SPX Six-Month High on Mixed Breadth
By
Rennie on Thursday, December 9th, 2010 at 1:41 am
The S&P500 closed at a new high for the year Wednesday, although many stocks within the index failed to participate. Breadth among SPX components was virtually split between advancers and decliners, leading to a negative divergence on the SPX cumulative breadth chart.
The CBOE equity put/call ratio closed under .50 for the third day in a row, something you don’t see every day. I found only seven separate instances since 2001 with three consecutive days of a sub-.50 equity put/call ratio, five of which led to a lower S&P one month later…
CBOE Equity Put/Call Ratio <.50 Three Consecutive Sessions
12/08/10… S&P500 ??? twenty-one sessions later
04/12/10… S&P500 -3.4% twenty-one sessions later
12/30/03… S&P500 +1.9% twenty-one sessions later
08/19/02… S&P500 -8.6% twenty-one sessions later
12/27/01… S&P500 -4.9% twenty-one sessions later
11/20/01… S&P500 -0.2% twenty-one sessions later
05/18/01… S&P500 -6.1% twenty-one sessions later
04/20/01… S&P500 +5.6% twenty-one sessions later
This is somewhat interesting in that it suggests the potential for some headwinds during the upcoming favorable seasonal time frame or a rocky start to next year. Pull up these four-year chart of NYSE and NASDAQ up-down volume (200-day average shown along with price) and note that in both cases we have major divergences in play, with volume nowhere near levels from earlier this year despite new price highs. The last time we saw such a major divergence was October 2007 when price broke out to a new high (that proved to be a major top) while the up-down volume average barely moved.
New 52-week lows on the NYSE jumped back to levels from early last week, surprising until you consider it was almost all bond funds with a few energy stocks thrown in. Among common stocks only, new lows on the NYSE actually fell, as illustrated on this comparison chart with standard New Highs in black and common stock-only New Highs in red. While they move very similarly, I’ve highlighted a couple of instances this year in which the regular data provided a misleading view. One was in August when the New Highs data was distorted by the strong bond market while the common-stock only provided a telling divergence. The second was in November when a sharp selloff in bonds led to an inflated number of new lows that didn’t even register on the stocks-only line.
With S&P futures up over 0.5% overnight, it’s worth noting that the market rarely makes an outsized directional move immediately following a fresh 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 next-day performance. Note that the S&P never managed a gain of more than 1% in all 100 cases since 2000. It rarely fell much either, with only six occurrences leading to more than a 1% loss (max 1.7%), suggesting the potential for another flat close on Thursday…
S&P500 Closes at a Six-Month High
12/08/10… S&P ??? next session
11/02/10… S&P +0.4% 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
SPX Six-Month High on Mixed Breadth
By Rennie on Thursday, December 9th, 2010 at 1:41 amThe S&P500 closed at a new high for the year Wednesday, although many stocks within the index failed to participate. Breadth among SPX components was virtually split between advancers and decliners, leading to a negative divergence on the SPX cumulative breadth chart.
The CBOE equity put/call ratio closed under .50 for the third day in a row, something you don’t see every day. I found only seven separate instances since 2001 with three consecutive days of a sub-.50 equity put/call ratio, five of which led to a lower S&P one month later…
CBOE Equity Put/Call Ratio <.50 Three Consecutive Sessions
12/08/10… S&P500 ??? twenty-one sessions later
04/12/10… S&P500 -3.4% twenty-one sessions later
12/30/03… S&P500 +1.9% twenty-one sessions later
08/19/02… S&P500 -8.6% twenty-one sessions later
12/27/01… S&P500 -4.9% twenty-one sessions later
11/20/01… S&P500 -0.2% twenty-one sessions later
05/18/01… S&P500 -6.1% twenty-one sessions later
04/20/01… S&P500 +5.6% twenty-one sessions later
This is somewhat interesting in that it suggests the potential for some headwinds during the upcoming favorable seasonal time frame or a rocky start to next year. Pull up these four-year chart of NYSE and NASDAQ up-down volume (200-day average shown along with price) and note that in both cases we have major divergences in play, with volume nowhere near levels from earlier this year despite new price highs. The last time we saw such a major divergence was October 2007 when price broke out to a new high (that proved to be a major top) while the up-down volume average barely moved.
New 52-week lows on the NYSE jumped back to levels from early last week, surprising until you consider it was almost all bond funds with a few energy stocks thrown in. Among common stocks only, new lows on the NYSE actually fell, as illustrated on this comparison chart with standard New Highs in black and common stock-only New Highs in red. While they move very similarly, I’ve highlighted a couple of instances this year in which the regular data provided a misleading view. One was in August when the New Highs data was distorted by the strong bond market while the common-stock only provided a telling divergence. The second was in November when a sharp selloff in bonds led to an inflated number of new lows that didn’t even register on the stocks-only line.
With S&P futures up over 0.5% overnight, it’s worth noting that the market rarely makes an outsized directional move immediately following a fresh 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 next-day performance. Note that the S&P never managed a gain of more than 1% in all 100 cases since 2000. It rarely fell much either, with only six occurrences leading to more than a 1% loss (max 1.7%), suggesting the potential for another flat close on Thursday…
S&P500 Closes at a Six-Month High
12/08/10… S&P ??? next session
11/02/10… S&P +0.4% 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