Random Observations

Two 90% up volume days within five sessions never really occurred prior to 2007, but since then we’ve seen ten instances. All but one led to a higher S&P two weeks later…

90% Up Volume Day Within Five Days of 90% Up Volume Day
05/27/10… S&P500 ??? two weeks later
07/15/09… S&P500 +4.6% two weeks later
04/09/09… S&P500 +1.1% two weeks later
03/23/09… S&P500 +1.5% two weeks later
03/17/09… S&P500 +2.5% two weeks later
03/12/09… S&P500 +10.9% two weeks later
11/26/08… S&P500 -1.6% two weeks later
03/18/08… S&P500 +2.8% two weeks later
11/28/07… S&P500 +1.2% two weeks later
08/31/07… S&P500 +0.2% two weeks later
08/20/82… S&P500 +8.6% two weeks later

On Wednesday the Standard & Poors Oscillator closed under -10, an extreme reading for an indicator that usually oscillates in the +/- 7 range. The market has rallied off of such extreme readings in each of the last 11 cases since 1990, but the track record from 1970 through 1990 is very mixed. A much more reliable bullish signal involves looking for unusually high readings (+10) or for upside follow-through after a traditionally overbought reading (+7).

Standard & Poors Oscillator Closes <-10
05/26/10… S&P500 ??? one month later
02/23/09… S&P500 +10.7% one month later
11/18/08… S&P500 +5.3% one month later
10/27/08… S&P500 +0.3% one month later
10/07/08… S&P500 +1.0% one month later
07/02/08… S&P500 +0.5% one month later
07/19/02… S&P500 +9.6% one month later
09/19/01… S&P500 +6.0% one month later
03/22/01… S&P500 +11.2% one month later
08/31/98… S&P500 +9.6% one month later
04/04/94… S&P500 +3.2% one month later
08/23/90… S&P500 +1.4% one month later

10/16/87… S&P500 -13.2% one month later
03/25/80… S&P500 +4.6% one month later
03/14/80… S&P500 -2.5% one month later
10/19/79… S&P500 +2.2% one month later
10/23/78… S&P500 -3.0% one month later
09/16/74… S&P500 +9.8% one month later
08/22/74… S&P500 -3.7% one month later
07/10/74… S&P500 +3.3% one month later
11/30/73… S&P500 +1.7% one month later
11/20/73… S&P500 -3.9% one month later
11/14/73… S&P500 -9.8% one month later
05/21/70… S&P500 +6.0% one month later
05/14/70… S&P500 -1.3% one month later
05/04/70… S&P500 -1.9% one month later
04/27/70… S&P500 -13.8% one month later

With today’s big 97% up volume, the 20-day moving average of up volume is set to rise back over 40% at Friday’s close. That will close out the buy signal triggered last Friday based on the oversold up volume average. It would take a reading below 25% to keep the moving average under 40%.

New 20-day highs and lows were evenly matched Thursday at 245 vs. 244.

Last week’s program trading report shows 48.1% of total program volume was executed as principal for member firms’ own accounts, a significant jump compared to recent weeks. It’s generally a positive sign to see elevated levels of principal program activity and a negative sign when program trading hits relatively low levels (see longer-term chart).

TICKscore closed at +45, sending the Cumulative TICKscore line into a pattern of higher highs for the first time since late April.

The Last Hour indicator fell 144. Over the past two days it’s given back the big spike created Tuesday. While I’m seeing signs that the market’s putting in an intermediate-term low, this long-term indicator continues to suggest we’re only about half way through the current decline. Also note that the longer-term bearish ‘S&P down in January’ setup remains on the board and continues to call for a monthly S&P close below 1073 by August. Out of 29 down Januarys since 1930, all but one led to a lower monthly close within the next seven months.

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

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