Strong NYSE TICK Throughout Tuesday’s Session

NYSE TICK action was consistently strong throughout Tuesday’s session. Notice from the relative TICK chart that after a dip during the first hour, the Cumulative TICK line vaulted back to one of the best performing days of the last thirty sessions and held at relatively high levels for the remainder of the session. At the close, Cumulative TICK settled at +85,000, its highest reading in forty trading days. That’s a bullish sign from an intermediate-term perspective as it suggests active institutional buying. Historically, when the Cumulative TICK closes at a two-month high, the S&P has a strong track record of continuing to push higher over the next two weeks. The last thirty occurrences are listed in the table below…

NYSE Cumulative TICK Hits a Two-Month High
12/01/09… S&P500 ??? two weeks later
07/15/09… S&P500 +4.6%  two weeks later
03/12/09… S&P500 +10.9% two weeks later
03/10/09… S&P500 +12.0% two weeks later
01/02/09… S&P500 -8.8% two weeks later
10/13/08… S&P500 -15.4% two weeks later
07/29/08… S&P500 +2.1% two weeks later
07/16/08… S&P500 +3.1% two weeks later
04/16/08… S&P500 +1.5% two weeks later
03/18/08… S&P500 +2.8% two weeks later
11/28/07… S&P500 +1.2% two weeks later
06/27/07… S&P500 +2.8% two weeks later
05/02/07… S&P500 +1.2% two weeks later
04/05/07… S&P500 +2.8% two weeks later
03/20/07… S&P500 +1.9% two weeks later
10/12/06… S&P500 +1.9% two weeks later
10/04/06… S&P500 +1.2% two weeks later
07/19/06… S&P500 +1.5% two weeks later
06/01/06… S&P500 -2.3% two weeks later
04/18/06… S&P500 +0.4% two weeks later
01/03/06… S&P500 +0.7% two weeks later
11/02/05… S&P500 +1.4% two weeks later
05/18/05… S&P500 +1.6% two weeks later
02/04/05… S&P500 -0.1% two weeks later
01/31/05… S&P500 +2.1% two weeks later
11/04/04… S&P500 +1.9% two weeks later
05/25/04… S&P500 +1.6% two weeks later
05/11/04… S&P500 +1.6% two weeks later
02/06/04… S&P500 -0.2% two weeks later
12/29/03… S&P500 +1.1% two weeks later
10/01/03… S&P500 +2.8% two weeks later

In 25 out of the last 30 occurrences, or 83% of the time, the S&P was trading higher two weeks later, significantly better than the 57% at-any-time odds for a higher S&P ten trading days later in the same time frame.

On a short-term basis, Tuesday’s unfilled upside gap and dropoff in volume triggered a short-term sell, suggesting we’ll see a close below today’s settlement by next Monday at the latest. Since 1997, there have been a total of 146 sessions in which the front-month S&P futures contract posted an unfilled upside gap (intraday low > previous day’s high). Only 43 of these occurrences (less than one-third) coincided 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… ???
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
09/27/99… Lower S&P close one session later

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

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