NASDAQ Volume Higher Despite Sharp Dropoff for NYSE Volume
By
Rennie on Tuesday, March 2nd, 2010 at 1:55 am
S&P futures kicked off March with an unfilled upside gap. Cumulative TICK closed at +60,000, marking the fifteenth consecutive session with positive NYSE TICK action. TICKscore closed at +18, sending the Cumulative TICKscore line above its January high and dealing a blow to the negative divergence seen on the longer-term chart. It’s still holding below the October high, so an argument could be made that the long-term negative divergence is wounded but still intact. It will be very interesting to monitor this cumulative line if & when the S&P challenges its January high.
Breadth closed better than 3:1 positive on the NYSE, sending the cumulative breadth line cleanly above its January high. Breadth tends to lead price, so the upside break signals the S&P will most likely attempt to follow-through with a challenge of its January high. Keep in mind long-term trendline resistance looms only about 10 points beyond that high around SPX 1160.
In an unusual development, NASDAQ volume increased 10% from the previous session even as NYSE volume declined significantly (over 20%) from Friday’s level. That sent the NASDAQ/NYSE Volume Ratio into extreme territory (>2.50) at Monday’s close, suggesting the potential for short-term weakness. We’ve only seen readings this high on six other occasions in the last two decades, but it’s noteworthy that in each case the elevated NASDAQ volume relative to NYSE volume led to short-term weakness…
NASDAQ/NYSE Volume Ratio Hits 2.50
03/01/10… NDX ???
01/28/10… NDX -1.7% next day, +0.3% in three days
01/14/10… NDX -1.2% next day, -1.0% in three days
08/13/09… NDX -1.1% next day, -2.6% in three days
07/02/09… NDX -0.4% next day, -2.4% in three days
11/29/02… NDX +0.4% next day, -4.2% in three days
12/29/00… NDX -9.1% next day, +5.1% in three days
We can also see on this longer-term chart of the ND/NY Volume Ratio that we’ve been in an environment of consistently elevated NASDAQ volume relative to NY volume since around May of last year. Hard not to notice that the only other comparable period was 2000. That said, the NYSE continues to lose market share, calling into question the accuracy of NYSE volume and volume-related indicators. NYSE consolidated volume jumped 55% in 2008 while floor volume was down 5%. Consolidated volume was up 11% last year while floor volume was down 8%. So far this year, consolidated volume is off about 8% compared to the first two months of ’09, while floor volume is off about 15%.
As noted earlier, NYSE volume came in 22% below Friday’s level, a sharp drop-off considering Monday’s lopsided positive breadth. The last thirty times that NYSE volume fell 20%+ from the previous day on a 2:1+ positive breadth session are listed in the table below. Note that in 21 out of 30 cases, or 70% of the time, the S&P closed lower (below the setup day’s close) two sessions later, significantly greater than the 48% random odds for a lower S&P close two sessions later in the same time frame. Only three cases led to an S&P up more than 1% two days later, while thirteen led to an S&P down more than 1% two days later.
2:1 Positive Breadth & NYSE Volume Down 20%+
03/01/10… S&P500 ??? two sessions later
02/16/10… S&P500 +1.1% two sessions later (*)
02/01/10… S&P500 +0.7% two sessions later
01/19/10… S&P500 -2.9% two sessions later
12/24/09… S&P500 -0.0% two sessions later
12/21/09… S&P500 +0.6% two sessions later
10/19/09… S&P500 -1.5% two sessions later
10/05/09… S&P500 +1.7% two sessions later (*)
07/01/09… S&P500 -2.7% two sessions later
04/03/09… S&P500 -3.2% two sessions later
03/23/09… S&P500 -1.1% two sessions later
03/17/09… S&P500 +0.8% two sessions later
11/26/08… S&P500 -8.1% two sessions later
10/20/08… S&P500 -9.0% two sessions later
10/13/08… S&P500 -9.5% two sessions later
03/24/08… S&P500 -0.7% two sessions later
01/14/08… S&P500 -3.0% two sessions later
12/24/07… S&P500 -1.3% two sessions later
11/23/07… S&P500 -0.9% two sessions later
06/01/07… S&P500 -0.4% two sessions later
05/25/07… S&P500 +1.0% two sessions later
03/19/07… S&P500 +2.4% two sessions later (*)
03/15/07… S&P500 +0.7% two sessions later
07/03/06… S&P500 -0.5% two sessions later
05/25/06… S&P500 -1.0% two sessions later
11/24/04… S&P500 -0.3% two sessions later
05/11/04… S&P500 +0.1% two sessions later
03/12/04… S&P500 -0.9% two sessions later
10/25/02… S&P500 -1.7% two sessions later
07/05/02… S&P500 -3.7% two sessions later
06/17/02… S&P500 -1.6% two sessions later
Recent performance has been erratic (50/50 over last eight signals), and this signal needs to generate a series of winners to maintain a significant edge over random. On its own I wouldn’t give this much weight, but considering the elevated NASDAQ volume I would tend to favor the downside for a short-term trade. Looking out towards the end of the week, it’s worth noting that we’ve only seen 19 prior instances of a 3:1+ positive breadth session on the first day of the month. In every case but one the S&P proceeded to post a subsequently higher close within the next four sessions.
