NYSE TICK Action Positive, Volume Light

Stocks closed with solid gains Monday on very positive NYSE TICK action. TICKscore closed at +40, sending the Cumulative TICKscore line into new highs. Cumulative TICK closed at +104,600. Volume was surprisingly light, down over 20% from Friday’s levels on both floor volume and consolidated volume. That suggests the market could have a tough time moving higher short-term. It’s generally a negative sign when volume contracts sharply on a lopsided positive breadth session. The last thirty times that NYSE volume fell 20%+ from the previous day on a 2:1+ positive breadth session  are listed in the table below. Note that in 24 out of 30 cases, or 80% of the time, the S&P posted a subsequently lower close (below the setup day’s close) within the next two days, well above the 62% at-any-time odds for a lower S&P close within two sessions in the same time frame…

2:1 Positive Breadth & NYSE Volume Down 20%+
10/05/09… ???
07/01/09… Lower S&P close one session later
04/03/09… Lower S&P close one session later
03/23/09… Lower S&P close one session later
03/17/09… No lower close within next two days
11/28/08… Lower S&P close one session later
11/26/08… Lower S&P close two sessions later
10/20/08… Lower S&P close one session later
10/13/08… Lower S&P close one session later
03/24/08… Lower S&P close two sessions later
01/14/08… Lower S&P close one session later
12/24/07… Lower S&P close two sessions later
11/23/07… Lower S&P close one session later
06/01/07… Lower S&P close two sessions later
05/25/07… No lower close within next two days
03/19/07… No lower close within next two days
03/15/07… Lower S&P close one session later
07/03/06… Lower S&P close one session later
05/26/06… Lower S&P close one session later
05/25/06… Lower S&P close two sessions later
11/24/04… Lower S&P close two sessions later
05/11/04… No lower close within next two days
03/12/04… Lower S&P close one session later
10/25/02… Lower S&P close one session later
07/05/02… Lower S&P close one session later
06/17/02… Lower S&P close two sessions later
01/31/02… Lower S&P close one session later
11/23/01… Lower S&P close two sessions later
09/24/01… No lower close within next two days
12/22/00… No lower close within next two days
11/24/00… Lower S&P close two sessions later

Another short-term negative mentioned at the end of Sunday’s column is that we’re just coming off a large spike in the CBOE equity put/call ratio. It closed more than 25% above its 10-day moving average on Friday, suggesting a spark of fear. While today’s rally may have alleviated some of that fear, we should be on the lookout for some follow-through selling from the initial spark. The table below highlights the last thirty instances in which the S&P500 closed higher immediately following a session in which the CBOE equity put/call ratio spiked more than 25% above its 10-day moving average…

Equity Put/Call Ratio 25% >10-day Avg, SPX Up Next Day
10/05/09… ???
06/18/09… Lower S&P close two sessions later
01/13/09… Lower S&P close one session later
01/08/09… Lower S&P close one session later
11/07/08… Lower S&P close one session later
09/16/08… Lower S&P close one session later
09/10/08… Lower S&P close three sessions later
01/09/08… Lower S&P close two sessions later
12/05/07… no lower SPX close next 1-3 sessions
10/17/07… Lower S&P close one session later
07/25/07… Lower S&P close one session later
07/19/07… Lower S&P close one session later
03/29/07… Lower S&P close one session later
02/28/07… Lower S&P close one session later
10/04/06… Lower S&P close two sessions later
04/27/06… Lower S&P close two sessions later
12/28/05… Lower S&P close one session later
12/21/05… Lower S&P close three sessions later
11/16/05… no lower SPX close next 1-3 sessions
10/14/05… Lower S&P close two sessions later
08/29/05… Lower S&P close one session later
06/17/05… Lower S&P close one session later
06/01/05… Lower S&P close two sessions later
04/18/05… Lower S&P close two sessions later
04/07/05… Lower S&P close one session later
04/04/05… no lower SPX close next 1-3 sessions
03/17/05… Lower S&P close one session later
02/25/05… Lower S&P close one session later
02/10/05… no lower SPX close next 1-3 sessions
01/10/05… Lower S&P close one session later
08/09/04… Lower S&P close three sessions later

In 26 out of the last 30 occurrences, or 87% of the time, the S&P posted a subsequently lower close (below the setup day’s close) within the next three days, significantly above the 68% at-any-time odds for a lower S&P close within three days.

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

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