NYSE TICK Hits New High for Year on SPX Recovery Day

A late-day recovery sent the Last Hour indicator up over 200 points, the fourth time in the last six sessions we’ve seen a 200+ gain. The S&P ended up less than 1% following an early morning drop of 1.5%, usually the type of session that leads to short-term weakness. Of the last 30 times this pattern has occurred, 26 (87%) led to a subsequently lower close (below the setup day’s close) within the next two sessions, a significant edge over the 61% random chance…

S&P Down 1.5%+ Intraday, Closes Up Less Than 1%
09/12/11… ???
08/03/11… Lower SPX close one session later
05/25/10… Lower SPX close one session later
05/17/10… Lower SPX close one session later
02/05/10… Lower SPX close one session later
03/25/09… Lower SPX close three sessions later
03/06/09… Lower SPX close one session later
02/12/09… Lower SPX close one session later
01/23/09… No lower close within two sessions
01/16/09… Lower SPX close one session later
01/15/09… Lower SPX close two sessions later
12/12/08… Lower SPX close one session later
11/25/08… Lower SPX close three sessions later
11/18/08… Lower SPX close one session later
09/26/08… Lower SPX close one session later
09/05/08… Lower SPX close two sessions later
07/01/08… Lower SPX close one session later
03/13/08… Lower SPX close one session later
08/16/07… No lower close within two sessions
08/10/07… Lower SPX close one session later
06/08/06… Lower SPX close one session later
05/12/04… Lower SPX close one session later
03/20/03… Lower SPX close two sessions later
02/25/03… Lower SPX close one session later
10/23/02… Lower SPX close one session later
08/09/02… Lower SPX close one session later
07/30/02… Lower SPX close two sessions later
07/11/02… Lower SPX close one session later
06/24/02… Lower SPX close one session later
10/05/01… Lower SPX close one session later
03/01/01… Lower SPX close one session later

New 20-day lows across all exchanges jumped to over 1,100 Monday, more than ten times the number of new 20-day highs. That’s a sign of broad market weakness. When the SPX closes higher on a day when new 20-day lows are over 1,000 and more than double the number of new highs, it’s usually followed by a lower close the following session. The last 30 occurrences are listed below…

New 20-day Lows >1000 & more than 2x New 20-day Highs, SPX Closes Up
09/12/11… S&P500 ??? next day
08/09/11… S&P500 -4.4% next day
08/03/11… S&P500 -4.8% next day
06/16/11… S&P500 +0.3% next day
06/13/11… S&P500 +1.3% next day
06/09/11… S&P500 -1.4% next day
05/25/11… S&P500 +0.4% next day
03/11/11… S&P500 -0.6% next day
08/25/10… S&P500 -0.8% next day
07/06/10… S&P500 +3.1% next day
06/08/10… S&P500 -0.6% next day
05/25/10… S&P500 -0.6% next day
05/21/10… S&P500 -1.3% next day
02/05/10… S&P500 -0.9% next day
01/27/10… S&P500 -1.2% next day
01/25/10… S&P500 -0.4% next day
11/03/09… S&P500 +0.1% next day
11/02/09… S&P500 +0.2% next day
07/06/09… S&P500 -2.0% next day
06/23/09… S&P500 +0.7% next day
03/06/09… S&P500 -1.0% next day
03/04/09… S&P500 -4.3% next day
02/24/09… S&P500 -1.1% next day
01/23/09… S&P500 +0.6% next day
01/21/09… S&P500 -1.5% next day
01/15/09… S&P500 +0.8% next day
11/21/08… S&P500 +6.5% next day
11/18/08… S&P500 -6.1% next day
11/13/08… S&P500 -4.2% next day
10/28/08… S&P500 -1.1% next day
10/23/08… S&P500 -3.5% next day

I’d also note that NYSE TICK ran up to +1677 late in Monday’s session, the highest intraday high recorded this year. Unusually high TICK readings tend to precede a lower S&P close the following session. In 20 out of the last 30 occurrences of a two-month TICK high, or 67% of the time, the S&P turned around and closed lower the following session, well above the 45% random chance for a lower S&P close one day later in the same time frame…

NYSE TICK Hits Two-Month High
09/12/11… S&P500 ??? next day
08/10/11… S&P500 +4.6% next day
08/05/11… S&P500 -6.7% next day
06/23/11… S&P500 -1.2% next day
01/25/11… S&P500 +0.4% next day
07/20/10… S&P500 -1.3% next day
07/15/10… S&P500 -2.9% next day
05/25/10… S&P500 -0.6% next day
03/23/10… S&P500 -0.6% next day
02/11/10… S&P500 -0.3% next day
02/09/10… S&P500 -0.2% next day
11/27/09… S&P500 +0.4% next day
09/04/09… S&P500 +0.9% next day
08/27/09… S&P500 -0.2% next day
08/21/09… S&P500 -0.1% next day
05/18/09… S&P500 -0.2% next day
02/24/09… S&P500 -1.1% next day
10/17/08… S&P500 +4.8% next day
09/18/08… S&P500 +4.0% next day
09/05/08… S&P500 +2.1% next day
07/08/08… S&P500 -2.3% next day
03/26/08… S&P500 -1.2% next day
01/23/08… S&P500 +1.0% next day
06/27/07… S&P500 -0.0% next day
06/12/07… S&P500 +1.5% next day
06/08/07… S&P500 +0.1% next day
03/21/07… S&P500 -0.0% next day
03/12/07… S&P500 -2.0% next day
12/20/06… S&P500 -0.4% next day
11/30/06… S&P500 -0.3% next day
08/29/06… S&P500 -0.0% next day

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

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