S&P Futures Gap into New Highs
By
Rennie on Monday, November 16th, 2009 at 8:53 pm
Stock indexes surged higher Monday, with the S&P and Nasdaq both closing in new highs for the year. A six-month closing high for the S&P often precedes consolidative trade the next day. See this column from last week for details. Also noteworthy that volatility indices remained on firm ground Monday despite the market’s big gains. VIX and VXO only declined 2%, and VXN (Nasdaq Volatility) actually closed up 1% despite the 3:1 positive breadth on the NASDAQ exchange. When the VXN closes higher despite 2:1+ positive breadth, the NDX typically closes flat-to-down the next session. The last thirty occurrences are listed below…
NASDAQ Breadth 2:1 Positive, VXN Up
11/16/09… NDX ??? next day
09/28/09… NDX -0.4% next day
08/03/09… NDX +0.0% next day
07/30/09… NDX -0.4% next day
07/23/09… NDX -0.2% next day
07/20/09… NDX +0.6% next day (*)
07/01/09… NDX -2.4% next day
06/01/09… NDX +0.2% next day
01/06/09… NDX -2.8% next day
09/19/08… NDX -4.5% next day
02/25/08… NDX +0.3% next day
10/01/07… NDX -0.1% next day
11/06/06… NDX +0.5% next day
08/16/06… NDX +0.2% next day
10/31/05… NDX -0.2% next day
07/05/05… NDX -0.6% next day
03/29/04… NDX +0.2% next day
11/03/03… NDX -1.0% next day
09/02/03… NDX -0.1% next day
07/07/03… NDX +1.3% next day (*)
07/02/03… NDX -1.2% next day
05/30/03… NDX -1.1% next day
05/27/03… NDX +0.1% next day
05/02/03… NDX -0.0% next day
04/02/03… NDX +0.1% next day
03/13/03… NDX +0.1% next day
02/18/03… NDX -0.9% next day
01/02/03… NDX +0.4% next day
11/27/02… NDX -0.9% next day
11/20/02… NDX +4.5% next day (*)
08/04/02… NDX +1.3% next day (*)
S&P futures posted an unfilled upside gap Monday, just one week after an initial upside gap on November 9th. When sellers can’t drive the market lower to fill a gap and then a second upside gap appears, it’s usually a sign that sellers are overwhelmed. While conditions can often turn choppy after the second gap, the market has a good track record of rebounding from short-term weakness and settling flat-to-higher one month later. In the table below are each of the last thirty instances in which two unfilled upside gaps formed within a one-month time frame, along with the performance of the S&P500 looking out twenty trading days. To qualify for inclusion, the first gap must remain unfilled when the second gap appears.
Two Unfilled Upside Gaps In a One-Month Time Frame
11/09/09 & 11/16/09… S&P500 ??? one month later
10/08/09 & 10/14/09… S&P500 +0.8% one month later
10/06/09 & 10/08/09… S&P500 -0.1% one month later
07/30/09 & 08/21/09… S&P500 +3.8% one month later
07/15/09 & 07/30/09… S&P500 +4.5% one month later
04/02/09 & 04/09/09… S&P500 +8.5% one month later
11/24/08 & 12/08/08… S&P500 -0.3% one month later
04/16/08 & 04/18/08… S&P500 +2.5% one month later
03/18/08 & 03/24/08… S&P500 +2.8% one month later
12/21/07 & 12/24/07… S&P500 -10.2% one month later (*)
11/28/07 & 12/05/07… S&P500 -5.0% one month later (*)
04/16/07 & 04/20/07… S&P500 +2.3% one month later
04/03/07 & 04/16/07… S&P500 +2.3% one month later
06/15/06 & 06/29/06… S&P500 -0.1% one month later
10/31/05 & 11/17/05… S&P500 +1.7% one month later
05/18/05 & 05/26/05… S&P500 -0.6% one month later
10/01/04 & 10/04/04… S&P500 -0.4% one month later
11/24/03 & 12/01/03… S&P500 +3.8% one month later
03/13/03 & 04/02/03… S&P500 +4.3% one month later
10/15/02 & 10/17/02… S&P500 +2.7% one month later
10/11/02 & 10/15/02… S&P500 +0.2% one month later
11/13/01 & 12/05/01… S&P500 +0.5% one month later
11/05/01 & 11/13/01… S&P500 -0.3% one month later
09/24/01 & 09/28/01… S&P500 +5.6% one month later
04/10/01 & 04/18/01… S&P500 +3.4% one month later
10/28/99 & 10/29/99… S&P500 +2.5% one month later
03/25/99 & 03/29/99… S&P500 +4.6% one month later
03/05/99 & 03/25/99… S&P500 +4.7% one month later
11/23/98 & 11/27/98… S&P500 +2.3% one month later
10/30/98 & 11/23/98… S&P500 +0.8% one month later
01/13/98 & 02/02/98… S&P500 +5.1% one month later
In 22 out of the last 30 cases, or 73% of the time, the S&P500 was trading higher one month later. That’s not significantly better than the 56% random odds of a higher S&P one month later. But note that of the eight times the S&P failed to rally, it finished down 1%+ one month later only two times out of thirty (or 7% of the time). In the same period, the random chance for a drop of 1%+ over any twenty-day period was much higher at 35%. So when two unfilled upside gaps appear in a short period of time, we can infer downside potential is likely to be limited (<1%) over the coming month.
