S&P Average True Range Hits Three-Month High
By
Rennie on Friday, October 30th, 2009 at 2:21 am
The S&P500 gained back all of Wednesday’s losses as daily swings continue to build. Thursday represented the fifth day out of the last six that the S&P has gained/lost in excess of 1%. Institutional participation was modest. TICKscore settled at +12, Cumulative TICK +66,000. Breadth closed 4:1 positive, which comes on the heels of an 11:1 negative breadth session Wednesday. Looking at all instances since 1990 in which NYSE breadth flipped from 3:1 negative one day to 3:1 positive the next, market performance over the short-term has been mixed. The S&P has an identical record in terms of calling for a higher/lower close within the next few sessions. Looking three days out, the S&P was higher 13 out of 20 times, not significantly above the 55% random chance for a higher S&P three sessions later.
Nasdaq futures formed an NR10 day and an inside day, triggering the short-term bearish setup discussed in today’s intraday update. Recall that in all 17 cases, Nasdaq futures posted a subsequently lower close within the next four days.
New 20-day lows remained elevated for the second day in a row at 2,600 even as the S&P posted a higher high and higher low. New 52-week highs & lows also remained tight at 30/9. Note that the New 52-week High-Low Index, calculated by dividing the number of new 52-week highs by the sum of (new highs + new lows) is showing the first signs of weakness in months. This indicates the recent move lower has been more severe than prior pullbacks over the past few months, and could be a sign that the market will have a harder time bouncing back.
S&P Average True Range Hits Three-Month High
By Rennie on Friday, October 30th, 2009 at 2:21 amThe S&P500 gained back all of Wednesday’s losses as daily swings continue to build. Thursday represented the fifth day out of the last six that the S&P has gained/lost in excess of 1%. Institutional participation was modest. TICKscore settled at +12, Cumulative TICK +66,000. Breadth closed 4:1 positive, which comes on the heels of an 11:1 negative breadth session Wednesday. Looking at all instances since 1990 in which NYSE breadth flipped from 3:1 negative one day to 3:1 positive the next, market performance over the short-term has been mixed. The S&P has an identical record in terms of calling for a higher/lower close within the next few sessions. Looking three days out, the S&P was higher 13 out of 20 times, not significantly above the 55% random chance for a higher S&P three sessions later.
Nasdaq futures formed an NR10 day and an inside day, triggering the short-term bearish setup discussed in today’s intraday update. Recall that in all 17 cases, Nasdaq futures posted a subsequently lower close within the next four days.
New 20-day lows remained elevated for the second day in a row at 2,600 even as the S&P posted a higher high and higher low. New 52-week highs & lows also remained tight at 30/9. Note that the New 52-week High-Low Index, calculated by dividing the number of new 52-week highs by the sum of (new highs + new lows) is showing the first signs of weakness in months. This indicates the recent move lower has been more severe than prior pullbacks over the past few months, and could be a sign that the market will have a harder time bouncing back.