Low-volume Recovery Day
By
Rennie on Monday, September 14th, 2009 at 8:59 pm
S&P futures recovered from a gap down open to finish with modest gains Monday, but it’s noteworthy that the recovery came on declining volume. NYSE consolidated volume totaled just over 5 billion shares, which represents a five-day low for NYSE volume. Looking back to 1990 (utilizing floor volume), there have only been ten instances in which NYSE volume hit a five-day low on the same day that S&P futures recovered from a 0.5%+ down open to finish up 0.5%+. In 9 out of 10 cases, the S&Ps reversed course and closed lower two sessions later, as the light volume generally indicated a weak recovery…
S&P Futures Open -0.5%, Close +0.5%, NYSE Volume @ 5day Low
09/14/09… S&P futures ??? two sessions later
04/03/09… S&P futures -3.2% two sessions later
11/26/08… S&P futures -7.9% two sessions later
09/12/08… S&P futures -3.4% two sessions later
08/14/08… S&P futures -0.9% two sessions later
09/09/02… S&P futures +0.6% two sessions later
05/04/01… S&P futures -0.8% two sessions later
05/05/00… S&P futures -1.3% two sessions later
12/05/97… S&P futures -0.8% two sessions later
09/17/90… S&P futures -0.8% two sessions later
09/04/90… S&P futures -1.1% two sessions later
This Friday is September options expiration, which from a seasonal perspective ushers in a challenging time for stocks through the end of the month. The table below highlights the S&P500′s performance from the close on September options expiration through the last trading day of the month for every year since 1979…
S&P Performance from Sep Expiry until End of Month
09/18/09 – 09/30/09… S&P500 ???
09/19/08 – 09/30/08… S&P500 -7.1%
09/21/07 – 09/28/07… S&P500 +0.1%
09/15/06 – 09/29/06… S&P500 +1.2% (*)
09/16/05 – 09/30/05… S&P500 -0.7%
09/17/04 – 09/30/04… S&P500 -1.2%
09/19/03 – 09/30/03… S&P500 -3.8%
09/20/02 – 09/30/02… S&P500 -3.6%
09/21/01 – 09/28/01… S&P500 +7.8% (*)
09/15/00 – 09/29/00… S&P500 -2.0%
09/17/99 – 09/30/99… S&P500 -3.9%
09/18/98 – 09/30/98… S&P500 -0.3%
09/19/97 – 09/30/97… S&P500 -0.3%
09/20/96 – 09/30/96… S&P500 +0.1%
09/15/95 – 09/29/95… S&P500 +0.2%
09/16/94 – 09/30/94… S&P500 -1.8%
09/17/93 – 09/30/93… S&P500 +0.0%
09/18/92 – 09/30/92… S&P500 -1.2%
09/20/91 – 09/30/91… S&P500 -0.0%
09/21/90 – 09/28/90… S&P500 -1.7%
09/15/89 – 09/29/89… S&P500 +1.2% (*)
09/16/88 – 09/30/88… S&P500 +0.5%
09/18/87 – 09/30/87… S&P500 +2.2% (*)
09/19/86 – 09/30/86… S&P500 -0.4%
09/20/85 – 09/30/85… S&P500 +0.0%
09/21/84 – 09/28/84… S&P500 +0.2%
09/16/83 – 09/30/83… S&P500 -0.0%
09/17/82 – 09/30/82… S&P500 -1.7%
09/18/81 – 09/30/81… S&P500 -0.0%
09/19/80 – 09/30/80… S&P500 -2.9%
09/21/79 – 09/28/79… S&P500 -1.0%
Note that the S&P was approximately twice as likely to trade lower from September’s expiration until the end of the month. In only four cases out of thirty did the S&P gain more than 0.5% in this time frame, while it fell more than 0.5% thirteen times. With short-term negative setups on the board for the next couple of days, this tends to indicate we’re in for generally choppy conditions over the next two and a half weeks.
