close two sessions later
05/10/06 Down day… No higher close within two sessions
03/28/06 Down day… Higher S&P close one session later
01/31/06 Down day… Higher S&P close one session later
11/01/05 Down day… Higher S&P close one session later
09/20/05 Down day… No higher close within two sessions
06/30/05 Down day… Higher S&P close one session later
05/03/05 Down day… Higher S&P close one session later
03/22/05 Down day… Higher S&P close one session later
11/10/04 Down day… Higher S&P close one session later
01/28/04 Down day… Higher S&P close one session later
12/09/03 Down day… Higher S&P close two sessions later
06/25/03 Down day… Higher S&P close one session later
09/24/02 Down day… Higher S&P close one session later
08/13/02 Down day… Higher S&P close one session later
06/26/02 Down day… Higher S&P close one session later
05/07/02 Down day… Higher S&P close one session later
12/11/01 Down day… Higher S&P close one session later
08/21/01 Down day… Higher S&P close one session later
06/27/01 Down day… Higher S&P close one session later
03/20/01 Down day… No higher close within two sessions
01/31/01 Down day… Higher S&P close one session later
12/19/00 Down day… No higher close within two sessions
10/03/00 Down day… Higher S&P close one session later

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

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