Narrow Range Day

S&P futures in the process of posting an NR10 day, meaning the narrowest range in ten sessions. That’s noteworthy considering breadth on the NYSE is running nearly 3:1 negative. Since inception of S&P futures, I found only 29 instances in which NYSE breadth closed at least 2:1 negative and S&P futures posted an NR10 day. In 22 out of 29 cases, or 76% of the time, the market was higher one week later, significantly above the 55% random chance for a higher S&P one week later in the same time frame. Only two cases led to an S&P down 2%+ one week later, while it gained 2%+ ten times…

S&P Futures NR10 Day w/ 2:1 Negative Breadth
07/28/10… S&P futures +2.0% 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 Intraday Commentary, Intraday Commentary

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