Volume Collapses to Multi-month Lows
By
Rennie on Friday, July 9th, 2010 at 2:23 pm
Note from the relative volume charts for SPY and E-Mini S&P futures that we’re tracking 30-35% below levels at this time Thursday. That tells us closing volume figures will most likely come in below 150 million on SPY and below 1.5 million contracts for ES, both of which will represent a fresh two-month volume low. That’s a short-term negative sign for Monday given that the unusually low volume is occurring at a high point on the daily chart. Historically, when the SPY hits an intraday five-day high on the lowest volume in two months, it’s a sell signal for the following session. That last thirty times this has occurred are listed in the table below…
SPY Hits Five-Day High, SPY Volume at Two-Month Low
04/05/10… SPY +0.2% next session
12/24/09… SPY +0.2% next session
12/14/09… SPY -0.5% next session
10/12/09… SPY -0.2% next session
05/19/09… SPY -0.7% next session
04/13/09… SPY -1.7% next session
11/28/08… SPY -8.9% next session
04/28/08… SPY -0.4% next session
12/24/07… SPY +0.2% next session
07/03/07… SPY -0.1% next session
07/03/06… SPY -0.6% next session
05/27/05… SPY -0.6% next session
05/26/05… SPY +0.2% next session
11/26/04… SPY -0.5% next session
08/27/04… SPY -0.8% next session
08/26/04… SPY +0.3% next session
11/28/03… SPY +1.1% next session (*)
11/29/02… SPY +0.2% next session
11/18/02… SPY -0.1% next session
05/10/01… SPY -0.7% next session
07/03/00… SPY -1.8% next session
05/15/00… SPY +1.0% next session (*)
11/15/99… SPY +0.8% next session (*)
07/16/99… SPY -0.7% next session
03/18/99… SPY -1.9% next session
03/08/99… SPY -0.2% next session
12/24/98… SPY -0.3% next session
12/07/98… SPY -0.5% next session
11/09/98… SPY -0.7% next session
07/20/98… SPY -1.7% next session
Note that in 21 out of 30 cases, or 70% of the time, the SPY posted a lower close the following session. That’s significantly above the 47% at-any-time odds for a lower SPY close the following session in the same time frame. In only three cases did SPY manage a gain of 0.5% or more the next day, while it fell 0.5%+ fifteen times, indicating upside potential is limited when institutional participation is so light. This signal will be triggered at today’s close as long as total SPY volume comes in below 168 million.
Volume Collapses to Multi-month Lows
By Rennie on Friday, July 9th, 2010 at 2:23 pmNote from the relative volume charts for SPY and E-Mini S&P futures that we’re tracking 30-35% below levels at this time Thursday. That tells us closing volume figures will most likely come in below 150 million on SPY and below 1.5 million contracts for ES, both of which will represent a fresh two-month volume low. That’s a short-term negative sign for Monday given that the unusually low volume is occurring at a high point on the daily chart. Historically, when the SPY hits an intraday five-day high on the lowest volume in two months, it’s a sell signal for the following session. That last thirty times this has occurred are listed in the table below…
SPY Hits Five-Day High, SPY Volume at Two-Month Low
04/05/10… SPY +0.2% next session
12/24/09… SPY +0.2% next session
12/14/09… SPY -0.5% next session
10/12/09… SPY -0.2% next session
05/19/09… SPY -0.7% next session
04/13/09… SPY -1.7% next session
11/28/08… SPY -8.9% next session
04/28/08… SPY -0.4% next session
12/24/07… SPY +0.2% next session
07/03/07… SPY -0.1% next session
07/03/06… SPY -0.6% next session
05/27/05… SPY -0.6% next session
05/26/05… SPY +0.2% next session
11/26/04… SPY -0.5% next session
08/27/04… SPY -0.8% next session
08/26/04… SPY +0.3% next session
11/28/03… SPY +1.1% next session (*)
11/29/02… SPY +0.2% next session
11/18/02… SPY -0.1% next session
05/10/01… SPY -0.7% next session
07/03/00… SPY -1.8% next session
05/15/00… SPY +1.0% next session (*)
11/15/99… SPY +0.8% next session (*)
07/16/99… SPY -0.7% next session
03/18/99… SPY -1.9% next session
03/08/99… SPY -0.2% next session
12/24/98… SPY -0.3% next session
12/07/98… SPY -0.5% next session
11/09/98… SPY -0.7% next session
07/20/98… SPY -1.7% next session
Note that in 21 out of 30 cases, or 70% of the time, the SPY posted a lower close the following session. That’s significantly above the 47% at-any-time odds for a lower SPY close the following session in the same time frame. In only three cases did SPY manage a gain of 0.5% or more the next day, while it fell 0.5%+ fifteen times, indicating upside potential is limited when institutional participation is so light. This signal will be triggered at today’s close as long as total SPY volume comes in below 168 million.