Market Action, December 1 2008 - Volume Statistics

Well, that certainly was bad, wasn’t it?

Once again, the massive de-leveraging trade, taking advantage of the higher prices from last week, whacked down stocks. 

Once again, there was a big sell-off at the end of the day.  The S&P 500 fell 4.0% from the 2:52pm top tick into the close. 

But that is the new normal, is it not?

This is forced selling. 

Volume was not particularly heavy today, however.  Ending composite volume was 5.8 billion.  By comparison, average volume on the three days before Thanksgiving last week - usually a low volume week - was 6.7 billion, with Monday and Tuesday substantially higher than today.  Today’s volume was about equal to Wednesday’s volume of 5.6 billion, the day many traders take off to get an early jump on the holidays. 

Today’s volume was also lighter than average since the market carnage began as volume has averaged 6.4 billion since September 1.  Today ranked in the 39th percentile of all volume days since that time.

Interestingly, since September 1, volume has been heavier on up days than on down days.  Up volume has averaged 6.6 billion while down volume has been 6.3 billion.  However, there have been 37 down days and 27 up days.

Since the intra-day reversal on October 10, when the market traded 11.1 billion shares, volume on up days has been 6.3 billion while volume on down days has been 5.9 billion.  There have been 12 down days and nine up days.

On days with at least a 3% move, since October 10, volume on up days has averaged 6.9 billion while volume on down days has been 6.1 billion.

Breadth was horrible at 80:1 on the downside.  However, cumulative breadth over the past six days has been 2:1 on the upside. 

The biggest volume days since September 1 was on October 10 with 11.1 billion shares traded.  The market fell 1.2% that day but in fact was down as much as 7.8% intra-day before rallying into the close.  The second heaviest day was on September 18, with volume at 10.2 billion.  The third heaviest day was the next day at 9.3 billion.  On both days, the market was up 4.0% and 4.3% respectively.  The fourth heaviest day was last week on November 21 at 9.2 billion.  The fifth heaviest was on September 16 as the market rose 1.8%.  Thus, the heaviest volume days have either been on the upside or was the intra-day reversal on October 10.

Frankly, I do not know if this means anything, but it is interesting.

Comments

[Running Amok In Fantasyland]

Historically in bear markets the worst selloffs often occur on lighter volume. There are no bids so prices gap down until a few buyers decide what the hell. Then somebody on CNBC points out that although prices are crashing, volume is light. He's dead but the bleeding isn't as bad.

[Jason]

It has translated into a 3 month roughly 36% loss in the S&P 500... whatever the volume/Breadth/etc

Now comes higher unemployment, credit card implosion, commercial real estate collapse, further consumer retrenchment,and no solution to the housing supply side problem which only grows with these foreclosures...

but I am sure we are due for a bounce... just make sure you are deft when trying to catch the falling chain saw!

[bill chan]

Looking beyond short term (6 months? 2 more years?) price fluctuaions, volatility, volume, deleveraging and whatever, unless the US is going to declare bankruptcy, franchise stocks at this price level will certainly be a lot higher in the next cycle. Time to buy now and this is how big money is made, I think.