BKX/SPX Divergence

Heading into the final 30 minutes of trading, the BKX is up 1.6% while the S&P is off 1%+. Looking back at instances when the BKX gained 1.5%+ and the S&P finished lower, the  market has tended to stage a big move over the next two sessions…

BKX +1.5% or more, SPX Closes Lower
08/05/09 S&P +0.8% two sessions later
03/09/09 S&P +6.6% two sessions later
02/25/09 S&P -3.9% two sessions later
10/14/08 S&P -5.2%  two sessions later
10/10/08 S&P +11.0% two sessions later
10/01/08 S&P -5.3% two sessions later
09/02/08 S&P -3.2% two sessions later
08/01/08 S&P +1.9% two sessions later
06/24/08 S&P -2.4% two sessions later
01/22/08 S&P +3.2% two sessions later
01/16/08 S&P -3.5% two sessions later
03/07/07 S&P +0.8% two sessions later
05/02/02 S&P -2.9% two sessions later
05/22/01 S&P -1.2% two sessions later
10/02/00 S&P -0.1% two sessions later
09/25/00 S&P -0.9% two sessions later
09/08/00 S&P -0.8% two sessions later
08/22/00 S&P +0.7% two sessions later
05/22/00 S&P -0.1% two sessions later
05/08/00 S&P -2.9% two sessions later
04/12/00 S&P -7.5% two sessions later
04/10/00 S&P -2.5% two sessions later
01/26/00 S&P -3.1% two sessions later
01/12/00 S&P +2.3% two sessions later
09/24/99 S&P +0.4% two sessions later
03/01/99 S&P -0.7% two sessions later
01/07/99 S&P -0.5% two sessions later
09/02/98 S&P -1.7% two sessions later
04/13/98 S&P +0.9% two sessions later
04/06/98 S&P -1.8% two sessions later

Out of the 24 occurrences since 2000, 15 (63%) led to an S&P +/- 2% two sessions later, with the majority of cases leading to lower prices. By comparison, the random chance of an absolute move of 2%+ over any two-day period since 2000 has only been 20%. When the Bank Index and the S&P have diverged in such a significant manner, there’s been a better-than-average chance of a large directional move.

Categories : Archived Intraday Commentary, Intraday Commentary

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