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Total S&P500 component volume was 1.6 billion Thursday, the lowest daily volume since Labor Day. It’s been a pretty reliable 1-day sell signal when SPY posted an unfilled upside gap (low>prev high) on the lowest SPX volume in 30+ days. Over 15 occurrences since 2000, only two led to a higher SPY close the following session. Average loss was 0.7%, nearly triple the 0.25% average gain…

SPY Unfilled Upside Gap, SPX Volume 30-day Low
12/23/21… SPY ???
05/08/20… SPY -0.0% next session
07/03/19… SPY -0.1% next session
11/24/17… SPY -0.1% next session
11/25/16… SPY -0.5% next session
02/22/16… SPY -1.3% next session
07/03/14… SPY -0.4% next session
11/23/12… SPY -0.2% next session
11/11/11… SPY -1.0% next session
10/14/11… SPY -2.1% next session
11/24/10… SPY -1.3% next session
03/01/10… SPY +0.3% next session
10/12/09… SPY -0.2% next session
12/24/07… SPY +0.2% next session
07/03/07… SPY -0.1% next sessione
07/05/02… SPY -1.4% next session

There’s also a tendency to see stocks decline the next day when SPX posts a 52-week high ahead of a long weekend. Over 28 occurrences since 1995, the S&P was up 10 times (36%), down 18 times one session later vs. 54% random odds. Average gain and loss were both small at 0.5%…

SPX 52-week (closing) High Ahead of Long Weekend
12/23/21… SPX ??? next session
07/02/21… SPX -0.2% next session
04/01/21… SPX +1.4% next session
02/12/21… SPX -0.1% next session
12/31/20… SPX -1.5% next session
02/14/20… SPX -0.3% next session
01/17/20… SPX -0.3% next session
01/12/18… SPX -0.4% next session
05/26/17… SPX -0.1% next session
02/17/17… SPX +0.6% next session
02/13/15… SPX +0.2% next session
08/29/14… SPX -0.1% next session
07/03/14… SPX -0.4% next session
05/23/14… SPX +0.6% next session
03/28/13… SPX -0.5% next session
01/18/13… SPX +0.4% next session
02/18/11… SPX -2.1% next session
01/14/11… SPX +0.1% next session
04/01/10… SPX +0.8% next session
12/24/09… SPX +0.1% next session
01/12/07… SPX +0.1% next session
12/23/04… SPX -0.4% next session
01/16/04… SPX -0.1% next session
12/23/99… SPX -0.1% next session
07/02/99… SPX -0.2% next session
07/03/97… SPX -0.5% next session
05/23/97… SPX +0.3% next session
05/24/96… SPX -0.9% next session
04/13/95… SPX -0.6% next session

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