Poor Breadth for an Upside Gap

NYSE advance/decline ratio running at an unimpressive 1.43 even as S&P futures are set to post an unfilled upside gap. It’s understandable if you’re having trouble remembering the last time S&P futures posted an unfilled upside gap on such poor breadth. It’s been over five years since the last occurrence. The table below lists each instance since 1990 in which S&P futures posted an unfilled upside gap (low>previous day’s high) and the NYSE advance/decline ratio closed below 1.50…

Upside Gap for S&P futures, NYSE Adv/Dec Ratio <1.50
10/04/04… S&P futures +0.1% next session
04/02/04… S&P futures +0.5% next session
11/04/02… S&P futures +0.7% next session
11/27/00… S&P futures -1.5% next session
03/03/00… S&P futures -1.1% next session
02/08/00… S&P futures -1.9% next session
01/14/00… S&P futures -0.6% next session
01/10/00… S&P futures -1.4% next session
12/03/99… S&P futures -0.9% next session
10/04/99… S&P futures -0.2% next session
09/27/99… S&P futures -0.2% next session
08/23/99… S&P futures +0.3% next session
04/05/99… S&P futures -0.2% next session
11/27/98… S&P futures -2.7% next session
06/24/96… S&P futures -0.2% next session
10/30/95… S&P futures -0.5% next session
01/14/94… S&P futures -0.2% next session
10/15/93… S&P futures -0.2% next session
02/11/93… S&P futures -0.8% next session
04/06/92… S&P futures -2.0% next session
01/19/90… S&P futures -3.2% next session

Note that in 17 out of 21 occurrences, or 81% of the time, the S&P closed lower the following session. Only one case led to an S&P up more than 0.5%.

Categories : Archived Intraday Commentary, Intraday Commentary

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