Indices Rollover and Volatility Return$
by Jerome "Mel" Hickerson
Before the open, earnings from both Bank of America and General Electric were above expectations with both companies also saying that the economy is stabilizing and that business is picking up. Housing Starts for March rose 1.6% to an annualized rate of 626K, which was above the consensus for 610K. The February numbers were revised higher to an annualized rate of 616K from 575K. Building Permits for March rose 7.5% to 685K. This was higher than the consensus of 625K and the revised February total of 637K. The major overseas markets were down in Asia and were mixed in Europe. Futures were down overnight and were pointing to a slightly lower open.
The regular week-ending options expiration session opened with heavy volume and a small gap downward of about three points. The SPX attempted a rally within the first 10 minutes, painted the first leg of a double intraday top, rolled over and then bounced at 10am. At 10:20 the second leg of the double top was on the chart and the next 15 minutes were indecisive and sideways while the internals were crumbling.
During this interval, we were advising aggressive traders to enter short positions and watching careful for confirmation from the indices to get the less aggressive traders into short positions. We took positions in SMN at 10:44 and the indices rolled over sharply until about 11:20. The indices struggled to avoid cascading downward until setting the low of the session at 12:38. From then into the close it was choppy with an upward bias but the last 15 minutes closed with heavy selling.
This was easily the most volatile session since February 5th, and certainly as much fun to trade. Volatility is the lifeblood of a day trader and it matters not which way it is going, just trade it. Seven of our ten signals Friday were long signals; only one failed. Never confuse fundamentals with day trading; the only thing that matters is supply and demand and price movement. When selling pressure is decreasing and buying pressure is increasing, I want in long enough to take advantage; I don't care what the vehicle is because I won't be around long enough for it to matter. I just want my chance to catch part of the fun. And today we certainly accomplished that; today made up for several frustrating days.
I'll write more over the weekend about the outlook for next week.
Day Trade Systems Update: (Signals today)
* Aggressive Trade Short (and walk away) at: 10:08
* HOD Call at: 10:22
* SMN at: 10:44
* Bounce Alert at: 10:56
* UYM at: 11:06
* Bounce Alert at: 11:22
* GDX at: 11:35
* Bounce Alert at: 11:54
* GDX at: 12:03
SPX Summary for Friday, April 16, 2010
51 Advancers/442 Decliners
244 Advancers/250 Decliners for the week
Today's SPX component winners and losers:
• Largest one day loser is GS with -12.65%
• Largest three day loser is GS with -10.20%
• Largest five day loser is GS with -10.08%
• Largest ten day loser is MEE with -20.32%
• Largest one day winner is DTV with 4.76%
• Largest three day winner is DELL with 7.00%
• Largest five day winner is GT with 11.02%
• Largest ten day winner is EK with 23.58%
*** SPX Technical Summary ***
The lowest 14 day RSI component is BIIB; the highest 14 day RSI component is BDK. The average 14 day RSI of all 500 components is 60.
The greatest positive five day momentum component is GT; the greatest negative five day momentum component is GS. The average five day momentum of all 500 components is 0.03.
65.40% of the SPX components are giving a crossover Buy signal; 11.20% of the SPX components are giving a Sell signal. This is a 5.8 to 1 ratio of Buy signals over Sell signals.
SPX component signal changes today (evidence of trend):
• From Sell to Neutral: 6 components.
• From Buy to Neutral: 31 components.
• From Neutral to Sell: 11 components.
• From Neutral to Buy: 10 components.
The moving averages:
Close 1192.13
9 EMA 1207.50 Falling
5 DMA 1201.65 Falling
10 DMA 1194.84 Rising
20 DMA 1182.12 Rising
50 DMA 1140.56 Rising
100 DMA 1126.91 Rising
200 DMA 1075.34 Rising
10 Wk MA 1146.83 Falling
Notice that some of the averages are falling for the first time in quite a while.
NYSE Summary
On the NYSE 3194 issues were traded with 608 advancing issues and 2500 retreating issues, a ratio of 4.11 to 1 declining. There were 510 new highs and 10 new lows.
Declining volume was higher at a ratio of 12.95 to 1. The closing TRIN was 3.15 and the final tick was -320.
Evidence of trend:
Relative to the previous 30 session average, volume was 62.46% above the average. Of the last 15 sessions 6 sessions ended with volume greater than the previous rolling 30 day average volume. Of the last 30 sessions, 24 sessions ended on a positive tick, 8 of last 10.
The 5 day moving average of New Highs is 427 while the 5 day moving average of new lows is 6 and the 10 day moving average of Net Advancing is 257. The Net Advancing data indicates a bullish trend.
Remember: Breadth leads, indices follow. Today, the NYSE Advance/Decline line decreased from 209839 to 207947. This -0.91% decrease came while the SPX was losing -1.64%. The 10 day moving ratio of positive volume is 1.07 and the 10 day moving Advance/Decline ratio is 1.18. The 10 day moving ratio of positive volume has trended -0.53 over the last three days and the 10 day moving Advance/Decline ratio has trended -0.25 over the last three days.
The NYSE Composite Index lost -1.75% today.
