Wednesday, May 12, 2004

Note:  tonight I will be going over a figure for breadth volatilty.  Taking a 10-period standard deviation of the daily advance/decline figure, and expressing it as a function of total issues traded, we are seeing a hugely unusual amount of volatility in breadth.  Since 1965, after every one of the 34 days that matched our current level of breadth volatility, the S&P 500 was higher 90 days later, with an average gain of 10%.  2:28:25 PM

The NYSE TRIN just poked above 3.0 for the first time since March 22nd.  We'd have to go back to November 17, 2003 for the next previous instance.  Neither one marked the exact low, but we did see the low within a few days and at levels not much lower than when the high TRIN was recorded. 12:11:33 PM

The total p/c ratio from the CBOE has now recorded closing readings above 1.0 for each of the last 4 days.  This has only happened twice before since 1995, those being 3/15/04 and 9/18/02 & 9/19/02.  Neither instance marked the exact low, as the S&P was lower 5 days later.  But after 30 days, the S&P showed an averaged return that was 4%+.  This confirms many of the breadth extremes we've seen - we may not have seen the exact low yet, but we should be getting close to a tradable low both in terms of time and price. 8:52:58 AM