Multi-year Lows for Cumulative TICK & TICKscore, SPX Closes Up

New 20-day highs across all exchanges increased Monday, indicating some inflow of buying power, while new 20-day lows decreased, signaling an easing of selling pressure. When that happens on a day when S&P futures touch a 5-day low, it’s generally a positive sign for the short-term. Over the last 30 occurrences stretching back nearly five years, the S&P closed higher two sessions later 77% of the time vs. a 55% random chance…

S&P Futures Hit Five-Day Low, New 20-day Lows Drop, 20-day Highs Increase
06/13/11… S&P futures ??? two sessions later
06/07/11… S&P futures +0.2% two sessions later
05/25/11… S&P futures +1.0% two sessions later
04/13/11… S&P futures +0.8% two sessions later
03/16/11… S&P futures +1.6% two sessions later
02/24/11… S&P futures +1.8% two sessions later
08/25/10… S&P futures +0.9% two sessions later
07/20/10… S&P futures +0.7% two sessions later
06/30/10… S&P futures -1.2% two sessions later
01/28/10… S&P futures +0.7% two sessions later
11/20/09… S&P futures +1.2% two sessions later
07/07/09… S&P futures -0.1% two sessions later
05/15/09… S&P futures +2.7% two sessions later
02/23/09… S&P futures +2.2% two sessions later
02/19/09… S&P futures -4.4% two sessions later
11/21/08… S&P futures +7.7% two sessions later
10/07/08… S&P futures -9.3% two sessions later
08/20/08… S&P futures +1.4% two sessions later
07/14/08… S&P futures +1.0% two sessions later
07/02/08… S&P futures -0.9% two sessions later
06/19/08… S&P futures -1.7% two sessions later
06/12/08… S&P futures +1.3% two sessions later
04/15/08… S&P futures +2.7% two sessions later
01/07/08… S&P futures -0.7% two sessions later
12/18/07… S&P futures +0.6% two sessions later
11/12/07… S&P futures +2.6% two sessions later
07/31/07… S&P futures +1.4% two sessions later
03/29/07… S&P futures +0.1% two sessions later
01/22/07… S&P futures +1.1% two sessions later
01/08/07… S&P futures +0.1% two sessions later
11/03/06… S&P futures +1.5% two sessions later

However, it should also be noted that 20-day lows still outnumber 20-day highs by over a 10:1 margin. As noted last Thursday, when new 20-day lows number over 1,000 and double the number of new 20-day highs, up days for the SPX tend to lead to a lower close the next session. We saw that signal triggered again on Monday, suggesting we may need to see one more lower close before buyers will make their presence felt. That would also fulfill the equity put/call sell signal that’s still in effect given Monday’s slightly higher SPX close.

52-week lows also decreased on both the NYSE and NASDAQ, another indication that further short-term weakness will probably be bought. When the SPX and NDX both hit 5-day lows and new lows decline on both exchanges, it usually leads  to a higher SPX close (above the setup day’s close) one or two sessions later.  The last thirty times we’ve seen this pattern triggered are listed in the table below. Note that 90% of cases led to a higher S&P close within the next two sessions, significantly above the 68% random odds for a higher SPX close within two days…

SPX & NDX Hit 5-Day Lows, New 52-week Lows Decline
06/13/11… ???
03/16/11… Higher SPX close one session later
08/25/10… Higher SPX close two sessions later
07/20/10… Higher SPX close two sessions later
06/30/10… No higher close within two sessions
01/28/10… Higher SPX close two sessions later
11/20/09… Higher SPX close one session later
07/07/09… Higher SPX close two sessions later
02/23/09… Higher SPX close one session later
12/02/08… Higher SPX close one session later
11/21/08… Higher SPX close one session later
10/09/08… Higher SPX close two sessions later
10/07/08… No higher close within two sessions
09/18/08… Higher SPX close one session later
09/17/08… Higher SPX close one session later
08/20/08… Higher SPX close one session later
06/12/08… Higher SPX close one session later
06/03/08… Higher SPX close two sessions later
01/23/08… Higher SPX close one session later
01/07/08… No higher close within two sessions
11/21/07… Higher SPX close one session later
11/12/07… Higher SPX close one session later
11/09/07… Higher SPX close two sessions later
07/31/07… Higher SPX close one session later
06/08/07… Higher SPX close one session later
04/12/07… Higher SPX close one session later
12/22/06… Higher SPX close one session later
11/03/06… Higher SPX close one session later
05/18/06… Higher SPX close one session later
01/03/06… Higher SPX close one session later
12/08/05… Higher SPX close one session later

NYSE TICK action was unusually weak Monday, leading to the lowest Cumulative TICK in a decade (-237,275). As a subscriber pointed out, I discussed this curious behavior of extremely negative TICK action without a major market selloff two months ago in a column titled ‘When a -100,000 Cumulative TICK Fails to Produce a Major SPX Selloff’. Today marks only the seventh time in history that a -100,000 Cumulative TICK did not lead to a selloff of more than 1%. Four of those six instances occurred in the last year and a half, and all six led to a higher S&P one month later. Not a lot of occurrences, but the consistency is interesting.

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

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