Negative Cumulative TICK Two Days? Not Recently

Stocks closed lower Tuesday as suggested by the recent persistent decline in the S&P Oscillator (see Sunday’s commentary). While I would normally have viewed a down day as a short-term buy given the equity put/call ratio setup outlined in that same column, the price pattern drawn by S&P futures on Tuesday was less than ideal. A late-session bounce left the March S&P contract above the day’s midpoint, which isn’t a positive development when it coincides with an unfilled downside gap day. The last thirty times that the S&Ps gapped down (high<previous day’s low) but settled in the upper half of the day’s range are listed below…

S&P Futures Gap Down, Close In Upper Half of Day’s Range
01/12/10… ???
11/27/09… S&P futures +0.5% next session
11/19/09… S&P futures -0.4% next session
08/31/09… S&P futures -2.3% next session
06/03/09… S&P futures +0.9% next session
05/21/09… S&P futures -0.4% next session
10/22/08… S&P futures +1.4% next session
10/06/08… S&P futures -4.5% next session
05/20/08… S&P futures -1.7% next session
09/07/07… S&P futures -0.3% next session
08/01/06… S&P futures +0.6% next session
11/17/03… S&P futures -1.0% next session
09/22/03… S&P futures +0.4% next session
02/04/03… S&P futures -0.6% next session
12/18/02… S&P futures -0.8% next session
09/23/02… S&P futures -1.6% next session
09/17/01… S&P futures -0.4% next session
02/16/01… S&P futures -1.6% next session
09/14/99… S&P futures -1.5% next session
08/19/99… S&P futures +1.0% next session
07/29/99… S&P futures -1.3% next session
06/23/99… S&P futures -0.7% next session
06/10/99… S&P futures -0.9% next session
08/21/98… S&P futures +0.6% next session
08/11/98… S&P futures +1.8% next session
04/27/98… S&P futures -0.2% next session
03/05/98… S&P futures +1.8% next session
12/19/97… S&P futures +0.6% next session
11/07/97… S&P futures -0.6% next session
12/11/96… S&P futures -1.6% next session
04/08/96… S&P futures -0.3% next session

In 20 out of the last 30 cases, or 67% of the time, the S&P closed lower the following session, significantly above the 46% at-any-time odds for a lower S&P close the next day. This pattern has been particularly negative over the past decade, with only one occurrence leading to a gain of over 1% the next day (while seven occurrences led to a loss of over 1%).

TICKscore remained in relatively neutral territory at -5, Cumulative TICK closed at a similarly neutral -9,600. Note that we haven’t seen two consecutive days of negative Cumulative TICK readings since late October. If we see a positive reading Wednesday, it would be an indication that we remain in an environment with no real sellers. With institutions on the sidelines and investors optimistic, that could set the stage for another challenge of trendline resistance in the SPX 1155 area.

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

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