SPY Finding Support at the Midpoint

Notice from our new tracker page at http://MarketTells.com/intraday-charts/cboe-equity-putcall-ratio/ that the CBOE equity put/call ratio closed at .55 Tuesday, nullifying the potential three-day signal discussed earlier today. The intermediate-term signal based on the unusually low SPX historical volatility was triggered, a positive sign heading into the first week of March. In addition, today’s close above the midpoint made nine consecutive days in which SPY closed above the day’s average. Historically, this many consecutive sessions with a close above the midpoint has had bullish longer-term implications. It’s only occurred five times, but every instance led to a higher SPY one, two and three months later…

SPY Closes above Midpoint Nine Consecutive Sessions
02/15/11… SPY ??? one month later, ??? two months, ??? three months
07/29/09… SPY +5.7% one month later, +7.5% two months, +12.0% three months
11/22/06… SPY +0.5% one month later  +2.2% two months, +3.5% three months
10/13/06… SPY +1.2% one month later, +3.8% two months, +4.1% three months
06/21/05… SPY +1.6% one month later, +0.6% two months, +1.4% three months
06/18/97… SPY +4.4% one month later, +3.7% two months, +3.7% three months

Loosening the criteria and only looking for eight consecutive closes above the midpoint turns up eleven instances since SPY’s inception. Most led to a higher SPY at the one and two-month marks and all eleven led to a higher SPY three months later…

SPY Closes above Midpoint Eight Consecutive Sessions
02/14/10… SPY ??? one month later, ??? two months, ??? three months
12/28/10… SPY +3.1% one month later, ??? two months, ??? three months
02/19/10… SPY +4.4% one month later, +7.8% two months, +2.5% three months
07/28/09… SPY +5.4% one month later, +8.5% two months, +10.6% three months
02/23/07… SPY -1.3% one month later, +1.9% two months, +5.0% three months
02/08/07… SPY -2.9% one month later, -0.4% two months, +4.1% three months
11/21/06… SPY +1.1% one month later, +1.5% two months, +3.8% three months
10/12/06… SPY +1.4% one month later, +3.8% two months, +3.9% three months
06/20/05… SPY +1.3% one month later, +0.7% two months, +1.5% three months
03/21/03… SPY -0.0% one month later, +3.3% two months, +13.4% three months
06/17/97… SPY +4.6% one month later, +3.0% two months, +1.7% three months
09/08/95… SPY +1.5% one month later, +2.9% two months, +7.3% three months
02/26/93… SPY +1.1% one month later, -2.3% two months, +1.2% three months

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

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