Inside Day for NDX Futures Despite 2:1 Positive Breadth on the NASDAQ

Program trading volume executed as principal for member firms’ own accounts came in at 42.3% (of total program volume) during the week ending November 6th, down from 48.6% at the start of the new reporting format in mid-July. It will be interesting to watch if this trend persists in the coming weeks. In general, it’s longer-term bullish to see this figure at relatively high levels and bearish at relatively low levels.

Despite 2:1 positive breadth on the NASDAQ exchange, Nasdaq futures posted an inside day Friday. That’s something you essentially never saw prior to the last couple of years. It’s happened ten times since inception of the NDX contract (all since 2005), nine of which led to a lower Nasdaq close within the next two days…

Nasdaq Breadth 2:1 Positive & NDX Futures Inside Day
11/13/09… ???
10/29/09… Lower NDX futures close one session later
08/18/09… No lower close in next 1-2 days
05/08/09… Lower NDX futures close two sessions later
04/21/09… Lower NDX futures close one session later
02/24/09… Lower NDX futures close one session later
01/21/09… Lower NDX futures close one session later
10/30/08… Lower NDX futures close one session later
10/20/08… Lower NDX futures close one session later
11/23/07… Lower NDX futures close one session later
01/14/05… Lower NDX futures close two sessions later

Volume has been steadily declining since the beginning of the month, and Friday was no exception as NYSE volume hit a fresh one-month low. Unusually low volume on a 2:1+ positive breadth day is generally a short-term negative sign (see this November 9th column for a recent example). Here’s a look at the last thirty times breadth closed 2:1 positive and NYSE volume hit a one-month low…

Breadth 2:1 positive, Volume Lightest of Past Month
11/13/09… ???
09/28/09… Lower S&P close one day later
11/28/08… Lower S&P close one day later
08/27/08… No lower close within two days
08/22/08… Lower S&P close one day later
05/12/08… Lower S&P close one day later
12/24/07… Lower S&P close two days later
11/23/07… Lower S&P close one day later
08/24/07… Lower S&P close one day later
05/25/07… No lower close within two days
12/26/06… No lower close within two days
07/03/06… Lower S&P close one day later
05/26/06… Lower S&P close one day later
05/27/05… Lower S&P close one day later
05/09/05… Lower S&P close one day later
11/24/04… Lower S&P close two days later
08/27/04… Lower S&P close one day later
02/06/04… Lower S&P close one day later
04/14/03… Lower S&P close two days later
02/18/03… Lower S&P close one day later
08/26/02… Lower S&P close one day later
07/05/02… Lower S&P close one day later
02/11/02… Lower S&P close one day later
11/23/01… Lower S&P close two days later
11/24/00… Lower S&P close two days later
08/11/00… No lower close within two days
07/03/00… Lower S&P close one day later
05/28/99… Lower S&P close one day later
07/03/97… Lower S&P close one day later
11/25/94… No lower close within two days
10/14/91… No lower close within two days

Note that in 24 out of 30 cases, or 80% of the time, the S&P posted a lower close within two days, significantly greater than the 59% at-any-time odds of a lower S&P close within two sessions.

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

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