Slow Start to OpEx Week

Big jump in new 52-week lows Monday on the NYSE, but that’s a bit misleading considering nearly all of those new lows were among bond funds and other non-common stock issues (see list from WSJ). Looking at NYSE common-stock only statistics, we find no such jump in new lows at all. We’re still in the low single-digits as has been the case for most of the last two months. The same can be said when looking only at the 500 stocks within the S&P500 – new 52-week lows in this database also remains unchanged over the past week at 1. We’ll soon be debuting a new set of end-of-day charts & data that will feature NYSE common-stock only stats as well as SPX-only stats. This has been a major research project behind the scenes that should provide a much clearer and more accurate look at key market internals. I recently began posting some SPX breadth charts with limited history to the end-of-day charting section, and you’ll also find intraday SPX breadth data updating throughout the day via the ‘SPX internals’ link under ‘intraday charts’.

Interesting to note that options expiration week kicked off with a low-volume selloff for the first time this year and only the second time in the last two years. NYSE floor volume came in under 900 million and consolidated volume under 3.7 billion shares, both representing the lightest volume in over three weeks. Historically, when the S&P starts expiration week with a down day on the lightest volume in five days, it’s a bullish sign for the remainder of the week. The last thirty times this has occurred are listed in the table below, beginning with the expiration Monday in which the S&P closed lower and followed by the performance of the S&P500 over the next four sessions…

S&P Down Monday of Expiration Week on Lightest Volume in Five Days
11/15/10… S&P500 ??? at Friday’s Close
05/11/09… S&P500 -2.9% at Friday’s Close
12/15/08… S&P500 +2.2% at Friday’s Close
07/14/08… S&P500 +2.6% at Friday’s Close
04/14/08… S&P500 +4.7% at Friday’s Close
09/17/07… S&P500 +3.3% at Friday’s Close
08/13/07… S&P500 -0.5% at Friday’s Close
02/12/07… S&P500 +1.6% at Friday’s Close
02/13/06… S&P500 +1.9% at Friday’s Close
09/15/03… S&P500 +2.1% at Friday’s Close
01/13/03… S&P500 -2.6% at Friday’s Close
11/11/02… S&P500 +3.8% at Friday’s Close
08/12/02… S&P500 +2.8% at Friday’s Close
04/15/02… S&P500 +2.1% at Friday’s Close
11/12/01… S&P500 +1.8% at Friday’s Close
07/16/01… S&P500 +0.7% at Friday’s Close
04/16/01… S&P500 +5.4% at Friday’s Close
06/12/00… S&P500 +1.3% at Friday’s Close
03/13/00… S&P500 +5.8% at Friday’s Close
11/15/99… S&P500 +2.0% at Friday’s Close
10/11/99… S&P500 -6.6% at Friday’s Close
09/13/99… S&P500 -0.7% at Friday’s Close
06/17/96… S&P500 +0.3% at Friday’s Close
11/13/95… S&P500 +1.3% at Friday’s Close
10/17/94… S&P500 -0.9% at Friday’s Close
01/17/94… S&P500 +0.3% at Friday’s Close
11/16/92… S&P500 +1.4% at Friday’s Close
01/13/92… S&P500 +1.1% at Friday’s Close
12/16/91… S&P500 +0.7% at Friday’s Close
03/11/91… S&P500 +0.2% at Friday’s Close
01/14/91… S&P500 +6.3% at Friday’s Close

Note the tendency for the S&P to bounce back from a low-volume start to options expiration week. In 24 out of the last 30 cases, or 80% of the time, the S&P closed higher at Friday’s close, significantly above the 55% at-any-time odds for a higher S&P close four sessions later. Average gain and average loss both clocked in at over 2%, suggesting the potential for some fireworks over the remainder of the week.

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

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