TVO Market Barometer 11-27: What happens after volume rises 100%?

The first full day back from the holiday was a standstill on the S&P 500 as far as price. Under the hood, though, was a day of churning as overall volume rose 108%. How significant is a greater than 100% volume rise in a single session? Well, most folks would just chalk it up as a post-Thanksgiving/get ready for the Santa rally thing.

Sometimes it is and sometimes it’s not.

Back in November of 2015 top callers were everywhere like they are now, but this time they were right on target (Yes there was a time even after ’08 when the market did not go straight up). Subsequently after overall volume rose 183% on 11/30/15, SPY sank 30 points (-14%) from 211 to a low of 181 (And yes we did have bear markets after ’08 too).

The next greater than 100% bump occurred in June of 2016. Again the market looked like it was topping (SPY finally made it back to 211), but this time the shorts got burned big time as SPY defended the 210-211 area and rose 10 points higher… which takes us to next 100% day on 11/28/16, and we all know what happened after that one.

It’s pretty clear that big moves come from big volume, but the market direction that follows (even if it looks like a top on a chart) can go either way. If you’d like to study all the greater than 100% volume days over the past 12 years to find some kind of a pattern, the list is included below. According to this convenient sample size calculator, however, with 29 occurrences over a 12 year period (3000 trading days), the margin of error in your study would be just over 18%, so I wouldn’t exactly bet the farm on it. -MD

DAYS WITH OVER 100% VOLUME RISE:

  1. 11/27/2016 108%
  2. 11/28/2016 115%
  3. 6/24/2016 116%
  4. 11/30/2015 183%
  5. 10/15/2014 123%
  6. 6/4/2012 152%
  7. 11/28/2011 131%
  8. 11/10/2011 694%
  9. 11/2/2011 127%
  10. 10/19/2011 455%
  11. 10/7/2011 328%
  12. 10/3/2011 158%
  13. 9/22/2011 227%
  14. 9/12/2011 535%
  15. 8/22/2011 192%
  16. 8/9/2011 196%
  17. 8/3/2011 269%
  18. 5/31/2011 266%
  19. 11/29/2010 144%
  20. 12/28/2009 108%
  21. 11/30/2009 106%
  22. 8/21/2008 137%
  23. 5/30/2008 113%
  24. 5/27/2008 110%
  25. 5/16/2008 113%
  26. 5/13/2008 145%
  27. 11/27/2006 197%
  28. 5/24/2006 109%
  29. 9/16/2005 158%

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