Market Internals Highlight Some Distribution Beneath the Surface
By
Rennie on Monday, March 15th, 2010 at 9:43 pm
Cumulative TICK traded below the -10,000 level on an intraday basis for the first time in over a month Monday. While it closed in positive territory at +15,000, the intraday weakness could be a sign of emerging selling pressure. I’d also add that while today’s close was positive (for the 25th consecutive session), it was well below the +50,000 readings from mid-February that are now falling off the average. That will keep the 20-day moving average in the process of moving lower, noteworthy considering it tracks the S&P with very little lag.
As noted in this follow-up to Monday’s intraday update, weak breadth on an up day for the market is a generally negative indication for the following session. While we didn’t see an advance/decline ratio below .60 as discussed in the first update, we did see a closing ratio under .75. This too normally leads to a lower S&P close the next day. The last 30 occurrences are listed below…
SPX Closes Higher, Adv/Dec Ratio <.75
03/15/10… S&P500 ??? next session
07/06/09… S&P500 -2.0% next session
03/06/09… S&P500 -1.0% next session
11/18/08… S&P500 -6.1% next session
10/23/08… S&P500 -3.5% next session
09/26/08… S&P500 -8.8% next session
07/03/08… S&P500 -0.8% next session
07/01/08… S&P500 -1.8% next session
06/30/08… S&P500 +0.4% next session
06/23/08… S&P500 -0.3% next session
06/09/08… S&P500 -0.2% next session
12/13/07… S&P500 -1.4% next session
08/16/07… S&P500 +2.5% next session
08/10/07… S&P500 -0.1% next session
08/01/07… S&P500 +0.4% next session
07/25/07… S&P500 -2.3% next session
05/24/06… S&P500 +1.1% next session
05/15/06… S&P500 -0.2% next session
04/10/06… S&P500 -0.8% next session
09/27/05… S&P500 +0.1% next session
03/23/05… S&P500 -0.1% next session
03/10/05… S&P500 -0.8% next session
02/18/05… S&P500 -1.5% next session
07/22/04… S&P500 -1.0% next session
04/23/04… S&P500 -0.5% next session
01/29/04… S&P500 -0.3% next session
08/25/03… S&P500 +0.3% next session
08/04/03… S&P500 -1.8% next session
03/12/03… S&P500 +3.5% next session
07/11/02… S&P500 -0.6% next session
07/03/02… S&P500 +3.7% next session
In 22 out of the last 30 occurrences, or 73% of the time, the S&P closed lower the following session. In the same period of time, the random chance at calling for a lower S&P close one day later is only 46%, indicating a significant downside edge when breadth lags on an up day.
Another sign of distribution beneath the surface showed up in the NYSE Down Volume statistics. For the first time in recent memory, the Down Volume percentage closed over 50% the past two consecutive sessions even as the S&P moved slightly higher in this two-day time frame. Historically this has been a negative indication for the following session, with 10 out of 11 occurrences since 1970 leading to a lower S&P close the following day…
SPX Up Over Two Days, Down Volume % >50% Both Days
03/15/10… S&P500 ???
10/31/06… S&P500 -0.7% next session
05/16/06… S&P500 -1.7% next session
02/10/06… S&P500 -0.3% next session
09/16/02… S&P500 -2.0% next session
02/24/00… S&P500 -1.5% next session
07/08/99… S&P500 +0.6% next session
07/27/98… S&P500 -1.5% next session
06/02/98… S&P500 -0.9% next session
07/02/70… S&P500 -1.6% next session
07/01/70… S&P500 -0.0% next session
04/09/70… S&P500 -0.3% next session
Keep in mind that a close above SPX 1140 on Tuesday would trigger a two-week buy setup based on the elevated Standard & Poors Oscillator (see this column from last September). So if a Tuesday selloff is relatively mild or doesn’t manifest at all, it would have generally bullish implications heading into the end of the month.
