There's a lot
going on out there today, and conditions are changing rapidly. I
just want to touch on a few things intraday as we're seeing some
exceptional readings.
* This is
only the 6th time in history the S&P 500 futures have declined 5 days in
a row and then gapped down at least -1%. All five of the others
closed above the opening price.
* The
total put/call ratio is poised to close at its 4th-highest level since
modern reporting began in 1995. The other 3 were all clustered in
late February, early March 2007.
* The Up
Issues Ratio is so low, at just under 4%, that only two other days since
1950 can match this bad breadth. They were 9/26/55 and 10/19/87,
after which we saw vicious short-term bounces.
* The S&P
is poised to close below its 200-day moving average for the first time
in 216 trading days. I couldn't care less about that (I care much
more about the slope of the 200-day as opposed to whether price is above
or below it), but many others do, so let's take a quick look at the
S&P's performance going forward after the first close below the 200-day
in at least 200 trading days.
|
Date |
# Days
> 200-Day |
1 Day
Later |
1 Week
Later |
2 Weeks
Later |
1 Month
Later |
3 Months
Later |
6 Months
Later |
1 Year
Later |
|
10/23/29 |
338 |
-3.2% |
-23.2% |
-19.7% |
-19.1% |
-19.9% |
-5.4% |
-18.6% |
|
04/07/37 |
595 |
0.5% |
2.2% |
1.3% |
-2.8% |
-9.0% |
-13.1% |
-35.1% |
|
10/07/43 |
380 |
0.4% |
0.7% |
2.4% |
0.9% |
-0.5% |
4.0% |
8.7% |
|
07/15/46 |
640 |
0.1% |
-0.1% |
-1.6% |
1.6% |
-20.2% |
-15.2% |
-19.5% |
|
07/12/50 |
257 |
-1.1% |
2.9% |
2.4% |
9.5% |
17.2% |
25.1% |
28.8% |
|
04/30/52 |
438 |
-0.6% |
2.1% |
1.5% |
2.3% |
8.8% |
3.6% |
7.3% |
|
05/23/56 |
628 |
-0.9% |
0.4% |
2.2% |
3.5% |
5.3% |
-0.8% |
4.9% |
|
09/15/59 |
355 |
0.1% |
-2.7% |
1.5% |
0.1% |
3.9% |
-2.9% |
-2.2% |
|
04/04/62 |
332 |
0.6% |
-0.1% |
-0.3% |
-3.3% |
-17.1% |
-18.0% |
-0.9% |
|
11/22/63 |
252 |
4.0% |
5.8% |
6.3% |
6.8% |
11.9% |
15.5% |
23.2% |
|
06/09/65 |
386 |
-0.4% |
0.2% |
-0.4% |
0.8% |
4.3% |
7.3% |
-0.1% |
|
11/03/67 |
207 |
-0.3% |
0.2% |
-0.1% |
4.2% |
0.1% |
7.2% |
16.9% |
|
07/30/71 |
213 |
0.4% |
-1.4% |
0.1% |
4.1% |
-1.7% |
8.3% |
12.2% |
|
10/16/72 |
211 |
0.7% |
3.4% |
3.6% |
7.2% |
11.3% |
5.1% |
3.0% |
|
10/11/76 |
202 |
-0.8% |
-0.2% |
-1.5% |
-2.8% |
2.4% |
-1.5% |
-6.6% |
|
05/05/81 |
243 |
0.4% |
0.3% |
1.4% |
0.5% |
0.7% |
-4.7% |
-9.9% |
|
12/14/83 |
333 |
-1.0% |
0.1% |
0.9% |
2.4% |
-3.6% |
-7.9% |
-0.4% |
|
09/17/85 |
283 |
0.2% |
0.7% |
1.5% |
3.5% |
16.2% |
29.9% |
27.7% |
|
09/12/86 |
232 |
0.6% |
0.7% |
0.7% |
2.3% |
7.6% |
25.7% |
39.6% |
|
10/15/87 |
227 |
-5.2% |
-16.7% |
-17.9% |
-17.6% |
-15.4% |
-12.9% |
-7.7% |
|
01/22/90 |
293 |
0.4% |
-1.6% |
0.4% |
-0.8% |
0.2% |
7.5% |
0.2% |
|
11/19/91 |
208 |
-0.2% |
-0.4% |
0.2% |
0.8% |
9.1% |
9.5% |
10.5% |
|
03/25/94 |
363 |
-0.1% |
-4.7% |
-2.3% |
-1.9% |
-2.9% |
0.1% |
9.3% |
|
07/15/96 |
394 |
-0.2% |
0.6% |
0.2% |
4.8% |
11.3% |
20.6% |
45.8% |
|
08/27/98 |
525 |
-1.5% |
-5.8% |
-3.2% |
0.6% |
13.8% |
18.6% |
29.3% |
|
09/23/99 |
226 |
-0.2% |
0.2% |
2.9% |
1.7% |
12.2% |
19.3% |
13.2% |
|
07/16/04 |
313 |
0.0% |
-1.4% |
0.0% |
-2.0% |
0.2% |
6.9% |
11.5% |
|
08/03/07 |
243 |
2.4% |
1.4% |
0.9% |
3.9% |
5.3% |
-3.6% |
-12.8% |
|
|
|
|
|
|
|
|
|
|
|
Average |
-0.2% |
-1.3% |
-0.6% |
0.4% |
1.8% |
4.6% |
6.4% |
|
% Positive |
46% |
57% |
68% |
71% |
68% |
61% |
61% |
As I noted in this morning's report, the probability of multi-percent
swings in both directions is exceptionally high right now, and that
continues to be the case. We could continue to crack lower in this
price vacuum we're in, or we could finally respond to these historic
oversold readings and recover (at least partially) before the close.
It's still a day-trader's market.
Jason
Goepfert
Founder,
Sundial Capital Research, Inc.
May
20, 2010 2:15pm EST
