New Closing High Decreases Odds of Upside Surge on Wednesday

NYSE TICK barely exceeded the +900 level on Tuesday, making today’s high TICK reading the lowest in over a month. That’s an unusual development considering the S&P500 closed at a fresh multi-month high. There have only been 13 occurrences since 2000 in which a 20-day high for the S&P coincided with the lowest TICK high in 20 days. Note the bias towards a flat-to-lower close the next session, with only one instance leading to a 1%+ move…

SPX 20-day Closing High, NYSE TICK Lowest High Last 20 Days
11/02/10… S&P500 ???  next session
10/13/10… S&P500 -0.4% next session
09/13/10… S&P500 -0.1% next session
04/15/10… S&P500 -1.6% next session
12/22/09… S&P500 +0.2% next session
05/07/07… S&P500 -0.1% next session
12/15/06… S&P500 -0.3% next session
10/13/06… S&P500 +0.3% next session
08/17/06… S&P500 +0.4% next session
07/03/06… S&P500 -0.7% next session
11/25/05… S&P500 -0.9% next session
04/05/04… S&P500 -0.2% next session
10/31/03… S&P500 +0.8%  next session
08/21/00… S&P500 -0.1% next session

Also noteworthy that the market rarely makes an outsized directional move immediately following a six-month high.  Every instance over the past decade in which the S&P500 initially closed at its highest level of the past six months (meaning it did not close at a six-month high the previous session) is listed in the table below, along with the market’s performance the next day. Note that the S&P never managed a gain of 1% or more in all 92 cases since 2000, while it fell 1% or more ten times (max 1.7%)…

S&P500 Closes at a Six-Month High
11/02/10… S&P ??? next session
10/25/10… S&P +0.0% next session
04/23/10… S&P -0.4% next session
04/09/10… S&P +0.2% next session
04/01/10… S&P +0.8% next session
03/23/10… S&P -0.6% next session
03/15/10… S&P +0.8% next session
03/11/10… S&P -0.0% next session
01/19/10… S&P -1.1% next session (*)
01/14/10… S&P -1.1% next session (*)
01/04/10… S&P +0.3% next session
12/22/09… S&P +0.2% next session
12/14/09… S&P -0.6% next session
11/25/09… S&P -1.7% next session (*)
11/16/09… S&P +0.1% next session
11/11/09… S&P -1.0% next session (*)
10/19/09… S&P -0.6% next session
10/14/09… S&P +0.4% next session
10/12/09… S&P -0.3% next session
09/22/09… S&P -1.0% next session (*)
09/14/09… S&P +0.3% next session
09/09/09… S&P +1.0% next session
08/25/09… S&P +0.0% next session
08/21/09… S&P -0.1% next session
08/13/09… S&P -0.9% next session
08/07/09… S&P -0.3% next session
07/30/09… S&P +0.1% next session
07/23/09… S&P +0.3% next session
07/20/09… S&P +0.4% next session
06/11/09… S&P +0.1% next session
06/01/09… S&P +0.2% next session
10/09/07… S&P -0.2% next session
10/05/07… S&P -0.3% next session
07/19/07… S&P -1.2% next session (*)
07/12/07… S&P +0.3% next session
05/30/07… S&P +0.0% next session
05/18/07… S&P +0.2% next session
05/16/07… S&P -0.1% next session
05/09/07… S&P -1.4% next session (*)
05/02/07… S&P +0.4% next session
04/25/07… S&P -0.1% next session
04/20/07… S&P -0.2% next session
04/16/07… S&P +0.2% next session
02/20/07… S&P -0.1% next session
02/14/07… S&P +0.1% next session
02/07/07… S&P -0.1% next session
02/01/07… S&P +0.2% next session
01/24/07… S&P -1.1% next session (*)
01/12/07… S&P +0.1% next session
12/14/06… S&P +0.1% next session
12/04/06… S&P +0.4% next session
11/21/06… S&P +0.2% next session
11/14/06… S&P +0.2% next session
10/23/06… S&P +0.0% next session
10/12/06… S&P +0.2% next session
10/10/06… S&P  -0.3% next session
10/04/06… S&P +0.2% next session
09/25/06… S&P +0.8% next session
05/05/06… S&P -0.1% next session
05/02/06… S&P -0.4% next session
04/05/06… S&P -0.2% next session
03/14/06… S&P +0.4% next session
01/11/06… S&P -0.6% next session
01/04/06… S&P +0.0% next session
12/14/05… S&P -0.1% next session
11/18/05… S&P +0.5% next session
08/02/05… S&P +0.1% next session
07/27/05… S&P +0.6% next session
07/19/05… S&P +0.5% next session
07/14/05… S&P +0.1% next session
03/04/05… S&P +0.3% next session
12/30/04… S&P -0.1% next session
12/28/04… S&P -0.0% next session
12/22/04… S&P +0.1% next session
12/13/04… S&P +0.4% next session
12/01/04… S&P -0.1% next session
11/11/04… S&P +0.9% next session
11/04/04… S&P +0.4% next session
02/11/04… S&P -0.5% next session
01/26/04… S&P -1.0% next session (*)
01/21/04… S&P -0.3% next session
01/15/04… S&P +0.7% next session
01/05/04… S&P +0.1% next session
12/29/03… S&P +0.0% next session
12/22/03… S&P +0.3% next session
12/16/03… S&P +0.1% next session
12/11/03… S&P +0.3% next session
12/01/03… S&P -0.3% next session
10/31/03… S&P +0.8% next session
10/16/03… S&P -1.0% next session (*)
10/13/03… S&P +0.4% next session
09/18/03… S&P -0.3% next session
09/08/03… S&P -0.8% next session
09/02/03… S&P +0.4% next session
06/16/03… S&P +0.1% next session
06/11/03… S&P +0.1% next session
05/30/03… S&P +0.4% next session
05/27/03… S&P +0.2% next session
05/15/03… S&P -0.3% next session
05/12/03… S&P -0.3% next session

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

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