S&P Oscillator Not Rallying with the Market
By
Rennie on Tuesday, January 26th, 2010 at 3:16 pm
Looking beyond the potential for higher intraday prices from today’s close until 2pm ET Wednesday (see this mid-December column), we’re seeing short-term negative developments on an end-of-day basis…
With the SPX at 1100, it’s currently up 0.75% from its two-day ago close. Despite this rally, new 20-day highs are lagging well behind Monday’s 484 closing reading (currently 359). I went back and noted the last thirty times in which the S&P was up more than 0.75% from its two-day ago close and 20-day highs failed to expand. In the majority of cases, the S&P turned around and traded lower over the short-term…
S&P +0.75% over Two Days, 20-day Highs Contract
11/03/09… S&P500 +0.1% next session
08/10/09… S&P500 -1.3% next session
07/17/09… S&P500 +1.1% next session
06/12/09… S&P500 -2.4% next session
05/08/09… S&P500 -2.2% next session
05/06/09… S&P500 -1.3% next session
03/17/09… S&P500 +2.1% next session
03/04/09… S&P500 -4.3% next session
02/25/09… S&P500 -1.6% next session
02/12/09… S&P500 -1.0% next session
01/22/09… S&P500 +0.5% next session
10/14/08… S&P500 -9.0% next session
10/13/08… S&P500 -0.5% next session
10/01/08… S&P500 -4.0% next session
09/26/08… S&P500 -8.8% next session
09/25/08… S&P500 +0.3% next session
09/11/08… S&P500 +0.2% next session
01/10/08… S&P500 -1.4% next session
09/14/07… S&P500 -0.5% next session
08/24/07… S&P500 -0.9% next session
08/20/07… S&P500 +0.1% next session
08/02/07… S&P500 -2.7% next session
05/17/07… S&P500 +0.7% next session
03/15/07… S&P500 -0.4% next session
07/31/06… S&P500 -0.5% next session
07/24/06… S&P500 +0.6% next session
04/05/06… S&P500 -0.2% next session
04/04/06… S&P500 +0.4% next session
12/14/05… S&P500 -0.1% next session
08/03/05… S&P500 -0.7% next session
Note that in 20 out of the last 30 occurrences, or 67% of the time, the S&P500 closed lower the following session, significantly above the 46% random chance for a lower SPX close one day later in the same time frame. In only two cases did the S&P gain 1%+, while it fell 1%+ twelve times. For this setup to go into effect, new 20-day highs need to remain below Monday’s level and the SPX needs to close above 1100.
Another short-term negative development is that the Standard & Poors Oscillator is set to close lower for the second day in a row. Should the SPX finish higher, this would tilt the odds in favor of lower prices heading into Thursday’s close. The last thirty instances in which the S&P rallied two days and the Oscillator declined both days are listed in the table below…
S&P500 Up Two, S&P Oscillator Down Two
01/11/10… S&P500 -0.1% two sessions later
01/08/10… S&P500 -0.8% two sessions later
01/07/10… S&P500 +0.5% two sessions later
12/01/09… S&P500 -0.8% two sessions later
09/04/09… S&P500 +1.7% two sessions later (*)
08/27/09… S&P500 -1.0% two sessions later
06/12/09… S&P500 -3.6% two sessions later
04/24/09… S&P500 -1.3% two sessions later
04/01/09… S&P500 +3.9% two sessions later (*)
01/16/09… S&P500 -1.2% two sessions later
09/12/08… S&P500 -3.0% two sessions later
09/11/08… S&P500 -4.5% two sessions later
09/08/08… S&P500 -2.8% two sessions later
07/01/08… S&P500 -1.7% two sessions later
04/07/08… S&P500 -1.3% two sessions later
12/13/07… S&P500 -2.9% two sessions later
04/18/07… S&P500 +0.8% two sessions later
02/07/07… S&P500 -0.8% two sessions later
10/19/06… S&P500 +0.7% two sessions later
10/10/06… S&P500 +0.7% two sessions later
09/27/06… S&P500 -0.1% two sessions later
01/24/06… S&P500 +0.6% two sessions later
11/07/05… S&P500 -0.2% two sessions later
09/16/05… S&P500 -1.3% two sessions later
08/03/05… S&P500 -1.5% two sessions later
07/14/05… S&P500 -0.4% two sessions later
02/16/05… S&P500 -0.7% two sessions later
02/15/05… S&P500 -0.8% two sessions later
12/09/04… S&P500 +0.8% two sessions later
11/18/04… S&P500 -0.5% two sessions later
In 22 out of the last 30 occurrences, or 73% of the time, the S&P closed lower two sessions later, significantly above the 48% at-any-time odds for a lower S&P close two days later in the same time frame. The market was up more than 1% over next two days only twice, while it lost more than 1% eleven times.