NASDAQ Volume Higher Despite Sharp Dropoff for NYSE Volume
By Rennie on Tuesday, March 2nd, 2010 at 1:55 amS&P futures kicked off March with an unfilled upside gap. Cumulative TICK closed at +60,000, marking the fifteenth consecutive session with positive NYSE TICK action. TICKscore closed at +18, sending the Cumulative TICKscore line above its January high and dealing a blow to the negative divergence seen on the longer-term chart. It’s still holding below the October high, so an argument could be made that the long-term negative divergence is wounded but still intact. It will be very interesting to monitor this cumulative line if & when the S&P challenges its January high.
Breadth closed better than 3:1 positive on the NYSE, sending the cumulative breadth line cleanly above its January high. Breadth tends to lead price, so the upside break signals the S&P will most likely attempt to follow-through with a challenge of its January high. Keep in mind long-term trendline resistance looms only about 10 points beyond that high around SPX 1160.
In an unusual development, NASDAQ volume increased 10% from the previous session even as NYSE volume declined significantly (over 20%) from Friday’s level. That sent the NASDAQ/NYSE Volume Ratio into extreme territory (>2.50) at Monday’s close, suggesting the potential for short-term weakness. We’ve only seen readings this high on six other occasions in the last two decades, but it’s noteworthy that in each case the elevated NASDAQ volume relative to NYSE volume led to short-term weakness…
NASDAQ/NYSE Volume Ratio Hits 2.50
03/01/10… NDX ???
01/28/10… NDX -1.7% next day, +0.3% in three days
01/14/10… NDX -1.2% next day, -1.0% in three days
08/13/09… NDX -1.1% next day, -2.6% in three days
07/02/09… NDX -0.4% next day, -2.4% in three days
11/29/02… NDX +0.4% next day, -4.2% in three days
12/29/00… NDX -9.1% next day, +5.1% in three days
We can also see on this longer-term chart of the ND/NY Volume Ratio that we’ve been in an environment of consistently elevated NASDAQ volume relative to NY volume since around May of last year. Hard not to notice that the only other comparable period was 2000. That said, the NYSE continues to lose market share, calling into question the accuracy of NYSE volume and volume-related indicators. NYSE consolidated volume jumped 55% in 2008 while floor volume was down 5%. Consolidated volume was up 11% last year while floor volume was down 8%. So far this year, consolidated volume is off about 8% compared to the first two months of ’09, while floor volume is off about 15%.
As noted earlier, NYSE volume came in 22% below Friday’s level, a sharp drop-off considering Monday’s lopsided positive breadth. The last thirty times that NYSE volume fell 20%+ from the previous day on a 2:1+ positive breadth session are listed in the table below. Note that in 21 out of 30 cases, or 70% of the time, the S&P closed lower (below the setup day’s close) two sessions later, significantly greater than the 48% random odds for a lower S&P close two sessions later in the same time frame. Only three cases led to an S&P up more than 1% two days later, while thirteen led to an S&P down more than 1% two days later.
2:1 Positive Breadth & NYSE Volume Down 20%+
03/01/10… S&P500 ??? two sessions later
02/16/10… S&P500 +1.1% two sessions later (*)
02/01/10… S&P500 +0.7% two sessions later
01/19/10… S&P500 -2.9% two sessions later
12/24/09… S&P500 -0.0% two sessions later
12/21/09… S&P500 +0.6% two sessions later
10/19/09… S&P500 -1.5% two sessions later
10/05/09… S&P500 +1.7% two sessions later (*)
07/01/09… S&P500 -2.7% two sessions later
04/03/09… S&P500 -3.2% two sessions later
03/23/09… S&P500 -1.1% two sessions later
03/17/09… S&P500 +0.8% two sessions later
11/26/08… S&P500 -8.1% two sessions later
10/20/08… S&P500 -9.0% two sessions later
10/13/08… S&P500 -9.5% two sessions later
03/24/08… S&P500 -0.7% two sessions later
01/14/08… S&P500 -3.0% two sessions later
12/24/07… S&P500 -1.3% two sessions later
11/23/07… S&P500 -0.9% two sessions later
06/01/07… S&P500 -0.4% two sessions later
05/25/07… S&P500 +1.0% two sessions later
03/19/07… S&P500 +2.4% two sessions later (*)
03/15/07… S&P500 +0.7% two sessions later
07/03/06… S&P500 -0.5% two sessions later
05/25/06… S&P500 -1.0% two sessions later
11/24/04… S&P500 -0.3% two sessions later
05/11/04… S&P500 +0.1% two sessions later
03/12/04… S&P500 -0.9% two sessions later
10/25/02… S&P500 -1.7% two sessions later
07/05/02… S&P500 -3.7% two sessions later
06/17/02… S&P500 -1.6% two sessions later
Recent performance has been erratic (50/50 over last eight signals), and this signal needs to generate a series of winners to maintain a significant edge over random. On its own I wouldn’t give this much weight, but considering the elevated NASDAQ volume I would tend to favor the downside for a short-term trade. Looking out towards the end of the week, it’s worth noting that we’ve only seen 19 prior instances of a 3:1+ positive breadth session on the first day of the month. In every case but one the S&P proceeded to post a subsequently higher close within the next four sessions.