Narrow Range Day Forming for S&P Futures
By
Rennie on Tuesday, November 17th, 2009 at 12:34 pm
Interesting to note that S&P futures are in the process of posting a Narrow Range 10 day, meaning the narrowest range of the past two weeks. That’s potentially significant considering breadth on the NYSE is running near 2:1 negative territory. Since inception of the S&P futures contract, I found only 27 instances in which NYSE breadth closed 2:1 negative and S&P futures posted an NR10 day. In the majority of cases (78%) the market was higher one week later, significantly above the 55% at-any-time odds for a higher S&P five trading days later. In only one case was the S&P down 2%+ one week later, while it gained 2%+ nine times…
S&P Futures NR10 Day w/ 2:1 Negative Breadth
08/31/09… S&P futures +0.5% one week later
08/17/09… S&P futures +4.7% one week later
05/11/09… S&P futures -0.2% one week later
04/27/09… S&P futures +5.4% one week later
04/07/09… S&P futures +4.2% one week later
03/27/09… S&P futures +3.0% one week later
10/21/08… S&P futures -2.2% one week later
06/18/08… S&P futures -1.2% one week later
09/17/07… S&P futures +2.8% one week later
08/27/07… S&P futures +1.4% one week later
03/07/06… S&P futures +1.6% one week later
05/25/05… S&P futures +1.1% one week later
09/17/98… S&P futures +2.4% one week later
09/10/98… S&P futures +5.2% one week later
12/07/94… S&P futures +0.7% one week later
11/11/94… S&P futures +0.1% one week later
02/20/91… S&P futures +0.7% one week later
12/17/90… S&P futures +0.6% one week later
09/14/90… S&P futures -1.5% one week later
11/09/87… S&P futures +1.1% one week later
03/17/86… S&P futures +0.2% one week later
09/13/85… S&P futures +0.5% one week later
05/11/84… S&P futures -1.7% one week later
02/09/84… S&P futures -0.2% one week later
08/08/83… S&P futures +2.4% one week later
09/17/82… S&P futures +0.2% one week later
09/10/82… S&P futures +2.4% one week later
For this setup to take effect today, the intraday range for S&P futures can’t exceed 9.30 (currently 7.0) and the NYSE advance/decline ratio needs to close below 0.50 (currently at 0.60).
Narrow Range Day Forming for S&P Futures
By Rennie on Tuesday, November 17th, 2009 at 12:34 pmInteresting to note that S&P futures are in the process of posting a Narrow Range 10 day, meaning the narrowest range of the past two weeks. That’s potentially significant considering breadth on the NYSE is running near 2:1 negative territory. Since inception of the S&P futures contract, I found only 27 instances in which NYSE breadth closed 2:1 negative and S&P futures posted an NR10 day. In the majority of cases (78%) the market was higher one week later, significantly above the 55% at-any-time odds for a higher S&P five trading days later. In only one case was the S&P down 2%+ one week later, while it gained 2%+ nine times…
S&P Futures NR10 Day w/ 2:1 Negative Breadth
08/31/09… S&P futures +0.5% one week later
08/17/09… S&P futures +4.7% one week later
05/11/09… S&P futures -0.2% one week later
04/27/09… S&P futures +5.4% one week later
04/07/09… S&P futures +4.2% one week later
03/27/09… S&P futures +3.0% one week later
10/21/08… S&P futures -2.2% one week later
06/18/08… S&P futures -1.2% one week later
09/17/07… S&P futures +2.8% one week later
08/27/07… S&P futures +1.4% one week later
03/07/06… S&P futures +1.6% one week later
05/25/05… S&P futures +1.1% one week later
09/17/98… S&P futures +2.4% one week later
09/10/98… S&P futures +5.2% one week later
12/07/94… S&P futures +0.7% one week later
11/11/94… S&P futures +0.1% one week later
02/20/91… S&P futures +0.7% one week later
12/17/90… S&P futures +0.6% one week later
09/14/90… S&P futures -1.5% one week later
11/09/87… S&P futures +1.1% one week later
03/17/86… S&P futures +0.2% one week later
09/13/85… S&P futures +0.5% one week later
05/11/84… S&P futures -1.7% one week later
02/09/84… S&P futures -0.2% one week later
08/08/83… S&P futures +2.4% one week later
09/17/82… S&P futures +0.2% one week later
09/10/82… S&P futures +2.4% one week later
For this setup to take effect today, the intraday range for S&P futures can’t exceed 9.30 (currently 7.0) and the NYSE advance/decline ratio needs to close below 0.50 (currently at 0.60).