S&P Posts Largest Intraday Decline Since March 1st

The S&P500 closed below the May 24th closing low, yet the cumulative breadth line based on SPX components remains well above its 5/24 low, a positive divergence. This will probably set the stage for at least a short-term bounce if not more. Despite today’s steep selloff, there wasn’t much damage among key indicators. New highs continue to outnumber new lows, volatility is still low and principal program activity remains heavy. During the week ending May 20th, program trades executed as principal for member firms’ accounted for nearly 50% of total program volume, the second-highest reading of the past year. It’s when principal activity is unusually light that the market has been vulnerable to a sustained move lower.

S&P futures fell 2.1% on an open-to-close basis Wednesday, the largest intraday decline in over two months. In reviewing previous instances when S&P futures staged a similarly large open-to-close decline (the largest in 40+ trading days), there was a notable bullish edge over the short-term. Here’s a look at every instance since 2006 and the performance of S&P futures over the next 1,2 and 3 trading days…

S&P Futures Open-to-Close Pct Loss Largest in Two Months
06/01/11… S&P futures ???
03/01/11… S&P futures +0.4%, +2.2%, +1.5%
01/28/11… S&P futures +0.9%, +2.5%, +2.2%
11/16/10… S&P futures +0.2%, +2.0%, +2.0%
11/09/10… S&P futures +0.3%, +0.0%, -1.3%
07/16/10… S&P futures +0.1%, +1.6%, +0.1%
05/06/10… S&P futures -1.4%, +3.1%, +2.7%
04/30/10… S&P futures +1.3%, -0.9%, -1.7%
04/27/10… S&P futures +0.8%, +2.1%, +0.2%
04/16/10… S&P futures +0.5%, +1.3%, +0.9%
02/04/10… S&P futures -0.2%, -0.6%, +0.4%
01/21/10… S&P futures -1.8%, -1.7%, -2.2% (*)
12/31/09… S&P futures +1.6%, +1.9%, +2.0%
10/30/09… S&P futures +0.6%, +0.8%, +1.4%
10/01/09… S&P futures -0.6%, +0.9%, +2.1%
09/01/09… S&P futures -0.2%, +0.5%, +1.8%
06/22/09… S&P futures +0.2%, +1.1%, +3.2%
02/23/09… S&P futures +3.2%, +2.2%, +0.9%
10/09/08… S&P futures -2.4%, +11.4%, +9.8%
09/29/08… S&P futures +4.3%, +4.4%, +0.5%
09/09/08… S&P futures +0.6%, +2.0%, +2.5%
06/06/08… S&P futures +0.3%, -0.2%, -1.7%
03/19/08… S&P futures +2.0%, +4.0%, +4.0%
01/17/08… S&P futures -1.1%, -2.3%, +0.1%
12/11/07… S&P futures +0.8%, +0.7%, -0.7%
11/26/07… S&P futures +1.2%, +4.4%, +4.4%
10/19/07… S&P futures +0.5%, +1.3%, +1.1%
08/03/07… S&P futures +1.7%, +2.7%, +4.2%
07/27/07… S&P futures +1.6%, +0.3%, +0.8%
06/07/07… S&P futures +1.3%, +1.4%, +0.3%
02/27/07… S&P futures +1.0%, +0.7%, -0.7%
11/27/06… S&P futures +0.4%, +1.3%, +1.4%
11/01/06… S&P futures -0.1%, -0.3%, +0.8%
06/12/06… S&P futures -1.2%, -0.5%, +1.7%
05/23/06… S&P futures +0.7%, +1.9%, +2.4%
05/17/06… S&P futures -0.5%, +0.1%, -0.6%
05/11/06… S&P futures -1.3%, -1.1%, -1.3% (*)
04/07/06… S&P futures +0.1%, -0.8%, -0.6%
01/20/06… S&P futures +0.3%, +0.4%, +0.5%

Out of 38 occurrences since 2006, 36 led to a subsequently higher close within the next three sessions, suggesting good odds we’ll see June S&Ps close back over 1312 by next Monday at the latest. This could also be viewed as strictly a 2 or 3-day signal, both of which led to a higher S&P 29 out of 38 instances, or 76% of the time.

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

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