Categorizing Volume by Day of the Week

Here’s an interesting tendency based solely on volume and the day of the week. Quite simply, when volume is unusually low at the end of the week, as it was this past Friday, it’s short-term bullish. The S&P has a good track record of either moving steadily higher, or bouncing back from a pullback to close at a higher level 3-6 trading days later. Each of the last 30 occurrences when SPY volume hit a one-month low on a Friday are listed below…

SPY Volume Hits One-Month Low on Friday
06/18/10… ???
06/11/10… Higher SPX three sessions later
11/20/09… Higher SPX three sessions later
11/13/09… Higher SPX three sessions later
07/17/09… Higher SPX three sessions later
06/26/09… Higher SPX three sessions later
05/22/09… Higher SPX three sessions later
04/03/09… Higher SPX four sessions later
03/27/09… Higher SPX four sessions later
11/28/08… Higher SPX six sessions later
08/22/08… Higher SPX four sessions later
08/15/08… No higher SPX close in 3-6 sessions
07/25/08… Higher SPX three sessions later
05/30/08… Higher SPX four sessions later
03/28/08… Higher SPX three sessions later
11/23/07… Higher SPX three sessions later
08/24/07… Higher SPX six sessions later
11/24/06… Higher SPX six sessions later
08/25/06… Higher SPX three sessions later
06/23/06… Higher SPX three sessions later
12/23/05… Higher SPX five sessions later
11/25/05… No higher SPX close in 3-6 sessions
11/11/05… Higher SPX four sessions later
05/27/05… Higher SPX three sessions later
11/26/04… Higher SPX three sessions later
08/27/04… Higher SPX four sessions later
05/28/04… Higher SPX four sessions later
11/28/03… Higher SPX three sessions later
08/15/03… Higher SPX three sessions later
08/08/03… Higher SPX three sessions later
05/23/03… Higher SPX three sessions later

Over the past 30 occurrences stretching back to 2003, 93% led to a higher SPX close 3-6 sessions later, significantly above the 73% random chance. This tells us to expect an SPX close back over 1117 in the Wednesday-Monday time frame.

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

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