SPX Loses Seven Points for the Week on Very Low Volume
by Jerome "Mel" Hickerson
There was no economic data to review before Friday's open. However, on this options expiration Friday, it appeared that the risk aversion trade was back and stock futures pointed lower but a bounce right before the open erased most of the deficit.
The option expiration session began with a four point gap downward and followed through another six points before attempting a bounce. Sideways trade followed for another hour but bears regained control and took the session down to the lows of the day just a moment before noon. A slow moving three hour snapper rally carried the index up eight points off the lows and the final hour was choppy sideways trade to finish out the week.
A five week option cycle is always a bit different than the normal four week cycle. This five week cycle managed a meager five point gain while trading between 1056 and 1129.
Average volume this week was the lowest of a non-holiday week in more than two years. The largest down day of the week also had the heaviest volume but it was nothing significant. I keep hearing that this is typical August volume, and maybe it is, but last year this week (which was also an option expiration week) averaged almost 18% higher volume. So this low volume is not "typical summer volume"; it really is low.
Reviewing the Nine Sectors Report shows no changes from Friday so we will hold our Neutral signal.
Stepping back and reviewing the monthly chart, we see a higher high and a higher low forming on the chart. But there isn't much else to get excited about on the monthly chart as the year long rally certainly looks to have stalled.
The weekly chart also clearly shows a range bound market for almost a year. More than 80% of the time has been spent between 1040 and 1120. We will eventually break through that trading range, with the downside being most likely if we break through soon (September) and the high side if we stay bottled in this range until October.
One chart to review today showing the 5, 10, and 50 DMAs. These levels will provide resistance to any upward move and are all congested just overhead.
Short term, up before heading down is still anticipated. When the SPX has closed lower on option expiration, the SPX has closed higher next day on the last nine occurrences and 16 out of the last 20 occurrences. Odds would therefore seem to favor an up day on Monday.
We did not have much fun this week. The software used for our day trade signals keys significantly off the option chains and the last week of a five week cycle seems to behave unexpectedly. It's even worse with low volume; this was the lowest volume option expiration week in years. I've often struggled on the last week of a five week option cycle; I am glad to see this one move to left on the chart.
Mel’s Missives from the Matrix:
- Total tick for the day was 78,000 and the average tick for the day was 51. There were 131 ticks greater than 600 and 73 ticks more extreme than -600. There were 17 ticks greater than 1000 and 2 ticks more extreme than -1000. The tick action suggests institutional accumulation.
- The day's range was 11.72 points. The intraday trading range - 9:35to the close - was 9.2. The 5 DMA of daily range is 16.62.
- Evidence of the intraday trend: At 10am volume was 162.14% of the 10 day average. By noon the volume was 125.83% of the 10 day average, and by 2pm volume was 118.4% of the 10 day average.
- The day's volume was 77.4% of the average daily volume for the last year. Volume was 110.7% of the last 10 day average and 109% of the previous day’s volume.
- Evidence of the intraday trend: The largest increase in relative volume came between 13:00 and 13:15 when relative volume increased 17.6% while the SPX was rising 0.08%. The largest drop in relative volume came between 9:45 and 10:00 when relative volume dropped -70.0% while the SPX was rising 0.05%.
- 3% of the SPX stocks closed with two day RSI above 90. 6% closed with RSI above 80. 48% closed with RSI below 20 and 20% closed with RSI below 10.
- 20.4% of the SPX are above their five day moving average, 18.6% are above their 10 day average, 15.2% are above their 20 day moving average, 36.2% are above their 50 day moving average, 29.2% are above their 100 day moving average, and 35.8% are above their 150 day moving average.
- 6% of the SPX closed above their most recent previous high.
- 42% of the SPX stocks closed below their most recent previous lows.
- 42 SPX issues advanced and 448 issues declined, a net SPX advance/decline of -406.
- Evidence of the intraday trend: At 10am, 36% of the SPX components were in the top half of the range. By noon, 18.6% were in the top half of the range, and by 2pm, 41% were in the top half of the range.
- 73.4% of stocks closed in the top half of the day's range. (26.4% closed in bottom half.)
- 13% of stocks closed in the top 10% of the day's range. 36.4% of stocks closed in the top 20% of the day's range.
- 1.6% of stocks closed in the bottom 10% of the day's range. 5% of stocks closed in the bottom 20% of the day's range.
- 5% of stocks closed within 2% of their 52 week high. 12.6% of stocks closed within 5% of their 52 week high.
- 86% of stocks closed within 50% of their 52 week low. 60.6% of stocks closed within 25% of their 52 week low.
- 24.4% of stocks closed within ¼% of their high for the day.
- 3% of stocks closed within ¼% of their low for the day.
- Evidence of the intraday trend: At 10am, 15% of the SPX components were up since the open. By noon, 9.6% were up since the open, and by 2pm, 18.6% were up since the open.
- 35.8% of the SPX closed up from the previous close; 64.6% closed higher than the open.
- Sectors stronger than the SPX for Friday:
- Basic Materials -- Outperformed the SPX by +15%.
- Financials -- Outperformed the SPX by +9%.
- Technology -- Outperformed the SPX by +14%.
- Consumer Staples -- Outperformed the SPX by +38%.
- Utilities -- Outperformed the SPX by +64%.
- Health Care -- Outperformed the SPX by +3%.
- Consumer Discretionary -- Outperformed the SPX by +31%.
- Sectors weaker than the SPX for Friday:
- Energy -- Underperformed the SPX by -84%.
- Industrials -- Underperformed the SPX by -14%.
- The $SOX index strength was stronger relative to the SPX Friday by 0.82%.
- The XLF outperformed the SPX by 0.09% Friday.
- The 2 Day RSI of the SPX is 13. The Dow RSI is 10, the NASDAQ is 24 and the Russell is 19.
- Over the last four sessions, the average session closed 52.28% of the range above the low. Friday closed at 83.4% of the daily range.
- Upside momentum increased slightly Friday, from Thursday’s -0.34 to today’s -25. The ratio of SPX components giving a crossover sell signal compared to buy signals also increased slightly to S 6.37 to 1.
- The ISEE Equity 10 day moving average Friday was 176.7. The lowest 10 day average in the last 52 weeks was 136.6 on 06/14/10 and the highest 10 day average in the last 52 weeks was 249.3 on 04/15/10.
- 181 SPX components moved upward and 161 components downward during the after hours with 93 million shares traded.
Have a great weekend everyone!
-Mel
