SPY Volume Hits a New Low for 2009
By
Rennie on Monday, October 12th, 2009 at 9:22 pm
The S&P500 powered to a new closing high Monday in a seemingly strong session. S&P futures nearly posted another unfilled upside gap and did notch another day of higher highs and higher lows. New 52-week highs nearly touched the pivotal 400 level for the second time in three days (see recent post on this subject). But beneath the surface, there were signs of weakness. S&P futures posted the first black candlestick in seven sessions as the S&Ps settled below Monday’s open, a pattern that has typically led to weakness the following session (see intraday update). New 20-day highs failed to exceed 1,500, well below the 2,000+ level seen in mid-September. The number of stocks that closed under their lower bollinger band increased while the number of stocks that closed over the upper band decreased. TICKscore closed at -9, its first negative reading in seven sessions, and Cumulative TICK settled at -4,900, keeping the 20-day moving average in a downtrend. The relatively weak TICK action can also be seen on this chart of the cumulative Adjusted TICK, which closed below its early October low. That chart clearly highlights the mid-September period as a momentum top, something recently alluded to by Brett Steenbarger in his weekly indicator review.
Monday’s unusually low volume was another short-term negative sign. Volume is expected to be light on the Columbus Day holiday, but today’s was exceptionally light, with SPY volume hitting its lowest level of the year. Historically, when the SPY hits a five-day high as it did Monday on the lowest volume in two months, it’s a sell signal for the following session. That last thirty times this has occurred are listed in the table below…
SPY Hits Five-Day High, SPY Volume at Two-Month Low
10/12/09… SPY ??? next session
05/19/09… SPY -0.7% next session
04/13/09… SPY -1.7% next session
11/28/08… SPY -8.9% next session
04/28/08… SPY -0.4% next session
12/24/07… SPY +0.2% next session
07/03/07… SPY -0.1% next session
07/03/06… SPY -0.6% next session
05/27/05… SPY -0.6% next session
05/26/05… SPY +0.2% next session
11/26/04… SPY -0.5% next session
08/27/04… SPY -0.8% next session
08/26/04… SPY +0.3% next session
11/28/03… SPY +1.1% next session (*)
11/29/02… SPY +0.2% next session
11/18/02… SPY -0.1% next session
05/10/01… SPY -0.7% next session
07/03/00… SPY -1.8% next session
05/15/00… SPY +1.0% next session (*)
11/15/99… SPY +0.8% next session (*)
07/16/99… SPY -0.7% next session
03/18/99… SPY -1.9% next session
03/08/99… SPY -0.2% next session
12/24/98… SPY -0.3% next session
12/07/98… SPY -0.5% next session
11/09/98… SPY -0.7% next session
07/20/98… SPY -1.7% next session
03/18/98… SPY +0.3% next session
05/23/97… SPY +0.4% next session
05/15/97… SPY -1.4% next session
03/11/97… SPY -0.9% next session
Note that in 21 out of 30 cases, or 70% of the time, the SPY posted a lower close the following session. That’s significantly above the 47% at-any-time odds for a lower SPY close the following session in the same time frame. In only three cases out of thirty did the SPY manage a gain of 0.5% or more, while it fell 0.5% or more sixteen times.
SPY Volume Hits a New Low for 2009
By Rennie on Monday, October 12th, 2009 at 9:22 pmThe S&P500 powered to a new closing high Monday in a seemingly strong session. S&P futures nearly posted another unfilled upside gap and did notch another day of higher highs and higher lows. New 52-week highs nearly touched the pivotal 400 level for the second time in three days (see recent post on this subject). But beneath the surface, there were signs of weakness. S&P futures posted the first black candlestick in seven sessions as the S&Ps settled below Monday’s open, a pattern that has typically led to weakness the following session (see intraday update). New 20-day highs failed to exceed 1,500, well below the 2,000+ level seen in mid-September. The number of stocks that closed under their lower bollinger band increased while the number of stocks that closed over the upper band decreased. TICKscore closed at -9, its first negative reading in seven sessions, and Cumulative TICK settled at -4,900, keeping the 20-day moving average in a downtrend. The relatively weak TICK action can also be seen on this chart of the cumulative Adjusted TICK, which closed below its early October low. That chart clearly highlights the mid-September period as a momentum top, something recently alluded to by Brett Steenbarger in his weekly indicator review.
Monday’s unusually low volume was another short-term negative sign. Volume is expected to be light on the Columbus Day holiday, but today’s was exceptionally light, with SPY volume hitting its lowest level of the year. Historically, when the SPY hits a five-day high as it did Monday on the lowest volume in two months, it’s a sell signal for the following session. That last thirty times this has occurred are listed in the table below…
SPY Hits Five-Day High, SPY Volume at Two-Month Low
10/12/09… SPY ??? next session
05/19/09… SPY -0.7% next session
04/13/09… SPY -1.7% next session
11/28/08… SPY -8.9% next session
04/28/08… SPY -0.4% next session
12/24/07… SPY +0.2% next session
07/03/07… SPY -0.1% next session
07/03/06… SPY -0.6% next session
05/27/05… SPY -0.6% next session
05/26/05… SPY +0.2% next session
11/26/04… SPY -0.5% next session
08/27/04… SPY -0.8% next session
08/26/04… SPY +0.3% next session
11/28/03… SPY +1.1% next session (*)
11/29/02… SPY +0.2% next session
11/18/02… SPY -0.1% next session
05/10/01… SPY -0.7% next session
07/03/00… SPY -1.8% next session
05/15/00… SPY +1.0% next session (*)
11/15/99… SPY +0.8% next session (*)
07/16/99… SPY -0.7% next session
03/18/99… SPY -1.9% next session
03/08/99… SPY -0.2% next session
12/24/98… SPY -0.3% next session
12/07/98… SPY -0.5% next session
11/09/98… SPY -0.7% next session
07/20/98… SPY -1.7% next session
03/18/98… SPY +0.3% next session
05/23/97… SPY +0.4% next session
05/15/97… SPY -1.4% next session
03/11/97… SPY -0.9% next session
Note that in 21 out of 30 cases, or 70% of the time, the SPY posted a lower close the following session. That’s significantly above the 47% at-any-time odds for a lower SPY close the following session in the same time frame. In only three cases out of thirty did the SPY manage a gain of 0.5% or more, while it fell 0.5% or more sixteen times.