Lower Highs for the New 20-day High-Low Spread
By
Rennie on Wednesday, January 20th, 2010 at 1:33 am
TICKscore settled at +9 Tuesday, Cumulative TICK +67,000. Over 300 issues hit new 52-week highs on the NYSE, a solid number but still far fewer than the 500+ reading seen January 11th. New 52-week highs on the NASDAQ are also well off levels from earlier this month, indicating fewer stocks are participating in this recent leg up. The narrowing base is also evident in the new 20-day high-low data. Note that the spread between new 20-day highs and lows is under 1,000 vs over 2,000 one week ago when the S&P was trading at a slightly lower level. That spread is in the process of making a series of lower highs for the first time since November. These divergences are particularly interesting to monitor considering the S&P is trading just below long-term trendline resistance in the SPX 1155 area.
The Nasdaq Volatility Index (VXN) closed higher Tuesday despite the 2:1 positive breadth on the NASDAQ exchange, a pattern that typically means limited upside potential the following session. Here’s a look at the last 30 times the VXN closed higher on a day when Nasdaq advancers doubled decliners…
NASDAQ Breadth 2:1 Positive, VXN Up
01/19/10… NDX ??? next day
11/16/09… NDX +0.3% 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 (*)
Note the general theme of limited upside potential. While the chance of a higher or lower NDX close the next day was roughly 50/50, the NDX closed up more than 0.5% only three times out of thirty, significantly below the 33% random chance for a gain of more than 0.5% one day later. That’s consistent with the S&P’s track record the day after closing at a fresh six-month high (at it did Tuesday). See this mid-December column.
Lower Highs for the New 20-day High-Low Spread
By Rennie on Wednesday, January 20th, 2010 at 1:33 amTICKscore settled at +9 Tuesday, Cumulative TICK +67,000. Over 300 issues hit new 52-week highs on the NYSE, a solid number but still far fewer than the 500+ reading seen January 11th. New 52-week highs on the NASDAQ are also well off levels from earlier this month, indicating fewer stocks are participating in this recent leg up. The narrowing base is also evident in the new 20-day high-low data. Note that the spread between new 20-day highs and lows is under 1,000 vs over 2,000 one week ago when the S&P was trading at a slightly lower level. That spread is in the process of making a series of lower highs for the first time since November. These divergences are particularly interesting to monitor considering the S&P is trading just below long-term trendline resistance in the SPX 1155 area.
The Nasdaq Volatility Index (VXN) closed higher Tuesday despite the 2:1 positive breadth on the NASDAQ exchange, a pattern that typically means limited upside potential the following session. Here’s a look at the last 30 times the VXN closed higher on a day when Nasdaq advancers doubled decliners…
NASDAQ Breadth 2:1 Positive, VXN Up
01/19/10… NDX ??? next day
11/16/09… NDX +0.3% 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 (*)
Note the general theme of limited upside potential. While the chance of a higher or lower NDX close the next day was roughly 50/50, the NDX closed up more than 0.5% only three times out of thirty, significantly below the 33% random chance for a gain of more than 0.5% one day later. That’s consistent with the S&P’s track record the day after closing at a fresh six-month high (at it did Tuesday). See this mid-December column.