SPY Trades Below Steenbab S2, Closes Above R2
By
Rennie on Sunday, August 29th, 2010 at 12:27 pm
Stocks surged higher Friday, fulfilling short-term buy signals related to the recent contraction in new lows. It was the largest range day for S&P futures in over a month and a 90% up volume day. That 90% up volume comes right after the lowest S&P close in over a month, a negative sign for Monday. Since 1990, there have only been eleven instances of a 90% up volume day coming right after the S&P closed at a 20-day low. The market was more than twice as likely to close lower the next day, with upside potential capped at the 0.5% level…
90%+ Up Volume Session After 20-day Low for S&P500
08/27/10… S&P500 ??? next day
05/27/10… S&P500 -1.2% next day
05/10/10… S&P500 -0.3% next day
07/13/09… S&P500 +0.5% next day
03/10/09… S&P500 +0.2% next day
02/24/09… S&P500 -1.1% next day
10/28/08… S&P500 -1.1% next day
10/13/08… S&P500 -0.5% next day
11/23/07… S&P500 -2.3% next day
11/13/07… S&P500 -0.7% next day
03/06/07… S&P500 -0.3% next day
04/18/06… S&P500 +0.2% next day
I’d also note the VIX/VXV Ratio is back in bearish territory, closing at .86 Friday. With the Market Vane survey deteriorating and Last Hour indicator on the verge of breaking out (a bearish sign for stocks), it’s a dangerous time.
In addition to the short-term negative implications related to Friday’s big drop in bonds, I’d also note that SPY staged a bearish intraday recovery Friday. I’ve been working with Brett Steenbarger’s volatility-adjusted pivot points, and noted on Friday that SPY traded below S2 before rebounding to close above R2. That’s happened a total of 28 times since SPY’s inception, all of which are listed below along with the market’s performance the following session…
SPY Trades Below Steenbarger S2, Closes Above R2
08/27/10… S&P500 ??? next session
07/20/10… S&P500 -1.3% next session
12/14/09… S&P500 -0.5% next session
12/16/08… S&P500 -1.0% next session
11/13/08… S&P500 -5.0% next session
05/06/08… S&P500 -1.8% next session
01/23/08… S&P500 +0.8% next session
09/19/07… S&P500 -0.7% next session
07/11/07… S&P500 +1.6% next session
06/08/07… S&P500 +0.2% next session
05/30/07… S&P500 -0.1% next session
04/12/07… S&P500 +0.5% next session
03/22/06… S&P500 -0.2% next session
11/11/05… S&P500 -0.1% next session
11/10/05… S&P500 +0.3% next session
10/19/05… S&P500 -1.8% next session
07/20/05… S&P500 -0.6% next session
04/12/05… S&P500 -1.2% next session
12/09/04… S&P500 +0.1% next session
02/20/02… S&P500 -2.1% next session
01/02/02… S&P500 +1.1% next session
10/25/01… S&P500 -0.2% next session
05/16/01… S&P500 +0.2% next session
05/04/01… S&P500 -0.9% next session
01/03/01… S&P500 -1.1% next session
05/24/00… S&P500 -1.7% next session
02/15/00… S&P500 -1.5% next session
04/12/99… S&P500 -0.6% next session
10/28/97… S&P500 -0.3% next session
In 20 out of 28 cases, or 71% of the time, SPY closed lower the following session, significantly above the 46% random chance for a lower SPY close one day later in the same time frame. Only three cases led to an S&P up more than 0.5% the next day, while fourteen led to an S&P down more than 0.5%.
SPY Trades Below Steenbab S2, Closes Above R2
By Rennie on Sunday, August 29th, 2010 at 12:27 pmStocks surged higher Friday, fulfilling short-term buy signals related to the recent contraction in new lows. It was the largest range day for S&P futures in over a month and a 90% up volume day. That 90% up volume comes right after the lowest S&P close in over a month, a negative sign for Monday. Since 1990, there have only been eleven instances of a 90% up volume day coming right after the S&P closed at a 20-day low. The market was more than twice as likely to close lower the next day, with upside potential capped at the 0.5% level…
90%+ Up Volume Session After 20-day Low for S&P500
08/27/10… S&P500 ??? next day
05/27/10… S&P500 -1.2% next day
05/10/10… S&P500 -0.3% next day
07/13/09… S&P500 +0.5% next day
03/10/09… S&P500 +0.2% next day
02/24/09… S&P500 -1.1% next day
10/28/08… S&P500 -1.1% next day
10/13/08… S&P500 -0.5% next day
11/23/07… S&P500 -2.3% next day
11/13/07… S&P500 -0.7% next day
03/06/07… S&P500 -0.3% next day
04/18/06… S&P500 +0.2% next day
I’d also note the VIX/VXV Ratio is back in bearish territory, closing at .86 Friday. With the Market Vane survey deteriorating and Last Hour indicator on the verge of breaking out (a bearish sign for stocks), it’s a dangerous time.
In addition to the short-term negative implications related to Friday’s big drop in bonds, I’d also note that SPY staged a bearish intraday recovery Friday. I’ve been working with Brett Steenbarger’s volatility-adjusted pivot points, and noted on Friday that SPY traded below S2 before rebounding to close above R2. That’s happened a total of 28 times since SPY’s inception, all of which are listed below along with the market’s performance the following session…
SPY Trades Below Steenbarger S2, Closes Above R2
08/27/10… S&P500 ??? next session
07/20/10… S&P500 -1.3% next session
12/14/09… S&P500 -0.5% next session
12/16/08… S&P500 -1.0% next session
11/13/08… S&P500 -5.0% next session
05/06/08… S&P500 -1.8% next session
01/23/08… S&P500 +0.8% next session
09/19/07… S&P500 -0.7% next session
07/11/07… S&P500 +1.6% next session
06/08/07… S&P500 +0.2% next session
05/30/07… S&P500 -0.1% next session
04/12/07… S&P500 +0.5% next session
03/22/06… S&P500 -0.2% next session
11/11/05… S&P500 -0.1% next session
11/10/05… S&P500 +0.3% next session
10/19/05… S&P500 -1.8% next session
07/20/05… S&P500 -0.6% next session
04/12/05… S&P500 -1.2% next session
12/09/04… S&P500 +0.1% next session
02/20/02… S&P500 -2.1% next session
01/02/02… S&P500 +1.1% next session
10/25/01… S&P500 -0.2% next session
05/16/01… S&P500 +0.2% next session
05/04/01… S&P500 -0.9% next session
01/03/01… S&P500 -1.1% next session
05/24/00… S&P500 -1.7% next session
02/15/00… S&P500 -1.5% next session
04/12/99… S&P500 -0.6% next session
10/28/97… S&P500 -0.3% next session
In 20 out of 28 cases, or 71% of the time, SPY closed lower the following session, significantly above the 46% random chance for a lower SPY close one day later in the same time frame. Only three cases led to an S&P up more than 0.5% the next day, while fourteen led to an S&P down more than 0.5%.