With today’s unfilled gap, a higher close on Tuesday would trigger a bullish short-term signal. When the market remains on firm footing the day after an unfilled gap, it suggests the underlying bullish momentum remains intact. See this recent column.
The number of new 52-week highs on the NYSE surged to over 300 issues Monday, putting the pivotal 400 level back on the radar. Note from this long-term chart of NYSE new highs that 400 has consistently represented an extreme reading over the last four decades. When the number of new highs has exceeded this level, it’s typically been a bullish sign for the intermediate-term. Every instance in which the number of new 52-week highs exceeded 400 for the first time in at least a month are listed in the table below. Note that out of 17 occurrences, 14 led to a higher S&P thirty days later. That’s not including the most recent occurrence on October 14th, which remains in effect until next Wednesday…
New 52-week Highs >400 First Time in a Month
10/14/09… S&P500 +1.6% thirty sessions later (open – ends 11/25)
05/31/07… S&P500 +1.4% thirty sessions later
04/16/07… S&P500 +3.4% thirty sessions later
02/01/07… S&P500 -4.1% thirty sessions later
12/04/06… S&P500 +1.5% thirty sessions later
10/26/06… S&P500 +1.5% thirty sessions later
01/27/06… S&P500 +0.0% thirty sessions later
07/11/05… S&P500 +0.2% thirty sessions later
02/04/05… S&P500 -1.6% thirty sessions later
11/04/04… S&P500 +2.8% thirty sessions later
09/02/03… S&P500 +2.7% thirty sessions later
05/27/03… S&P500 +5.3% thirty sessions later
09/16/97… S&P500 -2.5% thirty sessions later
06/12/97… S&P500 +6.3% thirty sessions later
02/18/86… S&P500 +6.0% thirty sessions later
05/20/85… S&P500 +1.2% thirty sessions later
10/07/82… S&P500 +7.4% thirty sessions later
02/20/76… S&P500 +0.2% thirty sessions later
Tomorrow we’ll take a look at an indicator that I’ve received a number of emails on – the Last Hour indicator, which has taken a tumble recently given the strong trend of last hour underperformance.
S&P Futures Gap into New Highs
By Rennie on Monday, November 16th, 2009 at 8:53 pmStock indexes surged higher Monday, with the S&P and Nasdaq both closing in new highs for the year. A six-month closing high for the S&P often precedes consolidative trade the next day. See this column from last week for details. Also noteworthy that volatility indices remained on firm ground Monday despite the market’s big gains. VIX and VXO only declined 2%, and VXN (Nasdaq Volatility) actually closed up 1% despite the 3:1 positive breadth on the NASDAQ exchange. When the VXN closes higher despite 2:1+ positive breadth, the NDX typically closes flat-to-down the next session. The last thirty occurrences are listed below…
NASDAQ Breadth 2:1 Positive, VXN Up
11/16/09… NDX ??? next day
09/28/09… NDX -0.4% next day
08/03/09… NDX +0.0% next day
07/30/09… NDX -0.4% next day
07/23/09… NDX -0.2% next day
07/20/09… NDX +0.6% next day (*)
07/01/09… NDX -2.4% next day
06/01/09… NDX +0.2% next day
01/06/09… NDX -2.8% next day
09/19/08… NDX -4.5% next day
02/25/08… NDX +0.3% next day
10/01/07… NDX -0.1% next day
11/06/06… NDX +0.5% next day
08/16/06… NDX +0.2% next day
10/31/05… NDX -0.2% next day
07/05/05… NDX -0.6% next day
03/29/04… NDX +0.2% next day
11/03/03… NDX -1.0% next day
09/02/03… NDX -0.1% next day
07/07/03… NDX +1.3% next day (*)
07/02/03… NDX -1.2% next day
05/30/03… NDX -1.1% next day
05/27/03… NDX +0.1% next day
05/02/03… NDX -0.0% next day
04/02/03… NDX +0.1% next day
03/13/03… NDX +0.1% next day
02/18/03… NDX -0.9% next day
01/02/03… NDX +0.4% next day
11/27/02… NDX -0.9% next day
11/20/02… NDX +4.5% next day (*)
08/04/02… NDX +1.3% next day (*)
S&P futures posted an unfilled upside gap Monday, just one week after an initial upside gap on November 9th. When sellers can’t drive the market lower to fill a gap and then a second upside gap appears, it’s usually a sign that sellers are overwhelmed. While conditions can often turn choppy after the second gap, the market has a good track record of rebounding from short-term weakness and settling flat-to-higher one month later. In the table below are each of the last thirty instances in which two unfilled upside gaps formed within a one-month time frame, along with the performance of the S&P500 looking out twenty trading days. To qualify for inclusion, the first gap must remain unfilled when the second gap appears.
