When a -100,000 Cumulative TICK Fails to Produce a Major SPX Selloff
By
Rennie on Thursday, April 14th, 2011 at 1:05 pm
Relentlessly negative NYSE TICK action led to the lowest Cumulative TICK (interactive chart | snapshot) close in years Wednesday (-174,000). Since last August, it’s become increasingly customary for price to shrug off weak TICK action, and yesterday’s session was certainly no exception. To give you an idea of how unusual it is (perhaps not recently, but historically) to see a flat close on very negative TICKs, here’s a rundown of every Cumulative TICK close in excess of -100,000 since the elimination of the uptick rule in ’07 along with the S&P500′s performance on that day…
NYSE Cumulative TICK <-100,000
04/13/11… -174,432… S&P +0.0% (*)
01/28/11… -105,681… S&P -1.8%
12/13/10… -126,490… S&P +0.0% (*)
11/09/10… -100,926… S&P -0.8% (*)
09/13/10… -115,166… S&P +1.1% (*)
08/11/10… -138,523… S&P -2.8%
06/29/10… -112,431… S&P -3.1%
06/04/10… -106,841… S&P -3.4%
05/06/10… -159,748… S&P -3.2%
02/04/10… -125,037… S&P -3.1%
10/28/09… -110,640… S&P -2.0%
06/22/09… -116,231… S&P -3.1%
04/20/09… -118,299… S&P -4.3%
03/06/09… -103,658… S&P +0.1% (*)
03/05/09… -141,807… S&P -4.3%
03/02/09… -163,753… S&P -4.7%
02/23/09… -134,831… S&P -3.5%
02/19/09… -107,365… S&P -1.2%
02/17/09… -142,360… S&P -4.6%
01/20/09… -101,646… S&P -5.3%
01/14/09… -103,027… S&P -3.4%
12/01/08… -112,488… S&P -8.9%
11/20/08… -133,754… S&P -6.7%
11/19/08… -171,459… S&P -6.1%
11/12/08… -142,875… S&P -5.2%
10/09/08… -135,465… S&P -7.6%
10/07/08… -107,960… S&P -5.7%
10/06/08… -142,048… S&P -3.9%
09/29/08… -154,512… S&P -8.8%
09/17/08… -128,458… S&P -4.7%
09/15/08… -116,000… S&P -4.7%
09/09/08… -114,605… S&P -3.4%
07/14/08… -105,540… S&P -0.9% (*)
03/10/08… -100,375… S&P -1.6%
03/06/08… -105,574… S&P -2.2%
11/07/07… -112,435… S&P -2.9%
07/26/07… -101,700… S&P -2.3%
07/24/07… -120,307… S&P -2.0%
It’s clear that a big negative Cumulative TICK usually coincided with a major down day for the market, especially prior to last September. Of the 34 occurrences since mid-2007 in which the S&P closed lower on a -100k Cumulative TICK day, the S&P’s average loss was a whopping 4.0%. It’s unusual to see the S&P lose less than 1% or actually manage a gain, with only five occurrences prior to Wednesday (those cases are highlighted with an asterisk in the table above). Interestingly, the market moved consistently higher over the next month in all five of those cases, sometimes significantly higher…
04/13/11… S&P ??? one month later
12/13/10… S&P +2.7% one month later
11/09/10… S&P +1.2% one month later
09/13/10… S&P +3.9% one month later
03/06/09… S&P +23.3% one month later
07/14/08… S&P +6.3% one month later
When a -100,000 Cumulative TICK Fails to Produce a Major SPX Selloff
By Rennie on Thursday, April 14th, 2011 at 1:05 pmRelentlessly negative NYSE TICK action led to the lowest Cumulative TICK (interactive chart | snapshot) close in years Wednesday (-174,000). Since last August, it’s become increasingly customary for price to shrug off weak TICK action, and yesterday’s session was certainly no exception. To give you an idea of how unusual it is (perhaps not recently, but historically) to see a flat close on very negative TICKs, here’s a rundown of every Cumulative TICK close in excess of -100,000 since the elimination of the uptick rule in ’07 along with the S&P500′s performance on that day…
NYSE Cumulative TICK <-100,000
04/13/11… -174,432… S&P +0.0% (*)
01/28/11… -105,681… S&P -1.8%
12/13/10… -126,490… S&P +0.0% (*)
11/09/10… -100,926… S&P -0.8% (*)
09/13/10… -115,166… S&P +1.1% (*)
08/11/10… -138,523… S&P -2.8%
06/29/10… -112,431… S&P -3.1%
06/04/10… -106,841… S&P -3.4%
05/06/10… -159,748… S&P -3.2%
02/04/10… -125,037… S&P -3.1%
10/28/09… -110,640… S&P -2.0%
06/22/09… -116,231… S&P -3.1%
04/20/09… -118,299… S&P -4.3%
03/06/09… -103,658… S&P +0.1% (*)
03/05/09… -141,807… S&P -4.3%
03/02/09… -163,753… S&P -4.7%
02/23/09… -134,831… S&P -3.5%
02/19/09… -107,365… S&P -1.2%
02/17/09… -142,360… S&P -4.6%
01/20/09… -101,646… S&P -5.3%
01/14/09… -103,027… S&P -3.4%
12/01/08… -112,488… S&P -8.9%
11/20/08… -133,754… S&P -6.7%
11/19/08… -171,459… S&P -6.1%
11/12/08… -142,875… S&P -5.2%
10/09/08… -135,465… S&P -7.6%
10/07/08… -107,960… S&P -5.7%
10/06/08… -142,048… S&P -3.9%
09/29/08… -154,512… S&P -8.8%
09/17/08… -128,458… S&P -4.7%
09/15/08… -116,000… S&P -4.7%
09/09/08… -114,605… S&P -3.4%
07/14/08… -105,540… S&P -0.9% (*)
03/10/08… -100,375… S&P -1.6%
03/06/08… -105,574… S&P -2.2%
11/07/07… -112,435… S&P -2.9%
07/26/07… -101,700… S&P -2.3%
07/24/07… -120,307… S&P -2.0%
It’s clear that a big negative Cumulative TICK usually coincided with a major down day for the market, especially prior to last September. Of the 34 occurrences since mid-2007 in which the S&P closed lower on a -100k Cumulative TICK day, the S&P’s average loss was a whopping 4.0%. It’s unusual to see the S&P lose less than 1% or actually manage a gain, with only five occurrences prior to Wednesday (those cases are highlighted with an asterisk in the table above). Interestingly, the market moved consistently higher over the next month in all five of those cases, sometimes significantly higher…
04/13/11… S&P ??? one month later
12/13/10… S&P +2.7% one month later
11/09/10… S&P +1.2% one month later
09/13/10… S&P +3.9% one month later
03/06/09… S&P +23.3% one month later
07/14/08… S&P +6.3% one month later