Low Volume Gap

Very light volume session for S&P futures and SPY (see relative volume charts). Exchange volume not as light but still running about 3-4% below levels at this time yesterday. Assuming NYSE volume comes in below Wednesday’s level and today’s upside gap for S&P futures remains unfilled, a short-term sell will go into effect. Historically, less than one-third of unfilled upside gaps coincide with a decrease in NYSE volume from the previous session. Those occurrences share a common theme – they tend to relate to short-term tops in the S&P, either immediately or after another day or so of gains. The last thirty instances of this pattern are listed in the table below. Note that in 28 out of 30 cases, or 93% of the time, the S&P posted a subsequently lower close within the next four sessions. That’s significantly better than the 73% random odds for a lower S&P close within four days in the same time frame…

Unfilled Upside Gap for S&Ps & Dropoff in NYSE Volume
12/01/09… Lower S&P close one session later
11/23/09… Lower S&P close one session later
06/01/09… Lower S&P close two sessions later
11/24/08… Lower S&P close four sessions later
08/22/08… Lower S&P close one session later
03/24/08… Lower S&P close two sessions later
03/18/08… Lower S&P close one session later
12/24/07… Lower S&P close two sessions later
08/17/07… Lower S&P close one session later
07/03/07… Lower S&P close four sessions later
06/15/06… Lower S&P close one session later
05/05/06… Lower S&P close one session later
05/26/05… Lower S&P close two sessions later
10/04/04… Lower S&P close three sessions later
02/18/03… Lower S&P close one session later
10/11/02… No lower close within four sessions
07/29/02… Lower S&P close three sessions later
07/05/02… Lower S&P close one session later
06/17/02… Lower S&P close two sessions later
09/24/01… No lower close within four sessions
04/05/01… Lower S&P close one session later
03/26/01… Lower S&P close two sessions later
11/14/00… Lower S&P close two sessions later
10/19/00… Lower S&P close four sessions later
03/03/00… Lower S&P close one session later
01/10/00… Lower S&P close one session later
12/23/99… Lower S&P close one session later
10/29/99… Lower S&P close one session later
10/22/99… Lower S&P close one session later
10/04/99… Lower S&P close one session later

Categories : Archived Intraday Commentary, Intraday Commentary

 Print This Post