Below is a recent sample of our End-of-Day Charting section, highlighting many of the unique SPX component-based charts available to subscribers. By tracking every S&P component, we’re able to offer charts you won’t find anywhere else, such as the spread between components with a 2-day RSI over 98 and a 2-day RSI under 2, or a McClellan Oscillator based on SPX breadth rather than NYSE or NASDAQ breadth. Charts are updated nightly, usually by 8pm ET.
S&P500 component daily charts: Advancers-Decliners | Opening-Based Advancers-Decliners | Up – Down Volume | 52-week Highs-Lows | 20-day Highs-Lows | Above Avg-Below Avg Volume | Total Volume | 20-day Advance/Decline Thrust | Top 10-Bottom 10 | 2-day RSI Spread | McClellan Oscillator | Bollinger Band Spread | Confusion Index | Big Movers | All or Nothing
Weekly charts of interest: AAII Sentiment Survey | Market Vane Bullish Consensus | Investors Intelligence | St Louis Fed Financial Stress | Initial Unemployment Claims | Commercials in Eurodollar Futures
Cumulative Advancers – Decliners… This is the S&P500 version of cumulative breadth. Based only on the 500 stocks within the S&P, it’s not distorted by any non-equity issues. Top chart shows cumulative advance-decline line, bottom chart shows daily spread between advancers and decliners.
Opening-based Advancers – Decliners… Calculated like the standard Cumulative Advancers – Decliners but compares today’s close to today’s open to determine whether today was an ‘advance’ or ‘decline’, rather than comparing today’s close to the previous day’s close. Provides additional color over and above the standard breadth line.
Up Volume – Down Volume… Similar to the standard advance – decline line, but in this case we’re substituting up volume among S&P500 components for advancing issues and SPX down volume for declining issues. Interesting when compared to breadth charts in terms of whether it’s confirming or not confirming with a similar move up or down. Top chart shows cumulative up – down volume, bottom chart shows daily spread between up and down volume.
New 52-week Highs and Lows… Similar to NYSE or NASDAQ 52-week highs and lows but only involving S&P500 stocks. Top chart shows spread between 52-week highs and lows, bottom chart shows the raw number of 52-week highs and lows.
New 20-day Highs and Lows… Similar to 52-week highs and lows but a much shorter-term version utilizing 20-day highs and lows among SPX components. Much more responsive for short-term analysis. Lower chart shows raw number of 20-day highs and lows, top chart shows spread between the two.
Above Average – Below Average Volume Spread… A unique volume indicator! Each day we calculate the number of S&P500 components with above-average volume and subtract the number of components with below-average volume (lower chart). We then chart this spread cumulatively (top chart) to highlight the underlying trend. Typically bullish when cumulative line is falling and bearish when rising.
Total S&P500 Volume… This is the total volume of all S&P500 components, charted daily. A much more pure volume read for equities that is not distorted by non-equity issues. Also shown are 10-day and 50-day averages of volume (red and green lines respectively).
20-day Advance/Decline Thrust… The thrust indicator is calculated by taking the total number of SPX advancers over the last 20 sessions and dividing that number by the total number of SPX advancers + decliners in the same period, then multiplying the result by 100. Readings above 50 reflect a bullish environment, below 50 bearish.
Extreme Range Spread… A very interesting short-term momentum indicator, this spread takes the number of S&P500 components that closed in the top 10% of their daily range and subtracts the number of components that closed in the bottom 10% of their day’s range. This spread is then charted cumulatively (top chart).
2-day RSI Spread… Another unique short-term momentum indicator, this spread (top chart) is calculated by determining the number of S&P500 components with a 2-day RSI reading greater than 98 and subtracting the number of components with a 2-day RSI less than 2.
McClellan Oscillator… This is the S&P500 version of the classic Mclellan, which is the difference between a 5% and 10% exponential moving average of SPX advancers – decliners. If you like the original version utilizing NYSE breadth data, you’ll be interested in this version utilizing only SPX breadth. Readings under -50 are a good oversold indicator!
Bollinger Band Spread… We calculate the number of S&P components that closed over their upper bollinger band and the number that closed under their lower band (lower chart), then chart the spread between these two on a cumulative basis (top chart). A different take on your standard momentum indicator.
Confusion Index… Similar to the High-Low Logic indicator, we calculate the minimum of 52-week highs and lows and chart an exponential moving average of this daily reading. Readings over 1% are a red flag!
Big Movers Index… SPX components that gained or lost 2%+ on the session (lower chart). We calculate the spread between 2% gainers and losers on a daily basis and chart the spread cumulatively (top chart). Watch for times when the spread diverges from price – it’s usually the spread that’s right!
All or Nothing Days… Defined as a session in which at least 80% of the components of the S&P500 move either higher or lower. We then keep a running total of these ‘all or nothing’ days over the last fifty trading days. A high and rising line reflects a market with increasingly lopsided activity.
Leading TICK Daily… Our Lead TICK indicator’s closing value charted on an end-of-day perspective to highlight the underlying trend. Watch for times when the cumulative line diverges from price – it’s usually the indicator that’s leading.
Cumulative NYSE TICK… We sum 1-minute NYSE TICK readings from open to close to create the Cumulative TICK indicator (lower chart), then chart a 20-day moving average of this number to highlight the overall trend (upper chart). Bullish/bearish for stocks when the moving average is above/below the zero line.
Last Hour… This indicator is calculated by measuring the market’s performance during the last hour of each session and comparing that to the performance during the first half-hour. The daily number is then charted cumulatively. Best viewed on a longer-term time frame. Moves inversely to price, so it’s bullish when the long-term trend is lower lows and bearish when the trend shifts to higher highs.
XLY/XLP Ratio… Ratio of Consumer Discretionary ETF divided by Consumer Staples ETF. Traditionally a bullish indication to see the ratio making higher highs, reflecting XLY outperformance relative to XLP.
AAII Sentiment Survey… Small investor sentiment survey courtesy of the folks at the American Association of Individual Investors. Top chart plots the spread between AAII bulls and bears, bottom chart shows the actual level of the AAII Bullish and Bearish Consensus.
Market Vane Survey… Market Vane surveys commodity trading advisors on a weekly basis. Chart depicts the Bullish Consensus along with a 4-week moving average. CTA’s are good trend followers so it’s bullish to see this survey running north of 50% (meaning more than half of CTA’s polled are bullish).
Investors Intelligence… Investors Intelligence poll of professional money managers, published weekly. Chart depicts the Bullish and Bearish Consensus levels as well as a 104-week moving average of bulls. When this long-term average exceeds 51%, it’s historically been an early warning sign of excessive ‘exuberance’.
St Louis Fed Financial Stress Index… Based on a combination of interest rates, yield spreads and other indicators, the STLFSI is bullish on stocks when under the zero level and bearish when above zero.
Eurodollar Commercials Net Position… Based on Commitments of Traders data in Eurodollar futures, history demonstrates that a longer-term moving average of commercials net position has been a good indicator for the stock market. Bullish when above zero and rising, bearish when below zero and falling.
Unemployment Claims… Plotted is the 4-week moving average of initial unemployment claims as reported by the Department of Labor. Bullish when the average is trending lower (lower lows), bearish for stocks when average pushes into higher highs.