Late-session Rally Leaves Market Vulnerable to Further Downside
By
Rennie on Monday, March 14th, 2011 at 8:32 pm
Not a great sign to see S&P futures stage a late-session bounce to close above Monday’s midpoint. When S&P futures settle above the midpoint on a day when most stocks close lower, it signals a weak recovery that usually doesn’t stick over the near-term. Here’s a look at each of the last thirty instances in which S&P futures closed above the day’s midpoint despite 2:1+ negative breadth on the NYSE…
S&P Futures Close >Midpoint Despite 2:1 Negative Breadth
03/14/11… ???
08/10/10… Lower S&P close one session later
05/06/10… Lower S&P close one session later
01/20/10… Lower S&P close one session later
01/12/10… No lower close within next two sessions
11/27/09… No lower close within next two sessions
11/19/09… Lower S&P close one session later
08/31/09… Lower S&P close one session later
08/14/09… Lower S&P close one session later
06/03/09… No lower close within next two sessions
05/21/09… Lower S&P close one session later
04/06/09… Lower S&P close one session later
03/27/09… Lower S&P close one session later
02/20/09… Lower S&P close one session later
01/22/09… Lower S&P close one session later
12/22/08… Lower S&P close one session later
12/15/08… No lower close within next two sessions
10/22/08… Lower S&P close two sessions later
10/06/08… Lower S&P close one session later
09/26/08… Lower S&P close one session later
04/22/08… Lower S&P close one session later
03/17/08… No lower close within next two sessions
03/04/08… Lower S&P close two sessions later
11/05/07… Lower S&P close two sessions later
09/07/07… Lower S&P close one session later
09/05/07… Lower S&P close two sessions later
06/05/07… Lower S&P close one session later
03/27/07… Lower S&P close one session later
07/05/06… Lower S&P close two sessions later
03/07/06… Lower S&P close two sessions later
10/06/05… Lower S&P close two sessions later
In 25 out of the last 30 occurrences, or 83% of the time, S&P futures posted a subsequently lower close one or two trading days later, significantly above the 58% random odds for a lower S&P close 1-2 days later in the same time frame. This signal would be amplified if S&P futures open higher on Tuesday, nullifying the ‘down open on a Fed day buy signal’ discussed earlier.
Late-session Rally Leaves Market Vulnerable to Further Downside
By Rennie on Monday, March 14th, 2011 at 8:32 pmNot a great sign to see S&P futures stage a late-session bounce to close above Monday’s midpoint. When S&P futures settle above the midpoint on a day when most stocks close lower, it signals a weak recovery that usually doesn’t stick over the near-term. Here’s a look at each of the last thirty instances in which S&P futures closed above the day’s midpoint despite 2:1+ negative breadth on the NYSE…
S&P Futures Close >Midpoint Despite 2:1 Negative Breadth
03/14/11… ???
08/10/10… Lower S&P close one session later
05/06/10… Lower S&P close one session later
01/20/10… Lower S&P close one session later
01/12/10… No lower close within next two sessions
11/27/09… No lower close within next two sessions
11/19/09… Lower S&P close one session later
08/31/09… Lower S&P close one session later
08/14/09… Lower S&P close one session later
06/03/09… No lower close within next two sessions
05/21/09… Lower S&P close one session later
04/06/09… Lower S&P close one session later
03/27/09… Lower S&P close one session later
02/20/09… Lower S&P close one session later
01/22/09… Lower S&P close one session later
12/22/08… Lower S&P close one session later
12/15/08… No lower close within next two sessions
10/22/08… Lower S&P close two sessions later
10/06/08… Lower S&P close one session later
09/26/08… Lower S&P close one session later
04/22/08… Lower S&P close one session later
03/17/08… No lower close within next two sessions
03/04/08… Lower S&P close two sessions later
11/05/07… Lower S&P close two sessions later
09/07/07… Lower S&P close one session later
09/05/07… Lower S&P close two sessions later
06/05/07… Lower S&P close one session later
03/27/07… Lower S&P close one session later
07/05/06… Lower S&P close two sessions later
03/07/06… Lower S&P close two sessions later
10/06/05… Lower S&P close two sessions later
In 25 out of the last 30 occurrences, or 83% of the time, S&P futures posted a subsequently lower close one or two trading days later, significantly above the 58% random odds for a lower S&P close 1-2 days later in the same time frame. This signal would be amplified if S&P futures open higher on Tuesday, nullifying the ‘down open on a Fed day buy signal’ discussed earlier.