New 20-day Highs Failing to Expand Despite Higher Highs for SPX, NDX
By
Rennie on Monday, February 8th, 2010 at 2:39 pm
Volume levels off significantly from Friday, with ES and SPY volume off 50% and making new session lows on a relative basis. Market internals all essentially flat heading into the final hour, so not a lot to lean on here. SPX currently unch’d at 1065. A close above 1063 will leave mixed signals on the board short-term. One noteworthy point is that despite higher highs for the SPX and NDX, new 20-day highs remain well below Friday’s close (currently 180 vs. 278 on Friday). Should the S&P close higher today and 20-day highs fail to expand, it would imply limited upside potential on Tuesday. The table below highlights the last thirty instances in which S&P futures posted a ‘rally day’ (higher high, higher low, higher close) and new 20-day highs across all exchanges declined from the previous session. Note the consistent theme of limited upside potential the next day…
Rally Day for S&P Futures, New 20-day Highs Drop
01/06/10… S&P futures +0.4% next session
12/24/09… S&P futures +0.1% next session
12/22/09… S&P futures +0.2% next session
12/11/09… S&P futures +0.5% next session
11/18/09… S&P futures -1.3% next session
11/10/09… S&P futures +0.4% next session
10/15/09… S&P futures -0.7% next session
10/09/09… S&P futures +0.3% next session
08/25/09… S&P futures +0.1% next session
08/04/09… S&P futures -0.4% next session
07/24/09… S&P futures +0.2% next session
07/21/09… S&P futures -0.4% next session
06/29/09… S&P futures -0.6% next session
06/02/09… S&P futures -1.2% next session
05/14/09… S&P futures -0.7% next session
05/08/09… S&P futures -1.7% next session
05/05/09… S&P futures +1.5% next session (*)
04/13/09… S&P futures -1.6% next session
03/04/09… S&P futures -3.2% next session
10/13/08… S&P futures -1.4% next session
04/17/08… S&P futures +1.1% next session (*)
12/24/07… S&P futures +0.2% next session
11/23/07… S&P futures -2.3% next session
09/13/07… S&P futures +0.0% next session
08/13/07… S&P futures -1.4% next session
07/13/07… S&P futures -0.0% next session
05/07/07… S&P futures -0.1% next session
04/26/07… S&P futures -0.1% next session
04/17/07… S&P futures +0.1% next session
03/23/07… S&P futures -0.1% next session
While the chance for a lower close the next day is only slightly better than random, note that in only two cases, or 7% of the time did the S&P gain more than 0.5% the following session. That’s significantly below the 32% random chance of a 0.5%+ gain one day later in the same time frame.
New 20-day Highs Failing to Expand Despite Higher Highs for SPX, NDX
By Rennie on Monday, February 8th, 2010 at 2:39 pmVolume levels off significantly from Friday, with ES and SPY volume off 50% and making new session lows on a relative basis. Market internals all essentially flat heading into the final hour, so not a lot to lean on here. SPX currently unch’d at 1065. A close above 1063 will leave mixed signals on the board short-term. One noteworthy point is that despite higher highs for the SPX and NDX, new 20-day highs remain well below Friday’s close (currently 180 vs. 278 on Friday). Should the S&P close higher today and 20-day highs fail to expand, it would imply limited upside potential on Tuesday. The table below highlights the last thirty instances in which S&P futures posted a ‘rally day’ (higher high, higher low, higher close) and new 20-day highs across all exchanges declined from the previous session. Note the consistent theme of limited upside potential the next day…
Rally Day for S&P Futures, New 20-day Highs Drop
01/06/10… S&P futures +0.4% next session
12/24/09… S&P futures +0.1% next session
12/22/09… S&P futures +0.2% next session
12/11/09… S&P futures +0.5% next session
11/18/09… S&P futures -1.3% next session
11/10/09… S&P futures +0.4% next session
10/15/09… S&P futures -0.7% next session
10/09/09… S&P futures +0.3% next session
08/25/09… S&P futures +0.1% next session
08/04/09… S&P futures -0.4% next session
07/24/09… S&P futures +0.2% next session
07/21/09… S&P futures -0.4% next session
06/29/09… S&P futures -0.6% next session
06/02/09… S&P futures -1.2% next session
05/14/09… S&P futures -0.7% next session
05/08/09… S&P futures -1.7% next session
05/05/09… S&P futures +1.5% next session (*)
04/13/09… S&P futures -1.6% next session
03/04/09… S&P futures -3.2% next session
10/13/08… S&P futures -1.4% next session
04/17/08… S&P futures +1.1% next session (*)
12/24/07… S&P futures +0.2% next session
11/23/07… S&P futures -2.3% next session
09/13/07… S&P futures +0.0% next session
08/13/07… S&P futures -1.4% next session
07/13/07… S&P futures -0.0% next session
05/07/07… S&P futures -0.1% next session
04/26/07… S&P futures -0.1% next session
04/17/07… S&P futures +0.1% next session
03/23/07… S&P futures -0.1% next session
While the chance for a lower close the next day is only slightly better than random, note that in only two cases, or 7% of the time did the S&P gain more than 0.5% the following session. That’s significantly below the 32% random chance of a 0.5%+ gain one day later in the same time frame.