Two Unfilled Upside Gaps In a One-Month Time Frame
11/09/09 & 11/16/09… S&P500 ??? one month later
10/08/09 & 10/14/09… S&P500 +0.8% one month later
10/06/09 & 10/08/09… S&P500 -0.1% one month later
07/30/09 & 08/21/09… S&P500 +3.8% one month later
07/15/09 & 07/30/09… S&P500 +4.5% one month later
04/02/09 & 04/09/09… S&P500 +8.5% one month later
11/24/08 & 12/08/08… S&P500 -0.3% one month later
04/16/08 & 04/18/08… S&P500 +2.5% one month later
03/18/08 & 03/24/08… S&P500 +2.8% one month later
12/21/07 & 12/24/07… S&P500 -10.2% one month later (*)
11/28/07 & 12/05/07… S&P500 -5.0% one month later (*)
04/16/07 & 04/20/07… S&P500 +2.3% one month later
04/03/07 & 04/16/07… S&P500 +2.3% one month later
06/15/06 & 06/29/06… S&P500 -0.1% one month later
10/31/05 & 11/17/05… S&P500 +1.7% one month later
05/18/05 & 05/26/05… S&P500 -0.6% one month later
10/01/04 & 10/04/04… S&P500 -0.4% one month later
11/24/03 & 12/01/03… S&P500 +3.8% one month later
03/13/03 & 04/02/03… S&P500 +4.3% one month later
10/15/02 & 10/17/02… S&P500 +2.7% one month later
10/11/02 & 10/15/02… S&P500 +0.2% one month later
11/13/01 & 12/05/01… S&P500 +0.5% one month later
11/05/01 & 11/13/01… S&P500 -0.3% one month later
09/24/01 & 09/28/01… S&P500 +5.6% one month later
04/10/01 & 04/18/01… S&P500 +3.4% one month later
10/28/99 & 10/29/99… S&P500 +2.5% one month later
03/25/99 & 03/29/99… S&P500 +4.6% one month later
03/05/99 & 03/25/99… S&P500 +4.7% one month later
11/23/98 & 11/27/98… S&P500 +2.3% one month later
10/30/98 & 11/23/98… S&P500 +0.8% one month later
01/13/98 & 02/02/98… S&P500 +5.1% one month later
In 22 out of the last 30 cases, or 73% of the time, the S&P500 was trading higher one month later. That’s not significantly better than the 56% random odds of a higher S&P one month later. But note that of the eight times the S&P failed to rally, it finished down 1%+ one month later only two times out of thirty (or 7% of the time). In the same period, the random chance for a drop of 1%+ over any twenty-day period was much higher at 35%. So when two unfilled upside gaps appear in a short period of time, we can infer downside potential is likely to be limited (<1%) over the coming month.
With today’s unfilled gap, a higher close on Tuesday would trigger a bullish short-term signal. When the market remains on firm footing the day after an unfilled gap, it suggests the underlying bullish momentum remains intact. See this recent column.
The number of new 52-week highs on the NYSE surged to over 300 issues Monday, putting the pivotal 400 level back on the radar. Note from this long-term chart of NYSE new highs that 400 has consistently represented an extreme reading over the last four decades. When the number of new highs has exceeded this level, it’s typically been a bullish sign for the intermediate-term. Every instance in which the number of new 52-week highs exceeded 400 for the first time in at least a month are listed in the table below. Note that out of 17 occurrences, 14 led to a higher S&P thirty days later. That’s not including the most recent occurrence on October 14th, which remains in effect until next Wednesday…
New 52-week Highs >400 First Time in a Month
10/14/09… S&P500 +1.6% thirty sessions later (open – ends 11/25)
05/31/07… S&P500 +1.4% thirty sessions later
04/16/07… S&P500 +3.4% thirty sessions later
02/01/07… S&P500 -4.1% thirty sessions later
12/04/06… S&P500 +1.5% thirty sessions later
10/26/06… S&P500 +1.5% thirty sessions later
01/27/06… S&P500 +0.0% thirty sessions later
07/11/05… S&P500 +0.2% thirty sessions later
02/04/05… S&P500 -1.6% thirty sessions later
11/04/04… S&P500 +2.8% thirty sessions later
09/02/03… S&P500 +2.7% thirty sessions later
05/27/03… S&P500 +5.3% thirty sessions later
09/16/97… S&P500 -2.5% thirty sessions later
06/12/97… S&P500 +6.3% thirty sessions later
02/18/86… S&P500 +6.0% thirty sessions later
05/20/85… S&P500 +1.2% thirty sessions later
10/07/82… S&P500 +7.4% thirty sessions later
02/20/76… S&P500 +0.2% thirty sessions later
Tomorrow we’ll take a look at an indicator that I’ve received a number of emails on – the Last Hour indicator, which has taken a tumble recently given the strong trend of last hour underperformance.