Market Internals Highlight Some Distribution Beneath the Surface
By Rennie on Monday, March 15th, 2010 at 9:43 pmCumulative TICK traded below the -10,000 level on an intraday basis for the first time in over a month Monday. While it closed in positive territory at +15,000, the intraday weakness could be a sign of emerging selling pressure. I’d also add that while today’s close was positive (for the 25th consecutive session), it was well below the +50,000 readings from mid-February that are now falling off the average. That will keep the 20-day moving average in the process of moving lower, noteworthy considering it tracks the S&P with very little lag.
As noted in this follow-up to Monday’s intraday update, weak breadth on an up day for the market is a generally negative indication for the following session. While we didn’t see an advance/decline ratio below .60 as discussed in the first update, we did see a closing ratio under .75. This too normally leads to a lower S&P close the next day. The last 30 occurrences are listed below…
SPX Closes Higher, Adv/Dec Ratio <.75
03/15/10… S&P500 ??? next session
07/06/09… S&P500 -2.0% next session
03/06/09… S&P500 -1.0% next session
11/18/08… S&P500 -6.1% next session
10/23/08… S&P500 -3.5% next session
09/26/08… S&P500 -8.8% next session
07/03/08… S&P500 -0.8% next session
07/01/08… S&P500 -1.8% next session
06/30/08… S&P500 +0.4% next session
06/23/08… S&P500 -0.3% next session
06/09/08… S&P500 -0.2% next session
12/13/07… S&P500 -1.4% next session
08/16/07… S&P500 +2.5% next session
08/10/07… S&P500 -0.1% next session
08/01/07… S&P500 +0.4% next session
07/25/07… S&P500 -2.3% next session
05/24/06… S&P500 +1.1% next session
05/15/06… S&P500 -0.2% next session
04/10/06… S&P500 -0.8% next session
09/27/05… S&P500 +0.1% next session
03/23/05… S&P500 -0.1% next session
03/10/05… S&P500 -0.8% next session
02/18/05… S&P500 -1.5% next session
07/22/04… S&P500 -1.0% next session
04/23/04… S&P500 -0.5% next session
01/29/04… S&P500 -0.3% next session
08/25/03… S&P500 +0.3% next session
08/04/03… S&P500 -1.8% next session
03/12/03… S&P500 +3.5% next session
07/11/02… S&P500 -0.6% next session
07/03/02… S&P500 +3.7% next session
In 22 out of the last 30 occurrences, or 73% of the time, the S&P closed lower the following session. In the same period of time, the random chance at calling for a lower S&P close one day later is only 46%, indicating a significant downside edge when breadth lags on an up day.
Another sign of distribution beneath the surface showed up in the NYSE Down Volume statistics. For the first time in recent memory, the Down Volume percentage closed over 50% the past two consecutive sessions even as the S&P moved slightly higher in this two-day time frame. Historically this has been a negative indication for the following session, with 10 out of 11 occurrences since 1970 leading to a lower S&P close the following day…
SPX Up Over Two Days, Down Volume % >50% Both Days
03/15/10… S&P500 ???
10/31/06… S&P500 -0.7% next session
05/16/06… S&P500 -1.7% next session
02/10/06… S&P500 -0.3% next session
09/16/02… S&P500 -2.0% next session
02/24/00… S&P500 -1.5% next session
07/08/99… S&P500 +0.6% next session
07/27/98… S&P500 -1.5% next session
06/02/98… S&P500 -0.9% next session
07/02/70… S&P500 -1.6% next session
07/01/70… S&P500 -0.0% next session
04/09/70… S&P500 -0.3% next session
Keep in mind that a close above SPX 1140 on Tuesday would trigger a two-week buy setup based on the elevated Standard & Poors Oscillator (see this column from last September). So if a Tuesday selloff is relatively mild or doesn’t manifest at all, it would have generally bullish implications heading into the end of the month.