NYSE TICK Hits 5-day Low

Cumulative TICK has been trending steadily lower since midday (see chart) and recently accelerated to the downside as the NYSE TICK hit an intraday low of -1329. That’s a fresh 5-day low for TICK, noteworthy considering the SPX is set to finish with a gain. When the S&P closes higher on a day when the TICK records a 5-day low, there’s a tendency for the market to trade lower the following session. The last 30 occurrences are below…

NYSE TICK Hits 5-day Low, S&P Closes Higher
10/13/10… S&P500  ??? next session
09/28/10… S&P500 -0.3% next session
09/13/10… S&P500 -0.1% next session
07/15/10… S&P500 -2.9% next session
07/06/10… S&P500 +3.1% next session
06/03/10… S&P500 -3.4% next session
05/17/10… S&P500 -1.4% next session
04/19/10… S&P500 +0.8% next session
03/17/10… S&P500 -0.0% next session
03/03/10… S&P500 +0.4% next session
12/30/09… S&P500 -1.0% next session
12/16/09… S&P500 -1.2% next session
12/04/09… S&P500 -0.3% next session
11/11/09… S&P500 -1.0% next session
07/21/09… S&P500 -0.1% next session
04/08/09… S&P500 +3.8% next session
03/25/09… S&P500 +2.3% next session
02/12/09… S&P500 -1.0% next session
01/26/09… S&P500 +1.1% next session
11/13/08… S&P500 -4.2% next session
11/07/08… S&P500 -1.3% next session
10/23/08… S&P500 -3.5% next session
10/16/08… S&P500 -0.6% next session
08/20/08… S&P500 +0.3% next session
07/23/08… S&P500 -2.3% next session
06/25/08… S&P500 -2.9% next session
05/19/08… S&P500 -0.9% next session
05/14/08… S&P500 +1.1% next session
03/03/08… S&P500 -0.3% next session
02/12/08… S&P500 +1.4% next session
12/18/07… S&P500 -0.1% next session

In 21 out of the last 30 occurrences, or 70% of the time the S&P500 closed lower the following session, significantly above the 46% random odds for a lower S&P one day later in the same time frame.

Also noteworthy is the SPX 2-day RSI, which is set to close in overbought territory (>98) on a close over SPX 1177.40. While not a sell signal, this is an indication of limited upside potential until the 2-day RSI closes back under 98. We’ve seen the SPX 2-day RSI cross the 98 threshold a total of 32 times since 2000, 25 of which led to a lower S&P close by the time the 2-day RSI closed back under 98. Only one case led to an S&P up 1%+ when the signal was closed out, always within three days…

S&P500 2-Day RSI Closes Over 98
09/20/10… S&P500 -0.3% when RSI <98 (one day)
07/15/10… S&P500 -2.9% when RSI <98 (one day)
07/13/10… S&P500 -0.0% when RSI <98 (one day)
04/14/10… S&P500 -1.5% when RSI <98 (two days)
03/16/10… S&P500 +0.6% when RSI <98 (two days)
03/09/10… S&P500 +0.8% when RSI <98 (three days)
03/05/10… S&P500 -0.0% when RSI <98 (one day)
11/11/09… S&P500 -1.0% when RSI <98 (one day)
11/09/09… S&P500 -0.0% when RSI <98 (one day)
09/16/09… S&P500 -0.3% when RSI <98   (one day)
07/23/09… S&P500 +0.3% when RSI <98   (three days)
07/20/09… S&P500 +0.3% when RSI <98   (two days)
07/16/09… S&P500 -0.0% when RSI <98   (one day)
05/04/09… S&P500 -0.4% when RSI <98 (one day)
01/02/09… S&P500 -0.5% when RSI <98 (one day)
04/10/07… S&P500 -0.7% when RSI <98 (one day)
10/26/06… S&P500 -0.4% when RSI <98 (two days)
03/17/06… S&P500 -0.2% when RSI <98 (one day)
11/22/05… S&P500 -0.3% when RSI <98 (three days)
09/30/05… S&P500 -0.2% when RSI <98 (one day)
07/15/05… S&P500 -0.6% when RSI <98 (one day)
06/17/05… S&P500 -0.1% when RSI <98 (one day)
11/03/04… S&P500 +1.9% when RSI <98 (three days)
05/25/04… S&P500 +0.7% when RSI <98 (three days)
04/05/04… S&P500 -0.2% when RSI <98 (one day)
09/02/03… S&P500 -0.1% when RSI <98 (three days)
06/04/03… S&P500 +0.2% when RSI <98 (two days)
03/19/03… S&P500 -1.0% when RSI <98 (three days)
05/21/01… S&P500 -0.3% when RSI <98 (one day)
04/19/01… S&P500 -0.9% when RSI <98 (one day)
08/08/00… S&P500 -0.7% when RSI <98 (one day)
07/14/00… S&P500 -1.1% when RSI <98 (two days)

Categories : Archived Intraday Commentary, Intraday Commentary

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