NYSE Statistics:
Absolute Breadth Index: 31.79 down from previous day of 36.82
Cumulative Volume Index: 76,623.43 down from previous day of 84,810.43
High Low Logic Index: 0.84 down from previous day of 0.98
McClellan Oscillator: (76.77) down from previous day of 61.63
McClellan 10 DMA: 39.84 down from previous day of 49.97
McClellan Summation Index: 3,620.68 down from previous day of 3,697.40
% Stocks Above 200 DMA: 86.39 down from previous day of 88.43
% Stocks Above 40 DMA: 78.20 down from previous day of 82.94
New High / New Low Ratio: 96.73 up from previous day of 94.65
26wk New High/Low Ratio: 92.70 down from previous day of 94.82
13wk New High/Low Ratio: 89.19 down from previous day of 94.99
4wk New High/Low Ratio: 63.48 down from previous day of 90.36
Cumulative 4-Week New Hi-Low: 442,325 up from previous day of 442,175
Nasdaq Adv/Decline: 1,750 down from previous day of 1,794
Russell 1000 Advance/ Decline Line: 2,654 down from previous day of 2,734
Russell 2000 Advance/ Decline Line: (1,605) down from previous day of (1,546)
Notes:
Absolute Breadth Index: Low numbers suggest a topping process and high numbers suggest a bottoming process.
Cumulative Volume Index: If this begins to trend down while the averages are trending up, it is a bearish sign. If this begins to trend up while the averages are trending down, it is a bullish sign.
High Low Logic Index: High readings are bearish; low readings are bullish.
McClellan Oscillator: -100 is oversold and +100 is overbought. Also watch for crosses above and below zero.
McClellan Summation Index: Interpreted as bullish or bearish when it crosses over the zero line.
Cumulative 4-Week New Hi-Low: The difference between the number of issues reaching new highs (during a 4-week period) and the number of issues reaching new lows (during the same 4-week period).
Mel’s Missives from the Matrix:
• Total tick for the day was -170,000. There were 59 ticks greater than 600 and 161 ticks more extreme than -600. There were no ticks greater than 1000 and 26 ticks more extreme than -1000. The tick action suggests heavy institutional distribution.
• The day's range was 23.4 points. The 5 DMA of daily range is 12.75.
• Evidence of the intraday trend: At 10am volume was 182.73% of the 10 day average. By noon the volume was 211.99% of the 10 day average, and by 2pm volume was 209.11% of the 10 day average.
• The day's volume was 160.9% of the average daily volume for the last year. Volume was 190.4% of the last 10 day average and 138.1% of the previous day’s volume.
• Evidence of the intraday trend: The largest increase in relative volume came between 11:15 and 11:30 when relative volume increased 217.5% while the SPX was dropping -0.22%. The largest drop in relative volume came between 11:30 and 11:45 when relative volume dropped -162.3% while the SPX was rising 0.08%.
• 3% of the SPX stocks closed with two day RSI above 90. 5% closed with RSI above 80. 39% closed with RSI below 20 and 18% closed with RSI below 10.
• 30.2% of the SPX are above their five day moving average, 49.4% are above their 10 day average, and 66.6% are above their 20 day moving average.
• 3% of the SPX closed above their most recent previous high.
• 66% of the SPX stocks closed below their most recent previous lows.
• 51 SPX issues advanced and 442 issues declined, a net SPX advance/decline of -391.
• Evidence of the intraday trend: At 10am, 24.8% of the SPX components were in the top half of the range. By noon, 3.6% were in the top half of the range, and by 2pm, 9.6% were in the top half of the range.
• 21.2% of stocks closed in the top half of the day's range. (78.6% closed in bottom half.)
• 2.2% of stocks closed in the top 10% of the day's range. 6.6% of stocks closed in the top 20% of the day's range.
• 9.8% of stocks closed in the bottom 10% of the day's range. 25.8% of stocks closed in the bottom 20% of the day's range.
• 21.8% of stocks closed within 2% of their 52 week high. 57.2% of stocks closed within 5% of their 52 week high.
• 40.6% of stocks closed within 50% of their 52 week low. 10.8% of stocks closed within 25% of their 52 week low.
• 5.6% of stocks closed within ¼% of their high for the day.
• 9.4% of stocks closed within ¼% of their low for the day.
• Evidence of the intraday trend: At 10am, 23% of the SPX components were up since the open. By noon, 9% were up since the open, and by 2pm, 8.6% were up since the open.
• 11.8% of the SPX closed up from the previous close; 15% closed higher than the open.
• Sectors stronger than the SPX for Friday:
- Energy -- Outperformed the SPX by +7%.
- Industrials -- Outperformed the SPX by +7%.
- Technology -- Outperformed the SPX by +27%.
- Consumer Staples -- Outperformed the SPX by +118%.
- Utilities -- Outperformed the SPX by +64%.
- Health Care -- Outperformed the SPX by +101%.
- Consumer Discretionary -- Outperformed the SPX by +11%.
• Sectors weaker than the SPX for Friday:
- Basic Materials -- Underperformed the SPX by -12%.
- Financials -- Underperformed the SPX by -224%.
• The $SOX index strength was stronger relative to the SPX Friday by 0.32%.
• The XLF underperformed the SPX by -2.24% Friday.
• The 2 Day RSI of the SPX is 18. The Dow RSI is 26, the NASDAQ is 34 and the Russell is 38.
• Over the last four sessions, the average session closed 66.09% of the range above the low. Friday closed at 24% of the daily range.
• Upside momentum decreased Friday, from Thursday’s 2.3 to today’s 0.03. The ratio of SPX components giving a crossover buy signal compared to sell signals also decreased to B 5.84 to 1.
• The ISEE Equity 10 day moving average Friday was 249.3. The lowest 10 day average in the last 52 weeks was 141.5 on 06/29/09 and the highest 10 day average in the last 52 weeks was 249.3 on 04/15/10.
• 132 SPX components moved upward and 279 components downward during the after hours with 181 million shares traded.
Have a great weekend everyone!
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"Mel"
