NASDAQ Volume Closes Above its Upper Bollinger Band

The low NYSE TICK reading during Thursday’s gap & go was only -605, the highest intraday low of the year. An absence of large negative TICK readings is an obvious positive for the day, but it usually leads to a sideways trading range the following session. Gains tend to be below-average when they do occur. The table below summarizes the S&P’s performance the day after it closes at a three-week high and the NYSE TICK posts its highest low in three weeks. Over the past forty occurrences stretching back nearly six years, the S&P gained more than 0.5% the next day only once…

SPX 15-day High, NYSE TICK Highest Low in 15 Days
11/04/10… S&P500 ??? next day
09/24/10… S&P500 -0.6% next day
09/20/10… S&P500 -0.3% next day
07/26/10… S&P500 -0.1% next day
06/15/10… S&P500 -0.1% next day
04/05/10… S&P500 +0.2% next day
03/05/10… S&P500 -0.0% next day
02/18/10… S&P500 +0.2% next day
12/24/09… S&P500 +0.1% next day
12/22/09… S&P500 +0.2% next day
11/09/09… S&P500 -0.0% next day
10/19/09… S&P500 -0.6% next day
09/22/09… S&P500 -1.0% next day
09/16/09… S&P500 -0.3% next day
08/21/09… S&P500 -0.1% next day
07/15/09… S&P500 +0.9% next day (*)
05/18/09… S&P500 -2.2% next day
04/09/09… S&P500 +0.3% next day
08/05/08… S&P500 +0.3% next day
05/15/08… S&P500 +0.2% next day
05/01/08… S&P500 +0.3% next day
05/30/07… S&P500 +0.0% next day
05/02/07… S&P500 +0.4% next day
04/05/07… S&P500 +0.1% next day
01/24/07… S&P500 -1.1% next day
10/16/06… S&P500 -0.4% next day
10/12/06… S&P500 +0.2% next day
10/04/06… S&P500 +0.2% next day
08/16/06… S&P500 +0.2% next day
07/03/06… S&P500 -0.7% next day
06/29/06… S&P500 -0.2% next day
05/05/06… S&P500 -0.1% next day
04/05/06… S&P500 -0.2% next day
02/16/06… S&P500 -0.2% next day
11/25/05… S&P500 -0.9% next day
11/02/05… S&P500 +0.4% next day
09/09/05… S&P500 -0.1% next day
08/02/05… S&P500 +0.1% next day
05/27/05… S&P500 -0.6% next day
05/18/05… S&P500 +0.5% next day
02/04/05… S&P500 -0.1% next day

Volume was heavy across the board, with NYSE (consolidated) and NASDAQ volume both hitting a four-month high. NASDAQ volume also closed over its upper bollinger band,  a potentially negative sign for the short-term. When unusually heavy volume occurs on the third day of a rally, it’s often a sign that buying power is at a short-term exhaustion point. The table below notes each of the last twenty instances in which a three-month high for Nasdaq volume coincided with a third consecutive up day for the Nasdaq100. Note the general theme of limited upside potential over the next two sessions, with the NDX gaining more than 0.5% only once…

Third Up Day for NDX, Nasdaq Volume at Three-Month High
11/04/10… NDX ??? two sessions later
04/14/10… NDX  -0.8% two sessions later
06/26/09… NDX  -0.2% two sessions later
08/08/07… NDX  -3.1% two sessions later
01/11/06… NDX -0.7% two sessions later
12/03/04… NDX -1.6% two sessions later
01/07/04… NDX +0.4% two sessions later
05/29/03… NDX +0.3% two sessions later
06/28/02… NDX -8.4% two sessions later
02/17/00… NDX -3.8% two sessions later
01/20/00… NDX -4.7% two sessions later
01/08/99… NDX -1.8% two sessions later
07/16/97… NDX -2.9% two sessions later
05/05/97… NDX -2.5% two sessions later
04/24/96… NDX +0.4% two sessions later
07/07/95… NDX -0.6% two sessions later
02/03/95… NDX +1.1% two sessions later (*)
10/28/94… NDX -0.4% two sessions later
10/11/94… NDX -0.1% two sessions later
09/29/93… NDX -1.1% two sessions later
08/18/93… NDX -1.3% two sessions later

This tends to back up the post-Fed day gap sell signal outlined earlier today that calls for a close back under Thursday’s open by Monday. Keep in mind that the CBOE equity put/call ratio declined for a third consecutive session Thursday, a pattern that typically leads to a higher S&P three sessions later. Only two out of the last 30 occurrences led to a 1%+ drop over the next three days, while fourteen led to a 1%+ rally…

CBOE Equity Put/Call Ratio Declines Three Days
11/04/10… S&P500 ???  three sessions later
10/26/10… S&P500 -0.2% three sessions later
10/12/10… S&P500 +0.6% three sessions later
08/02/10… S&P500 -0.0% three sessions later
04/26/10… S&P500 -0.4% three sessions later
03/31/10… S&P500 +1.7% three sessions later
03/02/10… S&P500 +1.8% three sessions later
02/17/10… S&P500 +0.8% three sessions later
02/10/10… S&P500 +2.5% three sessions later
01/08/10… S&P500 +0.1% three sessions later
11/04/09… S&P500 +4.5% three sessions later
08/20/09… S&P500 +2.1% three sessions later
08/05/09… S&P500 +0.4% three sessions later
07/13/09… S&P500 +4.4% three sessions later
04/13/09… S&P500 +0.8% three sessions later
03/10/09… S&P500 +5.1% three sessions later
01/23/09… S&P500 +5.1% three sessions later
12/23/08… S&P500 +0.7% three sessions later
12/17/08… S&P500 -3.6% three sessions later
10/29/08… S&P500 +3.9% three sessions later
08/22/08… S&P500 -0.8% three sessions later
07/18/08… S&P500 +1.7% three sessions later
04/02/08… S&P500 +0.4% three sessions later
03/13/08… S&P500 +1.2% three sessions later
12/28/07… S&P500 -2.1% three sessions later
09/21/07… S&P500 -0.0% three sessions later
08/31/07… S&P500 +0.3% three sessions later
08/17/07… S&P500 +1.3% three sessions later
07/09/07… S&P500 +1.0% three sessions later
06/28/07… S&P500 +1.3% three sessions later
06/14/07… S&P500 +0.7% three sessions later

Categories : Archived EOD Commentary, End-of-Day Commentary

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