SPY Holding Pivot Second Day
By
Rennie on Tuesday, June 15th, 2010 at 12:16 pm
Interesting to note that Tuesday is shaping up to be the second consecutive session that SPY has not traded below the day’s pivot (based on Brett Steenbarger’s volatility-adjusted pivots for SPY). I went back to 2007 and found 35 instances in which the SPY held above the day’s pivot two consecutive sessions. The market’s next-day performance was fairly consistently positive…
SPY Low > Pivot Two Consecutive Days
04/15/10… SPY -1.6% next session (*)
04/12/10… SPY +0.1% next session
04/05/10… SPY +0.2% next session
03/17/10… SPY -0.1% next session
03/08/10… SPY +0.2% next session
03/02/10… SPY +0.1% next session
02/17/10… SPY +0.6% next session
12/22/09… SPY +0.2% next session
11/05/09… SPY +0.3% next session
10/06/09… SPY +0.3% next session
09/08/09… SPY +0.8% next session
08/21/09… SPY -0.0% next session
07/20/09… SPY +0.5% next session
07/17/09… SPY +1.1% next session
07/16/09… SPY +1.1% next session
07/15/09… SPY -0.2% next session
06/01/09… SPY +0.1% next session
03/11/09… SPY +3.9% next session
12/31/08… SPY +3.0% next session
04/02/08… SPY +0.3% next session
02/13/08… SPY -0.9% next session (*)
12/24/07… SPY +0.2% next session
10/29/07… SPY -0.7% next session (*)
09/27/07… SPY -0.3% next session
07/13/07… SPY -0.0% next session
07/03/07… SPY -0.1% next session
06/15/07… SPY -0.1% next session
06/01/07… SPY +0.0% next session
05/21/07… SPY -0.1% next session
05/07/07… SPY -0.1% next session
04/17/07… SPY +0.1% next session
03/22/07… SPY +0.2% next session
03/21/07… SPY -0.1% next session
03/08/07… SPY +0.0% next session
02/14/07… SPY +0.1% next session
Note that SPY was down 0.5%+ the next day only three times out of 35, while it was up 0.5% or more seven times. In the majority of cases (26 out of 35), the SPY closed +/- 0.3% or less, indicating two consecutive days above the pivot usually leads to a day of consolidation the next session with limited downside potential.
SPY Holding Pivot Second Day
By Rennie on Tuesday, June 15th, 2010 at 12:16 pmInteresting to note that Tuesday is shaping up to be the second consecutive session that SPY has not traded below the day’s pivot (based on Brett Steenbarger’s volatility-adjusted pivots for SPY). I went back to 2007 and found 35 instances in which the SPY held above the day’s pivot two consecutive sessions. The market’s next-day performance was fairly consistently positive…
SPY Low > Pivot Two Consecutive Days
04/15/10… SPY -1.6% next session (*)
04/12/10… SPY +0.1% next session
04/05/10… SPY +0.2% next session
03/17/10… SPY -0.1% next session
03/08/10… SPY +0.2% next session
03/02/10… SPY +0.1% next session
02/17/10… SPY +0.6% next session
12/22/09… SPY +0.2% next session
11/05/09… SPY +0.3% next session
10/06/09… SPY +0.3% next session
09/08/09… SPY +0.8% next session
08/21/09… SPY -0.0% next session
07/20/09… SPY +0.5% next session
07/17/09… SPY +1.1% next session
07/16/09… SPY +1.1% next session
07/15/09… SPY -0.2% next session
06/01/09… SPY +0.1% next session
03/11/09… SPY +3.9% next session
12/31/08… SPY +3.0% next session
04/02/08… SPY +0.3% next session
02/13/08… SPY -0.9% next session (*)
12/24/07… SPY +0.2% next session
10/29/07… SPY -0.7% next session (*)
09/27/07… SPY -0.3% next session
07/13/07… SPY -0.0% next session
07/03/07… SPY -0.1% next session
06/15/07… SPY -0.1% next session
06/01/07… SPY +0.0% next session
05/21/07… SPY -0.1% next session
05/07/07… SPY -0.1% next session
04/17/07… SPY +0.1% next session
03/22/07… SPY +0.2% next session
03/21/07… SPY -0.1% next session
03/08/07… SPY +0.0% next session
02/14/07… SPY +0.1% next session
Note that SPY was down 0.5%+ the next day only three times out of 35, while it was up 0.5% or more seven times. In the majority of cases (26 out of 35), the SPY closed +/- 0.3% or less, indicating two consecutive days above the pivot usually leads to a day of consolidation the next session with limited downside potential.