S&P Oscillator Not Rallying with the Market
By Rennie on Tuesday, January 26th, 2010 at 3:16 pmLooking beyond the potential for higher intraday prices from today’s close until 2pm ET Wednesday (see this mid-December column), we’re seeing short-term negative developments on an end-of-day basis…
With the SPX at 1100, it’s currently up 0.75% from its two-day ago close. Despite this rally, new 20-day highs are lagging well behind Monday’s 484 closing reading (currently 359). I went back and noted the last thirty times in which the S&P was up more than 0.75% from its two-day ago close and 20-day highs failed to expand. In the majority of cases, the S&P turned around and traded lower over the short-term…
S&P +0.75% over Two Days, 20-day Highs Contract
11/03/09… S&P500 +0.1% next session
08/10/09… S&P500 -1.3% next session
07/17/09… S&P500 +1.1% next session
06/12/09… S&P500 -2.4% next session
05/08/09… S&P500 -2.2% next session
05/06/09… S&P500 -1.3% next session
03/17/09… S&P500 +2.1% next session
03/04/09… S&P500 -4.3% next session
02/25/09… S&P500 -1.6% next session
02/12/09… S&P500 -1.0% next session
01/22/09… S&P500 +0.5% next session
10/14/08… S&P500 -9.0% next session
10/13/08… S&P500 -0.5% next session
10/01/08… S&P500 -4.0% next session
09/26/08… S&P500 -8.8% next session
09/25/08… S&P500 +0.3% next session
09/11/08… S&P500 +0.2% next session
01/10/08… S&P500 -1.4% next session
09/14/07… S&P500 -0.5% next session
08/24/07… S&P500 -0.9% next session
08/20/07… S&P500 +0.1% next session
08/02/07… S&P500 -2.7% next session
05/17/07… S&P500 +0.7% next session
03/15/07… S&P500 -0.4% next session
07/31/06… S&P500 -0.5% next session
07/24/06… S&P500 +0.6% next session
04/05/06… S&P500 -0.2% next session
04/04/06… S&P500 +0.4% next session
12/14/05… S&P500 -0.1% next session
08/03/05… S&P500 -0.7% next session
Note that in 20 out of the last 30 occurrences, or 67% of the time, the S&P500 closed lower the following session, significantly above the 46% random chance for a lower SPX close one day later in the same time frame. In only two cases did the S&P gain 1%+, while it fell 1%+ twelve times. For this setup to go into effect, new 20-day highs need to remain below Monday’s level and the SPX needs to close above 1100.
Another short-term negative development is that the Standard & Poors Oscillator is set to close lower for the second day in a row. Should the SPX finish higher, this would tilt the odds in favor of lower prices heading into Thursday’s close. The last thirty instances in which the S&P rallied two days and the Oscillator declined both days are listed in the table below…
S&P500 Up Two, S&P Oscillator Down Two
01/11/10… S&P500 -0.1% two sessions later
01/08/10… S&P500 -0.8% two sessions later
01/07/10… S&P500 +0.5% two sessions later
12/01/09… S&P500 -0.8% two sessions later
09/04/09… S&P500 +1.7% two sessions later (*)
08/27/09… S&P500 -1.0% two sessions later
06/12/09… S&P500 -3.6% two sessions later
04/24/09… S&P500 -1.3% two sessions later
04/01/09… S&P500 +3.9% two sessions later (*)
01/16/09… S&P500 -1.2% two sessions later
09/12/08… S&P500 -3.0% two sessions later
09/11/08… S&P500 -4.5% two sessions later
09/08/08… S&P500 -2.8% two sessions later
07/01/08… S&P500 -1.7% two sessions later
04/07/08… S&P500 -1.3% two sessions later
12/13/07… S&P500 -2.9% two sessions later
04/18/07… S&P500 +0.8% two sessions later
02/07/07… S&P500 -0.8% two sessions later
10/19/06… S&P500 +0.7% two sessions later
10/10/06… S&P500 +0.7% two sessions later
09/27/06… S&P500 -0.1% two sessions later
01/24/06… S&P500 +0.6% two sessions later
11/07/05… S&P500 -0.2% two sessions later
09/16/05… S&P500 -1.3% two sessions later
08/03/05… S&P500 -1.5% two sessions later
07/14/05… S&P500 -0.4% two sessions later
02/16/05… S&P500 -0.7% two sessions later
02/15/05… S&P500 -0.8% two sessions later
12/09/04… S&P500 +0.8% two sessions later
11/18/04… S&P500 -0.5% two sessions later
In 22 out of the last 30 occurrences, or 73% of the time, the S&P closed lower two sessions later, significantly above the 48% at-any-time odds for a lower S&P close two days later in the same time frame. The market was up more than 1% over next two days only twice, while it lost more than 1% eleven times.