Low Volume Breakout, pt 2
By
Rennie on Wednesday, February 17th, 2010 at 11:29 am
In last night’s column I noted the unusual jump in the end-of-day volume figure for the NYSE last Friday, where a relatively flat volume day ended up being reported as a large 33% jump from the previous session. It turns out these last-minute surges in floor volume are not quite as uncommon as I originally thought and more importantly, may hold some forecasting potential. This chart highlights the daily difference between the percentage change in NYSE floor volume and NYSE consolidated volume since July 2007. You can see Friday’s 30% spike on the right and also that we’ve seen sporadic 20%+ readings throughout the last two and a half years. The table below lists each occurrence, with a ‘buy’ designation given if S&P futures closed above the open that session and a ‘sell’ given if futures closed below the open…
(Floor Volume % Chg – Consolidated Volume % Chg) >20%
02/12/10… Buy SPX 1075… ???
01/29/10… Sell SPX 1073… Lower SPX four sessions later
01/15/10… Sell SPX 1136… Lower SPX three sessions later
12/18/09… Buy SPX 1102… Higher SPX three-five sessions later
09/30/09… Sell SPX 1057… Lower SPX three-four sessions later
09/18/09… Sell SPX 1068… Lower SPX three-four sessions later
08/31/09… Buy SPX 1020… Higher SPX five sessions later
08/21/09… Buy SPX 1026… Higher SPX three-five sessions later
08/14/09… Sell SPX 1004… Lower SPX three sessions later
07/06/09… Buy SPX 898… Higher SPX five sessions later
06/26/09… Buy SPX 918… Higher SPX three sessions later
06/19/09… Sell SPX 921… Lower SPX three-five sessions later
06/15/09… Sell SPX 923… Lower SPX three-five sessions later
05/29/09… Buy SPX 919… Higher SPX three-five sessions later
03/20/09… Sell SPX 768… No lower SPX close three-five sessions later (*)
12/19/08… Sell SPX 887… Lower SPX three-five sessions later
09/29/08… Sell SPX 1106… Lower SPX four-five sessions later
09/19/08… Sell SPX 1255… Lower SPX three-five sessions later
06/20/08… Sell SPX 1317… Lower SPX four-five sessions later
03/20/08… Buy SPX 1329… Higher SPX three sessions later
12/21/07… Buy SPX 1484… Higher SPX two sessions later (*)
09/21/07… Sell SPX 1525… Lower SPX three sessions later
07/16/07… Sell SPX 1549… Lower SPX four-five sessions later
07/03/07… Buy SPX 1524… Higher SPX three sessions later
06/22/07… Sell SPX 1502… Lower SPX two sessions later (*)
06/15/07… Sell SPX 1532… Lower SPX three-five sessions later
01/11/07… Buy SPX 1423… Higher SPX two-five sessions later
01/04/07… Buy SPX 1418… Higher SPX five sessions later
Out of 27 total occurrences since our database of consolidated volume began in 2007, 24 led to follow-through from the day of the elevated floor volume. When S&P futures settled below the open, 14 out of 16 occurrences led to a lower S&P close 3-5 trading days later. Similarly, when S&P futures settled above the open, 10 out of 11 occurrences led to a higher S&P close 3-5 trading days later. That combined 89% win rate is significantly above the 63% random chance for upside /downside follow-through in the 3-5 days after a close above/below the open, suggesting that when NYSE floor volume makes an unusually large leap relative to consolidated volume, that day’s move is likely to continue over the short-term.
Low Volume Breakout, pt 2
By Rennie on Wednesday, February 17th, 2010 at 11:29 amIn last night’s column I noted the unusual jump in the end-of-day volume figure for the NYSE last Friday, where a relatively flat volume day ended up being reported as a large 33% jump from the previous session. It turns out these last-minute surges in floor volume are not quite as uncommon as I originally thought and more importantly, may hold some forecasting potential. This chart highlights the daily difference between the percentage change in NYSE floor volume and NYSE consolidated volume since July 2007. You can see Friday’s 30% spike on the right and also that we’ve seen sporadic 20%+ readings throughout the last two and a half years. The table below lists each occurrence, with a ‘buy’ designation given if S&P futures closed above the open that session and a ‘sell’ given if futures closed below the open…
(Floor Volume % Chg – Consolidated Volume % Chg) >20%
02/12/10… Buy SPX 1075… ???
01/29/10… Sell SPX 1073… Lower SPX four sessions later
01/15/10… Sell SPX 1136… Lower SPX three sessions later
12/18/09… Buy SPX 1102… Higher SPX three-five sessions later
09/30/09… Sell SPX 1057… Lower SPX three-four sessions later
09/18/09… Sell SPX 1068… Lower SPX three-four sessions later
08/31/09… Buy SPX 1020… Higher SPX five sessions later
08/21/09… Buy SPX 1026… Higher SPX three-five sessions later
08/14/09… Sell SPX 1004… Lower SPX three sessions later
07/06/09… Buy SPX 898… Higher SPX five sessions later
06/26/09… Buy SPX 918… Higher SPX three sessions later
06/19/09… Sell SPX 921… Lower SPX three-five sessions later
06/15/09… Sell SPX 923… Lower SPX three-five sessions later
05/29/09… Buy SPX 919… Higher SPX three-five sessions later
03/20/09… Sell SPX 768… No lower SPX close three-five sessions later (*)
12/19/08… Sell SPX 887… Lower SPX three-five sessions later
09/29/08… Sell SPX 1106… Lower SPX four-five sessions later
09/19/08… Sell SPX 1255… Lower SPX three-five sessions later
06/20/08… Sell SPX 1317… Lower SPX four-five sessions later
03/20/08… Buy SPX 1329… Higher SPX three sessions later
12/21/07… Buy SPX 1484… Higher SPX two sessions later (*)
09/21/07… Sell SPX 1525… Lower SPX three sessions later
07/16/07… Sell SPX 1549… Lower SPX four-five sessions later
07/03/07… Buy SPX 1524… Higher SPX three sessions later
06/22/07… Sell SPX 1502… Lower SPX two sessions later (*)
06/15/07… Sell SPX 1532… Lower SPX three-five sessions later
01/11/07… Buy SPX 1423… Higher SPX two-five sessions later
01/04/07… Buy SPX 1418… Higher SPX five sessions later
Out of 27 total occurrences since our database of consolidated volume began in 2007, 24 led to follow-through from the day of the elevated floor volume. When S&P futures settled below the open, 14 out of 16 occurrences led to a lower S&P close 3-5 trading days later. Similarly, when S&P futures settled above the open, 10 out of 11 occurrences led to a higher S&P close 3-5 trading days later. That combined 89% win rate is significantly above the 63% random chance for upside /downside follow-through in the 3-5 days after a close above/below the open, suggesting that when NYSE floor volume makes an unusually large leap relative to consolidated volume, that day’s move is likely to continue over the short-term.