On Today’s Light SPY Volume
By
Rennie on Monday, July 25th, 2011 at 1:54 pm
Update: Erroneously reported SPY volume off sharply from Friday due to an error in the data file. This has been corrected. Study below not triggered but historical content is accurate.
SPY volume currently off 45% vs. this time Friday (see relative volume page), which translates into end-of-day volume in the 65 million range. That would make today the lowest volume session since at least April 25th, a very unusual development considering SPY was down a bit over 1% at session lows. Volume is much more likely to hit a 40-day high when the SPY trades down 1%+ intraday. Since 2000, there have been 97 separate instances of SPY trading down 1% intraday and volume hitting a 40-day high, but there have only been 10 instances of SPY trading down 1% and volume hitting a 40-day low. Those ten instances are shown below, along with the SPY’s performance over the next 10 and 20 trading days…
SPY Down 1% Intraday, EOD Volume 40-day Low
11/26/10… SPY +4.8% two weeks later, +5.8% one month later
12/14/09… SPY +0.6% two weeks later, +2.5% one month later
04/13/09… SPY +0.0% two weeks later, +6.3% one month later
04/07/09… SPY +3.5% two weeks later, +12.9% one month later
04/21/08… SPY +1.7% two weeks later, +3.3% one month later
11/18/02… SPY +2.6% two weeks later, +0.4% one month later
11/11/02… SPY +5.9% two weeks later, +2.8% one month later
11/21/01… SPY +2.9% two weeks later, +0.5% one month later
05/18/00… SPY +3.1% two weeks later, +2.3% one month later
05/08/00… SPY -1.7% two weeks later, +2.8% one month later
SPY was 10/10 at the one-month mark, averaging a gain of 4%. That’s consistent with the recent study triggered last Thursday involving three gap up opens.
On Today’s Light SPY Volume
By Rennie on Monday, July 25th, 2011 at 1:54 pmUpdate: Erroneously reported SPY volume off sharply from Friday due to an error in the data file. This has been corrected. Study below not triggered but historical content is accurate.
SPY volume currently off 45% vs. this time Friday (see relative volume page), which translates into end-of-day volume in the 65 million range. That would make today the lowest volume session since at least April 25th, a very unusual development considering SPY was down a bit over 1% at session lows. Volume is much more likely to hit a 40-day high when the SPY trades down 1%+ intraday. Since 2000, there have been 97 separate instances of SPY trading down 1% intraday and volume hitting a 40-day high, but there have only been 10 instances of SPY trading down 1% and volume hitting a 40-day low. Those ten instances are shown below, along with the SPY’s performance over the next 10 and 20 trading days…
SPY Down 1% Intraday, EOD Volume 40-day Low
11/26/10… SPY +4.8% two weeks later, +5.8% one month later
12/14/09… SPY +0.6% two weeks later, +2.5% one month later
04/13/09… SPY +0.0% two weeks later, +6.3% one month later
04/07/09… SPY +3.5% two weeks later, +12.9% one month later
04/21/08… SPY +1.7% two weeks later, +3.3% one month later
11/18/02… SPY +2.6% two weeks later, +0.4% one month later
11/11/02… SPY +5.9% two weeks later, +2.8% one month later
11/21/01… SPY +2.9% two weeks later, +0.5% one month later
05/18/00… SPY +3.1% two weeks later, +2.3% one month later
05/08/00… SPY -1.7% two weeks later, +2.8% one month later
SPY was 10/10 at the one-month mark, averaging a gain of 4%. That’s consistent with the recent study triggered last Thursday involving three gap up opens.