Volume and Year Highs on $SPY

Volume and Year Highs on $SPY

Low Volume 52 week highs

image courtesy: http://www.tattydevine.com/blog/2012/04/tatty-devines-studio-music/

Most recently there has been a lot of discussion in the financial blogosphere regarding the $SPY hitting yearly highs ( 250 Day closing highs), in conjunction with notably low volume, therefore questioning the sustainability or continuation of the rally.

like here

Due to the fact that any market adage is rarely backed up by the numbers, we decided to check the volume and $SPY 250 closing high relationships

Since 2000 , there they have been 315 trading days where the $SPY closed at 250 days high

out of which the

Volume in relation to Previous Day’s Volume

$SPY closed at 250 day closing high with lower volume than previous day’s volume on 183 days ( 58.1% ) vs

$SPY closed at 250 day closing high with higher volume than previous day’s volume on 132 days ( 41.9%)

Volume in relation to Five Day Average Volume

$SPY closed at 250 day closing high , with lower than average 5 days volume on 191 days ( 60.6% ) vs

$SPY closed at 250 day closing high , with higher than average 5 days volume on 124 days ( 39.4% )

ps: while calculating the average volume , we have included the current days volume , to arrive at n-day average volume

Volume in relation to Twenty Day Average Volume

$SPY closed at 250 day closing high , with lower than average 20 days volume on 205 days ( 65.1% ) vs

$SPY closed at 250 day closing high , with higher than average 20 days volume on 110 days ( 34.9% )

Volume in relation to 62 Day Average Volume ( 3 -month average volume) 

$SPY closed at 250 day closing high , with lower than average 62 days volume on 235 days ( 74.6% ) vs

$SPY closed at 250 day closing high , with higher than average 62 days volume on 80 days ( 25.4% )

Volume in relation to 125 Day Average Volume ( 6 -month average volume) 

$SPY closed at 250 day closing high , with lower than average 125 days volume on 239 days ( 75.9% ) vs

$SPY closed at 250 day closing high , with higher than average 125 days volume on 76 days ( 25.4% )

Volume in relation to 250 Day Average Volume ( One year average volume) 

$SPY closed at 250 day closing high , with lower than average 250 days volume on 244 days ( 77.5% ) vs

$SPY closed at 250 day closing high , with higher than average 250  days volume on 71 days ( 22.5% )

Conclusion : as can be seen in all most studies the $SPY closes at 250 day high with relatively low volume , be it compared to previous day’s volume , or average 5/20/62/125/250 days volume

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