Potential NR10 for S&P
By
Rennie on Friday, May 28th, 2010 at 2:44 pm
Noteworthy that S&P futures are in the process of posting an NR10 day (the narrowest range day in two weeks) and NYSE breadth is holding in 2:1 negative territory. Since inception, there have only been 27 instances in which NYSE breadth closed 2:1 negative and S&P futures posted an NR10 day. In 21 out of 27 cases, or 78% of the time, S&P futures closed at a higher level one week later, significantly above the 55% random chance for a higher S&P one week later in the same time frame. In only one case was the S&P down 2%+ one week later, while it gained 2%+ nine times. For this setup to go into effect, today’s intraday high (1101.30) and low (1083.30) for June S&Ps need to hold into the close and the advance/decline ratio needs to hold below .50…
S&P Futures NR10 Day w/ 2:1 Negative Breadth
08/31/09… S&P futures +0.5% one week later
08/17/09… S&P futures +4.7% one week later
05/11/09… S&P futures -0.2% one week later
04/27/09… S&P futures +5.4% one week later
04/07/09… S&P futures +4.2% one week later
03/27/09… S&P futures +3.0% one week later
10/21/08… S&P futures -2.2% one week later
06/18/08… S&P futures -1.2% one week later
09/17/07… S&P futures +2.8% one week later
08/27/07… S&P futures +1.4% one week later
03/07/06… S&P futures +1.6% one week later
05/25/05… S&P futures +1.1% one week later
09/17/98… S&P futures +2.4% one week later
09/10/98… S&P futures +5.2% one week later
12/07/94… S&P futures +0.7% one week later
11/11/94… S&P futures +0.1% one week later
02/20/91… S&P futures +0.7% one week later
12/17/90… S&P futures +0.6% one week later
09/14/90… S&P futures -1.5% one week later
11/09/87… S&P futures +1.1% one week later
03/17/86… S&P futures +0.2% one week later
09/13/85… S&P futures +0.5% one week later
05/11/84… S&P futures -1.7% one week later
02/09/84… S&P futures -0.2% one week later
08/08/83… S&P futures +2.4% one week later
09/17/82… S&P futures +0.2% one week later
09/10/82… S&P futures +2.4% one week later
Potential NR10 for S&P
By Rennie on Friday, May 28th, 2010 at 2:44 pmNoteworthy that S&P futures are in the process of posting an NR10 day (the narrowest range day in two weeks) and NYSE breadth is holding in 2:1 negative territory. Since inception, there have only been 27 instances in which NYSE breadth closed 2:1 negative and S&P futures posted an NR10 day. In 21 out of 27 cases, or 78% of the time, S&P futures closed at a higher level one week later, significantly above the 55% random chance for a higher S&P one week later in the same time frame. In only one case was the S&P down 2%+ one week later, while it gained 2%+ nine times. For this setup to go into effect, today’s intraday high (1101.30) and low (1083.30) for June S&Ps need to hold into the close and the advance/decline ratio needs to hold below .50…
S&P Futures NR10 Day w/ 2:1 Negative Breadth
08/31/09… S&P futures +0.5% one week later
08/17/09… S&P futures +4.7% one week later
05/11/09… S&P futures -0.2% one week later
04/27/09… S&P futures +5.4% one week later
04/07/09… S&P futures +4.2% one week later
03/27/09… S&P futures +3.0% one week later
10/21/08… S&P futures -2.2% one week later
06/18/08… S&P futures -1.2% one week later
09/17/07… S&P futures +2.8% one week later
08/27/07… S&P futures +1.4% one week later
03/07/06… S&P futures +1.6% one week later
05/25/05… S&P futures +1.1% one week later
09/17/98… S&P futures +2.4% one week later
09/10/98… S&P futures +5.2% one week later
12/07/94… S&P futures +0.7% one week later
11/11/94… S&P futures +0.1% one week later
02/20/91… S&P futures +0.7% one week later
12/17/90… S&P futures +0.6% one week later
09/14/90… S&P futures -1.5% one week later
11/09/87… S&P futures +1.1% one week later
03/17/86… S&P futures +0.2% one week later
09/13/85… S&P futures +0.5% one week later
05/11/84… S&P futures -1.7% one week later
02/09/84… S&P futures -0.2% one week later
08/08/83… S&P futures +2.4% one week later
09/17/82… S&P futures +0.2% one week later
09/10/82… S&P futures +2.4% one week later