Low Volume, Narrow Range Pullback

NYSE TICK barely pierced the +1000 level on Wednesday, posting its lowest high in nearly two months. That brings to mind this early February column concerning instances when the NYSE TICK posted its lowest high in forty trading days (roughly two months). We just missed that mark as today’s high was the lowest in 37 days, but I think the short-term bullish implications still apply.

Final number of new 20-day lows was 274 Wednesday, triggering the 1-4 day buy setup discussed in today’s intraday update.

Despite lopsided market internals (2:1 negative breadth), SPY volume came in at its lowest level in over two weeks. That’s only occurred 18 times since SPY began trading, 14 of which led to a higher SPY close four sessions later…

SPY Volume at Two-Week Low, NYSE Breadth 2:1 Negative
07/28/10… SPY ??? four sessions later
11/12/09… SPY +2.1% four sessions later
04/06/09… SPY +2.7% four sessions later
03/27/09… SPY +2.2% four sessions later
03/24/09… SPY -2.3% four sessions later
12/22/08… SPY -0.2% four sessions later
12/15/08… SPY +0.5% four sessions later
09/22/08… SPY -0.4% four sessions later
08/18/08… SPY +1.0% four sessions later
07/28/08… SPY +2.0% four sessions later
09/17/07… SPY +2.6% four sessions later
08/27/07… SPY +0.4% four sessions later
10/27/05… SPY +3.1% four sessions later
02/12/03… SPY +3.8% four sessions later
11/11/02… SPY +3.6% four sessions later
10/07/02… SPY +6.4% four sessions later
08/10/98… SPY -2.2% four sessions later
07/22/96… SPY +0.3% four sessions later
03/10/94… SPY +1.4% four sessions later

S&P futures posted an ‘NR10 day’ on Wednesday as the intraday range was the smallest of the last ten sessions. It’s fairly unusual to see an NR10 day coincide with 2:1 negative breadth. Since inception of the S&P futures contract I found only
28 occurrences, 21 of which led to a higher SPY close five sessions later. That 75% win rate is significantly above the 55% random chance for a higher SPY close one week later. In only two cases was the S&P down 2%+, while it gained 2%+ nine times…

S&P Futures NR10 Day w/ 2:1 Negative Breadth
07/28/10… S&P futures ??? one week later
05/28/10… S&P futures -3.7% one week later
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

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

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