SPY Posts Recovery Day on a Pickup in Volume

SPY traded down nearly 1% Tuesday morning before rebounding to close up over 1%. The morning drop sent SPY below Steenbarger’s S2 target while the recovery left SPY above R2 at the close. This pattern has led to a lower S&P close the following session more than two-thirds of the time. The last two occurrences that coincided with a 10-day high in volume (like Tuesday) both led to down days in excess of 4%…

SPY Trades Below Steenbarger S2, Closes Above R2
10/18/11… S&P500 ??? next session   (*)
08/09/11… S&P500 -4.4% next session (*)
03/29/11… S&P500 +0.7% next session
01/05/11… S&P500 -0.2% next session
08/27/10… S&P500 -1.5% next session
07/20/10… S&P500 -1.3% next session
12/14/09… S&P500 -0.5% next session
12/16/08… S&P500 -1.0% next session
11/13/08… S&P500 -5.0% next session (*)
05/06/08… S&P500 -1.8% next session
01/23/08… S&P500 +0.8% next session (*)
09/19/07… S&P500 -0.7% next session
07/11/07… S&P500 +1.6% next session
06/08/07… S&P500 +0.2% next session
05/30/07… S&P500 -0.1% next session
04/12/07… S&P500 +0.5% next session
03/22/06… S&P500 -0.2% next session
11/11/05… S&P500 -0.1% next session
11/10/05… S&P500 +0.3% next session
10/19/05… S&P500 -1.8% next session
07/20/05… S&P500 -0.6% next session
04/12/05… S&P500 -1.2% next session
12/09/04… S&P500 +0.1% next session
02/20/02… S&P500 -2.1% next session
01/02/02… S&P500 +1.1% next session
10/25/01… S&P500 -0.2% next session
05/16/01… S&P500 +0.2% next session (*)
05/04/01… S&P500 -0.9% next session (*)
01/03/01… S&P500 -1.1% next session (*)
05/24/00… S&P500 -1.7% next session (*)
02/15/00… S&P500 -1.5% next session (*)
04/12/99… S&P500 -0.6% next session (*)
10/28/97… S&P500 -0.3% next session (*)

Next-day: 9-23
1% moves: 2-12

Avg gain 0.6%
Avg loss 1.3%

(*) = sessions when SPY volume hit a 10-day high

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

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