Cumulative TICK Positive 24th Consecutive Session, Hits One-Month Low

TICKscore closed at -2 Friday, Cumulative TICK +4,376. That’s the 24th consecutive session with a positive closing Cumulative TICK, but note it’s also the lowest reading in a month. The CBOE equity put/call ratio closed at .53, its sixth consecutive close below the .55 level (for the first time since January ’04). New 20-day highs surged back over 2,000 and new 52-week highs moved back over 400, but both indicators ended the week below where they started. While not a major divergence, this signals fewer stocks participating in the rally as the week progressed, opening up the possibility of a short-term selloff.

While the S&P cash settled slightly lower Friday, futures rallied in the 15 minutes post-cash close to settle slightly higher. That triggered a short-term sell signal for Monday, given that the higher close coincided with a black candlestick. When S&P futures post three higher closes with white candles (close>open) followed by another higher close with a black candle (close<open), it usually precedes a short-term selloff. The last thirty occurrences are listed below…

S&P Futures Post Three Higher Closes w/ White Candles
followed by Fourth Higher Close w/ Black Candlestick
03/12/10… S&P futures ??? next session
02/22/10… S&P futures -0.9% next session
01/11/10… S&P futures -0.8% next session
12/23/09… S&P futures +0.6% next session
11/11/09… S&P futures -0.8% next session
10/12/09… S&P futures -0.3% next session
07/21/09… S&P futures -0.4% next session
01/06/09… S&P futures -2.7% next session
05/30/08… S&P futures -1.1% next session
11/30/07… S&P futures -0.6% next session
04/09/07… S&P futures +0.1% next session
11/16/06… S&P futures -0.0% next session
09/15/06… S&P futures +0.2% next session
04/21/06… S&P futures -0.2% next session
03/17/06… S&P futures -0.2% next session
07/14/05… S&P futures -0.0% next session
11/01/04… S&P futures -0.0% next session
05/28/03… S&P futures -0.3% next session
10/20/98… S&P futures -0.1% next session
01/30/98… S&P futures +1.6% next session
06/16/97… S&P futures -0.2% next session
12/20/96… S&P futures -0.4% next session
05/15/96… S&P futures -0.1% next session
02/07/95… S&P futures -0.1% next session
01/27/95… S&P futures -0.3% next session
10/13/94… S&P futures +0.5% next session
01/15/93… S&P futures +0.2% next session
12/22/92… S&P futures -0.2% next session
11/30/92… S&P futures +0.0% next session
05/22/89… S&P futures -1.1% next session
01/30/89… S&P futures +0.7% next session

Note that in 22 out of the last 30 occurrences, or 73% of the time, S&P futures settled lower the following session. That’s a strong edge considering the random chance for a lower S&P close one day later in the same time frame is only 46%. This is in addition to the ‘six higher highs’ sell signal discussed Friday that points to an S&P close below Friday’s settlement in the Tuesday-Thursday time frame.

One indicator we’ll want to keep an eye on assuming a selloff does manifest is the number of stocks (across all exchanges) closing above their 20-day moving average. This is a new indicator we’ve been researching, and while the concept is nothing new, we take a different approach in analyzing the data. Details tomorrow.

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

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