For more on seasonal tendencies during the month of September, see Implications of an ‘Up September’ and When the S&P is YTD Positive at the end of September
Low-volume Recovery Day
By Rennie on Monday, September 14th, 2009 at 8:59 pmS&P futures recovered from a gap down open to finish with modest gains Monday, but it’s noteworthy that the recovery came on declining volume. NYSE consolidated volume totaled just over 5 billion shares, which represents a five-day low for NYSE volume. Looking back to 1990 (utilizing floor volume), there have only been ten instances in which NYSE volume hit a five-day low on the same day that S&P futures recovered from a 0.5%+ down open to finish up 0.5%+. In 9 out of 10 cases, the S&Ps reversed course and closed lower two sessions later, as the light volume generally indicated a weak recovery…
S&P Futures Open -0.5%, Close +0.5%, NYSE Volume @ 5day Low
09/14/09… S&P futures ??? two sessions later
04/03/09… S&P futures -3.2% two sessions later
11/26/08… S&P futures -7.9% two sessions later
09/12/08… S&P futures -3.4% two sessions later
08/14/08… S&P futures -0.9% two sessions later
09/09/02… S&P futures +0.6% two sessions later
05/04/01… S&P futures -0.8% two sessions later
05/05/00… S&P futures -1.3% two sessions later
12/05/97… S&P futures -0.8% two sessions later
09/17/90… S&P futures -0.8% two sessions later
09/04/90… S&P futures -1.1% two sessions later
This Friday is September options expiration, which from a seasonal perspective ushers in a challenging time for stocks through the end of the month. The table below highlights the S&P500′s performance from the close on September options expiration through the last trading day of the month for every year since 1979…
S&P Performance from Sep Expiry until End of Month
09/18/09 – 09/30/09… S&P500 ???
09/19/08 – 09/30/08… S&P500 -7.1%
09/21/07 – 09/28/07… S&P500 +0.1%
09/15/06 – 09/29/06… S&P500 +1.2% (*)
09/16/05 – 09/30/05… S&P500 -0.7%
09/17/04 – 09/30/04… S&P500 -1.2%
09/19/03 – 09/30/03… S&P500 -3.8%
09/20/02 – 09/30/02… S&P500 -3.6%
09/21/01 – 09/28/01… S&P500 +7.8% (*)
09/15/00 – 09/29/00… S&P500 -2.0%
09/17/99 – 09/30/99… S&P500 -3.9%
09/18/98 – 09/30/98… S&P500 -0.3%
09/19/97 – 09/30/97… S&P500 -0.3%
09/20/96 – 09/30/96… S&P500 +0.1%
09/15/95 – 09/29/95… S&P500 +0.2%
09/16/94 – 09/30/94… S&P500 -1.8%
09/17/93 – 09/30/93… S&P500 +0.0%
09/18/92 – 09/30/92… S&P500 -1.2%
09/20/91 – 09/30/91… S&P500 -0.0%
09/21/90 – 09/28/90… S&P500 -1.7%
09/15/89 – 09/29/89… S&P500 +1.2% (*)
09/16/88 – 09/30/88… S&P500 +0.5%
09/18/87 – 09/30/87… S&P500 +2.2% (*)
09/19/86 – 09/30/86… S&P500 -0.4%
09/20/85 – 09/30/85… S&P500 +0.0%
09/21/84 – 09/28/84… S&P500 +0.2%
09/16/83 – 09/30/83… S&P500 -0.0%
09/17/82 – 09/30/82… S&P500 -1.7%
09/18/81 – 09/30/81… S&P500 -0.0%
09/19/80 – 09/30/80… S&P500 -2.9%
09/21/79 – 09/28/79… S&P500 -1.0%
Note that the S&P was approximately twice as likely to trade lower from September’s expiration until the end of the month. In only four cases out of thirty did the S&P gain more than 0.5% in this time frame, while it fell more than 0.5% thirteen times. With short-term negative setups on the board for the next couple of days, this tends to indicate we’re in for generally choppy conditions over the next two and a half weeks.
For more on seasonal tendencies during the month of September, see Implications of an ‘Up September’ and When the S&P is YTD Positive at the end of September