Follow Up to Unusual Price/Volume Pattern for SPY

SPY volume trailed off a bit into the close, coming in about 55% above Wednesday’s levels at 278 million (preliminary). That’s not a 40-day high but it is a 20-day high, so I reran the study posted earlier only looking for a 20-day high for volume and price. The last 20 occurrences are shown below. Note I’ve extended the time frame to 5-7 sessions as this seemed to have the strongest edge. In only one case was the market not higher 5-7 trading days later…

SPY and SPY Volume both hit 20-day Highs
09/30/10… SPY ???
12/04/09… SPY +0.1% five sessions later
09/18/07… SPY +0.4% seven sessions later
11/14/06… SPY +0.7% five sessions later
11/09/06… SPY +1.6% five sessions later
09/25/06… SPY +0.5% five sessions later
11/03/04… SPY +1.7% five sessions later
01/09/04… SPY +1.6% five sessions later
06/06/03… SPY +0.3% five sessions later
03/17/03… SPY +0.4% seven sessions later
10/15/02… SPY +0.9% five sessions later
05/16/01… SPY +0.2% five sessions later
04/18/01… SPY +1.4% seven sessions later
03/16/00… SPY +4.3% five sessions later
06/30/99… SPY +2.0% five sessions later
04/13/99… SPY +0.5% seven sessions later
06/12/97… SPY +1.4% five sessions later
01/21/97… SPY +0.3% seven sessions later
11/26/96… SPY -2.1% seven sessions later
11/15/96… SPY +1.5% five sessions later
11/06/96… SPY +0.8% five sessions later

Edit: SPY volume did end up reaching a 40-day high after all, so both studies posted recently are in play

Categories : Archived Intraday Commentary, Intraday Commentary

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