Tuesday, March 09, 2004

Sorry, I take that back.  Three days later, the S&P 500 was higher all 12 times.  After 5 and 10 days, it was higher 10 out of the 12 times. 3:11:47 PM

I think this is unlikely, but if the NYSE TRIN closes over 3.0 (where it is right now), it would be for only the 12th time since 1997.  The next day, the S&P 500 was higher 9 times for an average gain of 1.4%.  It was higher 10 times 3, 5 and 10 days later, for average gains of 2.5%, 3.8% and 5.1% respectively.  Obviously this is an odd phenomenon and I think it should be mentioned. 3:10:43 PM

The VIX is now just over 10% above its 10-day moving average, a decent gauge of oversold conditions.  As you can see from the chart on the site (the link is below), when the VIX hit this 10% upper band over the past few months, the market weakness was just about over.  Obviously, there is no rule stating the broader market HAS to rally because of this, but it is a reasonable indication things have gotten a bit stretched to the downside. http://www.sentimentrader.com/subscriber/charts/VIX.htm 2:03:48 PM

Just for reference, the other days with very high intraday TRIN readings since March were 3/10/03, 3/24/03, 5/19/03, 6/9/03, 6/23/03 and 11/17/03.  All but the instance last March 24th marked either the low or very close to it for that down move.  We should watch this closely, as once again the way the market acts off these readings will tell us if we are seeing behavior different than previously seen during the rally. 12:17:53 PM

I've rec'd a few questions on the extremely high NYSE TRIN reading this morning.  At a recent value of around 2.70, this is one of the highest readings we've seen in a long time (other than the opening minutes, which are always distorted).  As far as I'm concerned, this is the highest reading since 11/17/03.  The reason for the high TRIN is NOT necessarily heavy, broad-based selling, rather it is heavy selling in a few issues.  So far today I am showing about 1.5 declining issues for every advancing one; however I am showing that volume is skewed nearly 4-to-1 on the downside.  This type of anomoly greatly skews the TRIN.  In any event, in combination with our other short-term sentiment measures, we are becoming very oversold, even though we're only 20 points or so from the recent high on the S&P.  The STEM.MR reached an extreme 63% this morning, so the downside *should* be limited from here. 12:11:38 PM