Will stocks see significant volatility on Monday?

Monday's after OPEX

Monday's have been the best day of the week over the last couple of decades with the only exception being those Monday's after OPEX. The S&P was down a modest 0.34% last week. The below table shows the results for those 30 Monday's after OPEX over the last 20 years when the OPEX Week was down 0.03 to 0.65%, a dismal 10-20 for a median loss of 0.57%. Possibly even as interestingly, eleven 1% moves which suggest some additional volatility on Monday. If you a Bull, take some consolation in the fact the three 1% up moves have all occurred relatively recent.

MONDAY AFTER OPEX

WHEN OPEX WEEK IS DOWN 0.03 TO 0.65%

DAYOF TRAILING FORWARD

# DATE WEEK SP%CHG SP%CHG

1 19910819 MON -0.40 -2.36

2 19920224 MON -0.54 0.20

3 19930920 MON -0.63 -0.82

4 19931122 MON -0.60 -0.75

5 19940124 MON -0.04 -0.58

6 19940222 MON -0.53 0.81

7 19940418 MON -0.21 -0.83

8 19940620 MON -0.05 -0.65

9 19941121 MON -0.19 -0.69

10 19950123 MON -0.26 0.22

11 19950424 MON -0.15 0.87

12 19951218 MON -0.18 -1.55

13 19970721 MON -0.15 -0.26

14 19990524 MON -0.56 -1.78

15 20000124 MON -0.57 -2.74

16 20000424 MON -0.41 -0.33

17 20010723 MON -0.40 -1.64

18 20030721 MON -0.48 -1.46

19 20040419 MON -0.42 0.11

20 20040524 MON -0.19 0.16

21 20040621 MON -0.13 -0.42

22 20050222 MON -0.31 -1.45

23 20050919 MON -0.29 -0.56

24 20051024 MON -0.59 1.68

25 20060619 MON -0.06 -0.91

26 20070820 MON -0.53 -0.03

27 20091123 MON -0.19 1.36

28 20091221 MON -0.36 1.05

29 20100419 MON -0.19 0.45

30 20110418 MON -0.64 -1.10

31 20110523 Mon -0.34 ?

#UP-DN = 10-20

AVG%CHG= -0.47

MED%CHG= -0.57

1%MOVES= 3- 8

This trend is validated somewhat by the fact that all Monday's on the 23rd of any month are 13-20 over this same period for a median loss of 0.23%.

However the Monday's after the May OPEXs buck the trend slightly, 17-13 for a median gain of 0.08%.

A TRIN Comment

Average volume in advancing issues on the S&P has trailed average volume in declining volume over both the last week and month resulting in negative scans in this type of sideways environment. Scanning for the following four conditions from today's measures:

# of Days TRIN SP%Chg

05 0.879 -0.336

20 0.780 -0.307

The scan results are listed in order of best match. Notice the following Quarter was 10-20 for a median loss of -1.03% for below the normal 2% quarterly gain. Bulls will point out this has been the case for the TRIN reading for much of the last year.

My Trin is the avg Volume in advancing issues divided by average volume in declining issues. A number less than 1 suggest more volume in declining issues and vice versa.

************************* TRIN ANALYSIS ************************

BEST S&P TRIN S&P TRIN FORWARD SP PERFORMANCE

DATE MATCH 5DAY% 5DAY 20DY% 20DY DAY WEEK MONTH QUARTER

TODAY -0.336 0.879 -0.307 0.780

20000913 1 -0.492 0.881 0.029 0.765 -0.27 -2.26 -7.46 -8.41

19971024 2 -0.267 0.812 -0.379 0.809 -6.87 -2.87 0.53 1.69

20091221 3 -0.005 0.869 2.078 0.778 0.36 1.09 0.22 4.12

20061212 4 -0.226 0.922 1.960 0.780 0.12 0.99 1.36 -0.35

20050706 5 -0.552 0.882 -0.194 0.872 0.25 2.37 2.63 -0.29

20100504 6 -0.626 0.881 -1.331 0.718 -0.66 -1.52 -9.26 -3.95

20101126 7 -0.609 0.919 0.475 0.829 -0.14 2.97 5.66 10.97

20060511 8 -0.482 0.867 1.382 0.833 -1.12 -3.38 -4.11 -3.02

20010822 9 -1.079 0.845 -2.118 0.775 -0.28 -1.44 -17.12 -2.43

20011231 10 0.280 0.916 0.757 0.818 0.57 1.10 -1.56 -0.06

19900730 11 0.068 0.878 -0.690 0.875 0.17 -5.94 -10.36 -14.48

20010215 12 -0.444 0.975 -1.585 0.762 -1.89 -6.09 -11.54 -5.82

19940617 13 -0.048 0.886 0.432 0.877 -0.65 -3.41 -0.94 2.78

20040203 14 -0.701 0.873 1.231 0.851 -0.84 0.84 1.32 -1.63

20040714 15 -0.613 0.803 -1.978 0.799 -0.43 -1.58 -4.20 -0.74

19990603 16 -0.400 0.902 -3.546 0.812 2.17 0.25 7.05 4.43

19960108 17 0.411 0.889 0.372 0.854 -1.46 -3.01 6.08 4.17

19880519 18 -0.504 0.799 -1.501 0.815 0.18 0.82 7.17 3.04

20051227 19 -0.268 0.873 -0.073 0.914 0.22 1.35 2.16 3.59

20050308 20 0.745 0.912 1.474 0.815 -1.02 -1.78 -3.14 -2.03

20020909 21 -1.431 0.779 -0.625 0.804 0.73 -1.31 -13.98 -1.21

20071212 22 0.106 0.879 0.374 0.914 0.12 -2.26 -5.76 -11.96

19930728 23 0.002 0.881 -0.777 0.926 0.68 0.30 2.99 4.59

20000705 24 -0.298 0.910 -0.796 0.923 0.72 3.23 1.15 -0.69

20080616 25 -0.119 0.881 -4.575 0.830 -0.68 -3.10 -8.44 -10.77

19930419 26 -0.205 0.921 -0.606 0.918 -0.53 -3.11 0.02 -0.32

20020501 27 -0.611 0.910 -3.460 0.840 -0.17 0.22 -1.78 -18.57

19831118 28 -0.722 0.873 -0.518 0.940 0.58 0.88 -1.64 -5.66

20030730 29 -0.097 0.904 0.544 0.919 0.27 -2.08 2.06 6.00

20001117 30 0.127 0.988 -2.090 0.821 -1.84 -1.37 -4.07 -4.84

NUMUP-NUMDN = 14-16 13-17 14-16 10-20

AVG % CHG = -0.57 -0.99 -2.35 -1.33

MEDIAN %CHG = -0.22 -1.00 -0.02 -1.03

The five day sequence of Highs, Lows and Closes has been Lower, Lower, Higher, Higher, and Lower (00110) for all three measures. This has only happened 12 times in the last 30 years and the S&P was 4-8 one week later for a median loss of 1.29%.

So there is certainly some evidence to give the Bears some hope for next week. If you are Long the market, take some consolation in the fact that sentiment has shifted to the Bearish side suggesting that some of froth is out of the market. The one glaring example I see today is the fact the 10 Day equity Put Call ratio is at the highest level since this exact week one year ago, when the S&P was hovering around 1100.

Wayne Whaley is a Systems Engineering graduate from Georgia Tech who takes an engineering approach to tape analysis. He is a registered CTA, co-owner of Witter & Lester and the 2010 MTA Charles Dow Award winner for research surveying various tape measures. For more insight see www.witterlester.com.

Comments
comments powered by Disqus