Low-Volume Selloff, Tech Outperforming

Volume in E-Mini S&P futures set to come in more than 20% below Thursday’s level (watch the relative ES volume chart here). That’s a short-term bullish indication considering the S&P has posted a lower high and low and is in the process of posting a lower close. Of the last 30 times this pattern has occurred, the S&P has posted a higher close within two days 90% of the time. See this August 5th column for the track record.

Also, this isn’t enough of an edge to qualify as a signal, but it’s encouraging that the Nasdaq is outperforming the S&P by a wide margin. Currently the S&P is off 0.7% vs. a 0.1% drop for the NDX. Historically, when the S&P closes down more than two-thirds of one percent and the Nasdaq100 closes down less than one-third of one percent, it’s a short-term positive indication. Of the last 30 occurrences, the SPX posted a subsequently higher close within the next three sessions 90% of the time. That’s not significantly better than the 74% random chance but it does tend to reinforce the bullish implications from today’s sharp drop-off in volume.

S&P500 -0.66% or More, NDX -0.33% or Less
10/21/09… Higher S&P close one sessions later
06/03/09… Higher S&P close one sessions later
05/11/09… No higher close within three days
04/27/09… Higher S&P close two sessions later
04/22/09… Higher S&P close one sessions later
04/06/09… Higher S&P close three sessions later
03/19/09… Higher S&P close two sessions later
02/20/09… Higher S&P close two sessions later
02/04/09… Higher S&P close one sessions later
10/29/08… Higher S&P close one sessions later
10/08/08… Higher S&P close three sessions later
08/12/08… Higher S&P close two sessions later
07/31/08… Higher S&P close three sessions later
07/15/08… Higher S&P close one sessions later
07/07/08… Higher S&P close one sessions later
05/23/08… Higher S&P close one sessions later
03/07/08… Higher S&P close two sessions later
02/28/08… No higher close within three days
06/13/06… Higher S&P close one sessions later
09/13/05… Higher S&P close three sessions later
07/21/05… Higher S&P close one sessions later
05/12/05… Higher S&P close two sessions later
10/13/04… Higher S&P close three sessions later
06/25/03… Higher S&P close one sessions later
04/16/03… Higher S&P close one sessions later
02/11/03… Higher S&P close three sessions later
01/22/03… Higher S&P close one sessions later
12/17/02… No higher close within three days
09/24/02… Higher S&P close one sessions later
04/15/02… Higher S&P close one sessions later

Categories : Archived Intraday Commentary, Intraday Commentary

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