Implications of Today’s Subdued NYSE TICK

SPY and ES volume running 30% below levels at this time Friday, setting up for the lowest volume day of 2010. NYSE TICK similarly subdued, which could end up triggering a short-term buy signal at today’s close. So far today’s intraday TICK high stands at 944, lower than Friday’s 960 high. If the S&P closes higher today and the TICK remains below that 960 level, a 2-3 day buy setup will be triggered. Historically, when S&P futures post a higher high and higher close without seeing a higher high for the NYSE TICK, it’s a bullish indication looking out 2-3 trading days.  The last thirty occurrences are listed below…

S&P Futures Higher High & Close, NYSE TICK Lower High
02/17/10… Higher S&P close two sessions later
02/16/10… Higher S&P close two sessions later
01/06/10… Higher S&P close two sessions later
12/22/09… Higher S&P close two sessions later
12/11/09… Higher S&P close two sessions later
11/10/09… Higher S&P close three sessions later
11/09/09… Higher S&P close two sessions later
10/12/09… Higher S&P close two sessions later
07/27/09… Higher S&P close three sessions later
06/10/09… Higher S&P close two sessions later
11/30/07… Higher S&P close three sessions later
09/27/07… Higher S&P close two sessions later
09/13/07… Higher S&P close three sessions later
09/12/07… Higher S&P close two sessions later
08/22/07… Higher S&P close two sessions later
06/14/07… Higher S&P close two sessions later
05/07/07… Higher S&P close two sessions later
05/04/07… Higher S&P close two sessions later
04/16/07… Higher S&P close two sessions later
03/20/07… Higher S&P close two sessions later
02/15/07… Higher S&P close two sessions later
02/02/07… Higher S&P close three sessions later
12/05/06… No higher close 2-3 sessions later
10/24/06… Higher S&P close two sessions later
08/17/06… Higher S&P close two sessions later
02/16/06… Higher S&P close three sessions later
01/27/06… No higher close 2-3 sessions later
01/05/06… Higher S&P close two sessions later
11/03/05… Higher S&P close two sessions later
08/03/05… No higher close 2-3 sessions later

Note that in each of the last 22 occurrences, and in 27 out of the last 30 occurrences (90%) stretching back nearly five years, the S&P posted a subsequently higher close (above the setup day’s close) 2-3 trading days later, significantly above the 66% random chance for a higher S&P 2-3 sessions later in the same time frame.

Categories : Archived Intraday Commentary, Intraday Commentary

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