Trading Activity in SPY Points to a Bounce

Stock indices bounced back from a morning selloff to finish with modest losses, this time on a sharp pickup in volume. SPY volume was particularly heavy, coming in over its upper bollinger band and at its highest level in a month at 254 million shares. Below I’ve listed the last thirty instances in which the SPY closed lower but in the upper half of the day’s range on the heaviest volume in twenty sessions. Note that in 22 out of 30 occurrences, or 73% of the time, the SPY closed higher the next day. That’s significantly better than the 52% at-any-time odds for a higher SPY close one day later, tilting the odds in favor of a higher close on Thursday…

SPY Down, Closes in Upper Half of Range on 20-Day High in Volume
09/30/09… SPY ??? next day
06/10/09… SPY +0.4% next day
01/22/08… SPY +2.4% next day
10/24/07… SPY +0.2% next day
12/01/06… SPY +0.8% next day
10/11/06… SPY +0.9% next day
09/19/06… SPY +0.5% next day
06/08/06… SPY -0.3% next day
01/13/04… SPY +0.8% next day
05/20/03… SPY +0.2% next day
06/14/02… SPY +2.7% next day
09/21/01… SPY +3.5% next day
09/19/01… SPY -3.2% next day
06/15/01… SPY -0.5% next day
11/13/00… SPY +2.6% next day
02/22/00… SPY +1.2% next day
05/06/99… SPY +0.8% next day
02/25/99… SPY -0.4% next day
01/13/99… SPY -1.8% next day
10/08/98… SPY +2.0% next day
04/27/98… SPY -0.1% next day
03/05/98… SPY +2.0% next day
12/19/97… SPY +0.6% next day
08/22/97… SPY -0.4% next day
08/01/97… SPY +0.3% next day
12/06/96… SPY +1.5% next day
04/08/96… SPY -0.4% next day
03/08/96… SPY +1.2% next day
09/27/95… SPY +0.8% next day
08/03/95… SPY +0.1% next day
03/31/95… SPY +0.3% next day

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

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